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A no arbitrage approach to Thiele's differential equation

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  • Steffensen, Mogens

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  • Steffensen, Mogens, 2000. "A no arbitrage approach to Thiele's differential equation," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 201-214, October.
    • Handle: RePEc:eee:insuma:v:27:y:2000:i:2:p:201-214
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    References listed on IDEAS

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    1. Delbaen, F. & Haezendonck, J., 1989. "A martingale approach to premium calculation principles in an arbitrage free market," Insurance: Mathematics and Economics, Elsevier, vol. 8(4), pages 269-277, December.
    2. Steinar Ekern & Svein-Arne Persson, 1996. "Exotic Unit-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 21(1), pages 35-63, June.
    3. Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July.
    4. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    5. Moller, Christian M., 1996. "Aspects of prospective mean values in risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 18(3), pages 173-181, November.
    6. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 12(3), pages 245-257, June.
    7. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, vol. 3(3), pages 195-213, June.
    8. Sondermann, Dieter, 1991. "Reinsurance in arbitrage-free markets," Insurance: Mathematics and Economics, Elsevier, vol. 10(3), pages 191-202, December.
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    Cited by:

    1. Møller, T., 2002. "On Valuation and Risk Management at the Interface of Insurance and Finance," British Actuarial Journal, Cambridge University Press, vol. 8(4), pages 787-827, October.
    2. Christiansen, Marcus C. & Furrer, Christian, 2021. "Dynamics of state-wise prospective reserves in the presence of non-monotone information," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 81-98.
    3. Marcus C. Christiansen & Christian Furrer, 2020. "Dynamics of state-wise prospective reserves in the presence of non-monotone information," Papers 2003.02173, arXiv.org, revised Jan 2021.

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