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Scandinavian Actuarial Journal Volume 1984, 1984 - Issue 4
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Original Articles

Martingales in life insurance

Alex Papatriandafylou Astir Insurance Company, S.A., 6 Merlin Street, Athens, 134, Greece
&
Howard R. Waters Department of Actuarial Mathematics and Statistics, Heroit-Watt University, Riccarton, Currie, Edinburgh, Scotland
Pages 210-230 | Received 01 Jun 1984, Published online: 22 Dec 2011

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Read on this site (6)

HansU. Gerber, BartholomewP.K. Leung & EliasS.W. Shiu. (2003) Indicator Function and Hattendorff Theorem. North American Actuarial Journal 7:1, pages 38-47.
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Ragnar Norberg. (1992) Hattendorff's theorem and Thiele's differential equation generalized. Scandinavian Actuarial Journal 1992:1, pages 2-14.
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A. Dassios & P. Embrechts. (1989) Martingales and insurance risk. Communications in Statistics. Stochastic Models 5:2, pages 181-217.
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Henrik Ramlau-Hansen. (1988) Hattendorff's Theorem: A Markov chain and counting process approach. Scandinavian Actuarial Journal 1988:1-3, pages 143-156.
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Henk Wolthuis. (1987) Hattendorff's theorem for a continuous-time Markov model. Scandinavian Actuarial Journal 1987:3-4, pages 157-175.
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Anders Martin-Löf. (1986) A stochastic theory of life insurance. Scandinavian Actuarial Journal 1986:2, pages 65-81.
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Articles from other publishers (12)

Nathan Ritchey & Rajeev Rajaram. (2022) Numerical Solutions of the Hattendorff Differential Equation for Multi-State Markov Insurance Models. AppliedMath 2:1, pages 118-130.
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Rajeev Rajaram & Nathan Ritchey. (2021) Hattendorff Differential Equation for Multi-State Markov Insurance Models. Risks 9:9, pages 169.
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Angus S. Macdonald. 2014. Wiley StatsRef: Statistics Reference Online. Wiley StatsRef: Statistics Reference Online.
Angus S. Macdonald. 2004. Encyclopedia of Actuarial Science. Encyclopedia of Actuarial Science.
Søren Asmussen & Jakob R. Møller. (2003) Risk comparisons of premium rules: optimality and a life insurance study. Insurance: Mathematics and Economics 32:3, pages 331-344.
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A.S. Macdonald. (2011) An Actuarial Survey of Statistical Models for Decrement and Transition Data - I: Multiple State, Poisson and Binomial Models. British Actuarial Journal 2:1, pages 129-155.
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P. Embrechts & C. Klüppelberg. (1994) Some Aspects of Insurance Mathematics. Theory of Probability & Its Applications 38:2, pages 262-295.
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Hans M. Dietz. (1992) A stochastic interest model with an application to insurance. Insurance: Mathematics and Economics 11:4, pages 301-310.
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Howard R. Waters. 1989. Financial Models of Insurance Solvency. Financial Models of Insurance Solvency 57 86 .
H. Wolthuis & I. Van Hoek. (1986) Stochastic models for life contingencies. Insurance: Mathematics and Economics 5:3, pages 217-254.
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Edward W. Frees. (1986) Approximation of the initial reserve for known ruin probabilities. Insurance: Mathematics and Economics 5:3, pages 187-196.
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Howard R. Waters & Alex Papatriandafylou. (1985) Ruin probabilities allowing for delay in claims settlement. Insurance: Mathematics and Economics 4:2, pages 113-122.
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