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Prospective and retrospective premium reserves. (English) Zbl 0754.62083
Author’s summary: Recently a number of definitions of retrospective premium reserves were proposed for a multi-state life policy. Each definition satisfies a number of desirable properties. The definitions of retrospective premium reserves are reconsidered here for the continuous time Markov chain model using a simple coherent notation for both reserves; the reserves are slightly generalized in the sense that the reserves are considered for arbitrary time intervals.

62P05 Applications of statistics to actuarial sciences and financial mathematics
60J20 Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
Full Text: DOI
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