A second order stochastic differential equation for the force of interest
type: Item
instance of: scholarly article
title: A second order stochastic differential equation for the force of interest
zbMATH Open document ID: 0835.62102
DOI: 10.1016/0167-6687(95)00005-D
author: Gary Parker
published in: Insurance Mathematics \& Economics
publication date: 1996-04-21T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 819420
zbMATH Keywords: interest rates
zbMATH Keywords: present value
zbMATH Keywords: force of interest
zbMATH Keywords: linear second order stochastic differential equation
zbMATH Keywords: discounting process
zbMATH Keywords: immediate annuities certain
zbMATH Keywords: first three moments
zbMATH Keywords: expected value
zbMATH Keywords: autocovariance function
Wikidata QID: Q115363815
MaRDI profile type: Publication
cites work: Q4404205
cites work: Interest and mortality randomness in some annuities
cites work: Extra randomness in certain annuity models
cites work: Stochastic discounting
cites work: Some further results on annuities certain with random interest
cites work: Remarks on the methodology introduced by Goovaerts et al
cites work: Q3711562
cites work: Moments of the present value of a portfolio of policies
cites work: On some exponential functionals of Brownian motion
full work available at URL: 0167-6687(95)00005-d
OpenAlex ID: W2006480469
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description: scientific article; zbMATH DE number 819420