Time-risk discount valuation of life contacts

zbMath1124.91345MaRDI QIDQ1879153

Dianfa Chen, George Xiang

Publication date: 22 September 2004

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

zbMATH Keywords

martingale; backward stochastic differential equation; policy

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)