Thiele's differential equation with stochastic interest of diffusion type
Publication:4881685
DOI10.1080/03461238.1996.10413961zbMath0845.62077WikidataQ115297927 ScholiaQ115297927MaRDI QIDQ4881685
Ragnar Norberg, Christian Max Møller
Publication date: 11 June 1996
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1996.10413961
life insurance; reserves; stochastic discounting; Thiele's differential equation; counting process driven payments; diffusion driven stochastic interest
62P05: Applications of statistics to actuarial sciences and financial mathematics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
Related Items
Cites Work
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- Pricing equity-linked life insurance with endogenous minimum guarantees
- A Theory of the Term Structure of Interest Rates
- A stochastic version of Thiele's differential equation
- Reserves in Life and Pension Insurance
- Hattendorff's theorem and Thiele's differential equation generalized
- Some remarks concerning stochastic interest rates in relation to long term insurance policies
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- An equilibrium characterization of the term structure