Date: Thursday, 3 July 2025, at 12.30pm (CET)

Dual format: ESSEC Paris La Défense (CNIT), Room 208
and via Zoom, please click here

The classical Thiele equation is the precursor of the Feynman-Kac equation and describes the time dynamics of conditional expectations with respect to Markovian jump processes. It is a key tool in life insurance not only for numerical calculations, but also for sensitivity analyses, safe-side calculations, surplus calculations and contract modifications. In 1992, Ragnar Norberg generalised the Thiele equation to non-Markovian modelling by introducing a so-called stochastic Thiele equation. This backward stochastic differential equation makes it possible to generalise the common risk management techniques beyond the limited world of Markov modelling, so it is surprising that this generalisation has not yet found its way into life insurance textbooks. Indeed, there have been a number of unresolved technical issues with the stochastic Thiele equation, and we show how they can be overcome. As a result, we are finally able to present the basic concepts of risk management in life insurance without the usual restrictive Markov assumptions.

Kind regards,
Jeremy Heng, Olga Klopp, Roberto Reno, Marie Kratz and Riada Djebbar (Singapore Actuarial Society - ERM)