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math.PR2024
Canonical insurance models: stochastic equations and comparison theorems
Marcus C. Christiansen, Christian Furrer
Thiele's differential equation explains the change in prospective reserve and plays a fundamental role in safe-side calculations and other types of actuarial model comparisons. Thi…
math.PR2020
Dynamics of state-wise prospective reserves in the presence of non-monotone information
Marcus C. Christiansen, Christian Furrer
In the presence of monotone information, the stochastic Thiele equation describing the dynamics of state-wise prospective reserves is closely related to the classic martingale repr…
math.PR2018★ 1 cited
A martingale concept for non-monotone information in a jump process framework
Marcus C. Christiansen
The information dynamics in finance and insurance applications is usually modeled by a filtration. This paper looks at situations where information restrictions apply such that the…