A second order stochastic differential equation for the force of interest

DOI10.1016/0167-6687(95)00005-DzbMath0835.62102OpenAlexW2006480469WikidataQ115363815 ScholiaQ115363815MaRDI QIDQ1902633

Gary Parker

Publication date: 21 April 1996

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

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00005-d

zbMATH Keywords

interest ratesautocovariance functionexpected valuepresent valueforce of interestfirst three momentsdiscounting processimmediate annuities certainlinear second order stochastic differential equation

Mathematics Subject Classification ID

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

Related Items (5)

Stochastic pension fund modelling ⋮ Generalized interest rate dynamics and its impacts on finance and pensions ⋮ Log-gamma motion as flexible model for generalized interest rates ⋮ Stochastic Analysis of the Interaction Between Investment and Insurance Risks ⋮ Stochastic interest model based on compound Poisson process and applications in actuarial science

Cites Work

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• Interest and mortality randomness in some annuities
• Extra randomness in certain annuity models
• Stochastic discounting
• Some further results on annuities certain with random interest
• Remarks on the methodology introduced by Goovaerts et al
• On some exponential functionals of Brownian motion
• Moments of the present value of a portfolio of policies

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