Nonlinear reserving and multiple contract modifications in life insurance

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.