Remarks on the methodology introduced by Goovaerts et al

DOI10.1016/0167-6687(92)90018-7zbMath0768.62096OpenAlexW1994912147MaRDI QIDQ1209484

Freddy Delbaen, Griselda Deelstra

Publication date: 16 May 1993

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

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/7574/1/gd-0001.pdf

zbMATH Keywords

semigroupspath integralsinfinitesimal generatorsLagrange function

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

Related Items

A second order stochastic differential equation for the force of interest, Remarks on “boundary crossing result for brownian motion”, Stochastic Analysis of the Interaction Between Investment and Insurance Risks, Stochastic Life Annuities

Cites Work

• A stochastic approach to insurance cycles
• On some exponential functionals of Brownian motion