Life insurance companies have a great interest in the calculation of prospective reserve sinceit is an item on the balance sheet of the company. In this thesis, we de ne the prospectivereserve such that we can incorporate reserve-dependent payments and such that companymade decisions like...

Life insurance companies face two types of risks: Financial risks and insurance risks. Financial risks can to a large extent be hedged by trading in the financial market, but there exists no such market for insurance risks. We suggest an alternative to hedge insurance risks. In a multi-state...