Martingale Valuation of Cash Flows for Insurance and Interest Models

DOI10.1080/10920277.2004.10596150MaRDI QIDQ5715974zbMATH OpenOpenAlexFDO

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

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Cited in

(5)

• A mathematical model of pricing in a large system of cash bonds
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