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Operations Stochastiques de Capitalisation

Published online by Cambridge University Press:  29 August 2014

Pierre Devolder
Pierre Devolder*
Affiliation:
Royale Beige, Bruxelles
*
43, Boulevard Théo Lambert, B-1070 Bruxelles, Belgium
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Abstract

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This paper presents a stochastic model of capitalization which takes into account the financial risk in the actuarial processes.

We first introduce a stochastic differential equation which allows us to define the capitalization and actualization processes.

We use these concepts to present a new principle of premium calculation for the capitalization operations, based on the equality between backward reserve and conditional expectation of the forward reserve.

A generalization of the classical Thiele equation in life insurance is also given.

Numerical examples illustrate the model.

Type
Astin Competition 1985: Prize-Winning Papers and Other Selected Papers
Information
ASTIN Bulletin: The Journal of the IAA , Volume 16 , Issue S1 , April 1986 , pp. S5 - S30
Copyright
Copyright © International Actuarial Association 1986

References

Bibliographie

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