In the presence of monotone information, stochastic Thiele equations describing the dynamics of state-wise prospective reserves are closely related to the classic martingale representation theorem. When the information utilized by the insurer is non-monotone,  classic martingale theory does not apply. By taking an infinitesimal approach, we derive  generalized stochastic Thiele equations that allow for information discarding  . The results and their implication in practice are illustrated via examples where information is discarded upon and after stochastic retirement.
In the presence of monotone information, the stochastic Thiele equation describing the dynamics of state-wise prospective reserves is closely related to the classic martingale representation theorem. When the information utilized by the insurer is non-monotone, the classic martingale theory does not apply. By taking an infinitesimal approach, we derive a generalized stochastic Thiele equation that allows for information discarding . En passant, we solve some open problems for the classic case of monotone information . The results and their implication in practice are illustrated via examples where information is discarded upon and after stochastic retirement.
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. En passant, we solve some open problems for the classic case of monotone information