Martingale Valuation of Cash Flows for Insurance and Interest Models

DOI10.1080/10920277.2004.10596150zbMath1085.60508OpenAlexW2316037164MaRDI QIDQ5715974

Jacques F. Carriere

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596150

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integrals (60H05)

Related Items (1)

An axiomatic approach to the valuation of cash flows

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