Stochastic discounting
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Publication:1205678
DOI10.1016/0167-6687(92)90048-GzbMath0763.62055MaRDI QIDQ1205678
Publication date: 1 April 1993
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical economics (91B99)
Related Items (8)
A second order stochastic differential equation for the force of interest ⋮ A counting process approach to stochastic interest ⋮ A class of complete benchmark models with intensity-based jumps ⋮ Stochastic investment returns and contribution rate risk in a defined benefit pension scheme ⋮ The present value of a stochastic perpetuity and the gamma distribution ⋮ Stochastic Analysis of the Interaction Between Investment and Insurance Risks ⋮ On stochastic discounting ⋮ A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES
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