Stochastic processes defined from a Lagrangian

DOI10.1016/0167-6687(92)90088-SzbMath0756.60104OpenAlexW2091351909MaRDI QIDQ1199965

M. J. Goonvaerts, F. Etienne De Vylder, Rob Kaas

Publication date: 17 January 1993

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90088-s

zbMATH Keywords

Brownian motionactuarial applicationsproblem of solvency

Mathematics Subject Classification ID

Special processes (60K99) Markov processes (60J99)

Related Items

A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results ⋮ Variational principles and Lagrangian functions for stochastic processes and their dissipative statistical descriptions ⋮ The distributions of annuities ⋮ Closed-form approximations for diffusion densities: A path integral approach.

Cites Work

• Unnamed Item
• The analytical evaluation of one-dimensional Gaussian path-integrals
• A stochastic approach to insurance cycles