Differential systems in finance and life insurance

zbMATH Open1185.91196MaRDI QIDQ3606196FDOQ3606196

Authors: Mogens Steffensen 

Publication date: 26 February 2009

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• scientific article; zbMATH DE number 1865407

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cited In (3)

• On the application of Thiele's differential equation in life insurance
• Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents
• Sensitivity of life insurance reserves via Markov semigroups

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