Remarks on the methodology introduced by Goovaerts et al

DOI10.1016/0167-6687(92)90018-7MaRDI QIDQ1209484zbMATH OpenOpenAlexFDO

Authors Griselda Deelstra, Freddy Delbaen

Publication date 16 May 1993

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/7574/1/gd-0001.pdf

zbMATH Keywords

path integralssemigroupsLagrange functioninfinitesimal generators

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic analysis (60H99)

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Cites work

• A stochastic approach to insurance cycles
• On some exponential functionals of Brownian motion

Cited in

(4)

• A second order stochastic differential equation for the force of interest
• Remarks on “boundary crossing result for brownian motion”
• Stochastic life annuities
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks

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