On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements

@inproceedings{Kalashnikov2003OnTS,
  title={On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements},
  author={Vlad{\'i}mir Kalashnikov and Ragnar Norberg},
  year={2003}
}
Upon differentiating the Thiele differential equations and the equivalence condition with respect to some parameter appearing in the equations, one obtains differential equations for the derivatives of the state-wise reserves and the premium level with respect to the parameter. The solution to these equations measures the impact on premiums and reserves of a change in the parameter. Typically only numerical results can be obtained, but the method applies quite generally to multi-state policies… CONTINUE READING