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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.

MSC:
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.)
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[1] Hoem, J. M. (1969): Markov chain models in life insurance. Blätter der Deutschen Gesellschaft für Versicherungsmathematik 9, 91–107. · Zbl 0191.51103
[2] Hoem, J. M. (1988): The versatility of Markov chain as a tool in the mathematics of life insurance. Transactions of the 23rd International Congress of Actuaries, Keynote lecture for subject 3, 141–202.
[3] Norberg, R. (1990): Reserves in life and pension insurance. Laboratory of Actuarial mathematics, University of Copenhagen, Working Paper no. 85.
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