A stochastic model for the force of interest

DOI10.1007/BF02808264zbMath0836.62083MaRDI QIDQ4859995

Emilia Di Lorenzo, Marilena Sibillo

Publication date: 6 May 1996

Published in: Blätter der DGVFM (Search for Journal in Brave)

zbMATH Keywords

characterizationsstochastic modelOrnstein- Uhlenbeck processforce of interestcapitalization processprensence of barriers

Mathematics Subject Classification ID

Cites Work

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• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Compound Poisson processes, as modified by Ornstein-Uhlenbeck processes
• Moments of the present value of a portfolio of policies

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