Identify and apply Thiele's differential equation in a single life or multiple state setting.
Free SOA Exam ALTAM (Advanced Long-Term Actuarial Mathematics) lesson in Premium and Policy Valuation for Long-Term Coverages. 13 min read, ~1,968 words.
Single-life form:. Multi-state form: one ODE per non-absorbing state; for state,. Single-life net amount at risk is (death benefit minus the current reserve). Multi-state net amount at risk for the transition is. Boundary set at maturity: endowment, term. Solve backward from the terminal condition using Euler:. Sign discipline: premiums positive...
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- 2e
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