A no arbitrage approach to Thiele's differential equation

The multi-state life insurance contract is reconsidered in a framework of s ecuritization where insurance claims may be priced by the principle of no a rbitrage. This way a generalized version of Thiele's differential equation (TDE) is obtained for insurance contracts linked to indices, possibly marke ted securities. The equation is exemplified by a traditional policy, a simp le unit-linked policy and a path-dependent unit-linked policy. (C) 2000 Els evier Science B.V. All rights reserved. MSG: IM40; IE50; IB10.