Insurance cash flows become reserve dependent whenever contract conditions are modified during the contract term while maintaining actuarial equivalence . As a result, insurance cash flows and prospective reserves depend on each other in a circular way, and it is a non-trivial problem to solve that circularity and make cash flows and  reserves well-defined. The literature offers answers to that question in case of one or two contract modifications under Markovian assumptions . This paper studies multiple contract modifications in a general non-Markovian framework .
Life insurance cash flows become reserve dependent when contract conditions are modified during the contract term on condition that actuarial equivalence is maintained . As a result, insurance cash flows and prospective reserves depend on each other in a circular way, and it is a non-trivial problem to solve that circularity and make cash flows and prospective reserves well-defined. In Markovian models, the (stochastic) Thiele equation and the Cantelli Theorem are the standard tools for solving the circularity issue and for maintaining actuarial equivalence . This paper expands the stochastic Thiele equation and the Cantelli Theorem to non-Markovian frameworks and presents a recursive scheme for the calculation of multiple contract modifications .
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Insurance
Life insurance
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whenever
when
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while maintaining actuarial equivalence
on condition that actuarial equivalence is maintained
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prospective
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The literature offers answers to that question in case of one or two contract modifications under Markovian assumptions
In Markovian models, the (stochastic) Thiele equation and the Cantelli Theorem are the standard tools for solving the circularity issue and for maintaining actuarial equivalence
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studies
expands the stochastic Thiele equation and the Cantelli Theorem to non-Markovian frameworks and presents a recursive scheme for the calculation of
D
in a general non-Markovian framework