Some remarks concerning stochastic interest rates in relation to long term insurance policies

DOI10.1080/03461238.1991.10413885zbMath0783.62086OpenAlexW2145647802MaRDI QIDQ4034587

Dimitris J. Papachristou, Howard R. Waters

Publication date: 16 May 1993

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1991.10413885

zbMATH Keywords

covariancecalculation of momentsgeneral stochastic interest rate modelslong term sickness insurance policy

Mathematics Subject Classification ID

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

Related Items

Stochastic analysis of a portfolio of endowment insurance policies, Thiele's differential equation with stochastic interest of diffusion type, Sensitivity analysis of the moments of the profit on an Income Protection Policy, Stochastic Analysis of the Interaction Between Investment and Insurance Risks, A time‐continuous markov chain interest model with applications to insurance

Cites Work

• The recursive calculation of the moments of the profit on a sickness insurance policy