A stochastic interest model with an application to insurance

DOI10.1016/0167-6687(92)90019-8zbMath0770.62091OpenAlexW1992180558MaRDI QIDQ1209485

Hans M. Dietz

Publication date: 16 May 1993

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

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90019-8

zbMATH Keywords

semimartingalescash-flowscumulative interestcumulative payment/disbursement streamcurrent valuegeneral definitions of discount factorsgeneralized stochastic exponentialone- claim insurance contractspremium reserve

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

A counting process approach to stochastic interest ⋮ An axiomatic approach to the valuation of cash flows ⋮ A note on the inhomogeneous linear stochastic differential equation.

Cites Work

• On the solution of matrix‐valued linear stochastic differential equations driven by semimartingales
• Payment Measures, Interest, and Discounting
• Martingales in life insurance
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
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