A second order stochastic differential equation for the force of interest
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Publication:1902633
DOI10.1016/0167-6687(95)00005-DzbMath0835.62102WikidataQ115363815 ScholiaQ115363815MaRDI QIDQ1902633
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
interest rates; autocovariance function; expected value; present value; force of interest; first three moments; discounting process; immediate annuities certain; linear second order stochastic differential equation
62P05: Applications of statistics to actuarial sciences and financial mathematics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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