A counting process approach to stochastic interest

DOI10.1016/0167-6687(95)00020-SzbMath0839.62099WikidataQ127342660 ScholiaQ127342660MaRDI QIDQ1905000

Christian Max Møller

Publication date: 23 June 1996

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

zbMATH Keywords

momentsordinary differential equationmarked point processindependent incrementsMarkovian environmentThiele's differential equationDoleans equationpayment functionsreturn of an investment

Mathematics Subject Classification ID

Related Items (1)

Markov models and Thiele's integral equations for the prospective reserve

Cites Work

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• Contingent claims valuation when the security price is a combination of an Itō process and a random point process
• Point processes and queues. Martingale dynamics
• Stochastic discounting
• A stochastic interest model with an application to insurance
• Risk theory in a stochastic economic environment
• A stochastic version of Thiele's differential equation
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Asymptotic results for the risk process based on marked point processes
• Stochastic differential equations for ruin probabilities

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