Remarks on the methodology introduced by Goovaerts et al

DOI10.1016/0167-6687(92)90018-7zbMATH Open0768.62096OpenAlexW1994912147MaRDI QIDQ1209484FDOQ1209484

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

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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)

Cites Work

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

Cited In (4)

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

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