A stochastic interest model with an application to insurance (Q1209485)

By modelling cumulative interest and the cumulative payment/disbursement stream as semimartingales, the author is able to provide general definitions of discount factors and final values and to present the values in a very abstract setting. This approach allows a unified description of several concepts previously used in either discrete- or continuous-time insurance models. The main technical tool is a result of \textit{Ch. Yoeurp} and \textit{M. Yor} on the explicit solution of a certain stochastic differential equation (the generalized stochastic exponential). As an application, it is shown how to fit a class of one- claim insurance contracts into the proposed framework.