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Design of a reserving and pricing tool based on Thiele's differential equation

Thiry, Benjamin ; Chammaa, Youssef
(2021)

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Chammaa_21881800_Thiry_16281400_2021.pdf
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Details

Supervisors
Denuit, Michel
Faculty
Faculté des sciences
Degree label
Master [120] en sciences actuarielles, à finalité spécialisée
Abstract
This thesis investigates a numerical approximation of Thiele's differential equation in order to model the evolution of the life insurance reserve under multiple decrements. It suggests a modeling of a pricing tool in the programming language R and assesses the accuracy of the results obtained by comparing them with Thiele's differential equation. Moreover, it models life insurance reserve for products with reserve-dependent insurance payments. Finally, the robustness of the tool is assessed through sensitivity analysis.

Citations

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Thiry, B., & Chammaa, Y. (2021). Design of a reserving and pricing tool based on Thiele’s differential equation. https://dial-mem.test.bib.ucl.ac.be/handle/2078.2/23473