A time‐continuous markov chain interest model with applications to insurance

DOI10.1002/asm.3150110306zbMath1067.91509MaRDI QIDQ4940114

Ragnar Norberg

Publication date: 2 March 2000

Published in: Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asm.3150110306

zbMATH Keywords

differential equations; stochastic interest; reserves

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G30: Interest rates, asset pricing, etc. (stochastic models)

34A30: Linear ordinary differential equations and systems

60J27: Continuous-time Markov processes on discrete state spaces

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Cites Work

• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Some remarks concerning stochastic interest rates in relation to long term insurance policies