Marcus Christiansen: Thiele's equation under information restrictions

Abstract: Insurers frequently use a reduced information basis for the pricing of insurance claims. The reasons include legal restrictions, model simplifications, and data privacy issues. The rise of insurtech puts data privacy more into focus than ever before. A rather new concept is the 'right to erasure' or 'right to be forgotten', which is part of the General Data Protection Regulation of the European Union. The mathematical consequence is that the dynamics of information is not always monotone, so the classical martingale theory does not apply. The talk presents an extension of the classical martingale theory to non-monotone information within a jump process framework, and this allows us to derive generalized Thiele equations for life insurance applications with information restrictions.