IBNR reserves under stochastic interest rates

DOI10.1016/S0167-6687(97)00033-4zbMath0932.62113MaRDI QIDQ1381454

Ann De Schepper, Marc J. Goovaerts

Publication date: 5 May 1999

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

zbMATH Keywords

Laplace transformprobability densitydiscount factorIBNR reserves

Mathematics Subject Classification ID

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

Related Items (2)

Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics ⋮ Stochastie Scadeninflation in IBNR;Stochastic claims inflation in IBNR

Cites Work

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• Interest randomness in annuities certain
• An analytical inversion of a Laplace transform related to annuities certain
• The distributions of annuities
• An Intertemporal General Equilibrium Model of Asset Prices
• A decomposition of Bessel Bridges
• Bessel diffusions as a one-parameter family of diffusion processes
• A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results

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