Some remarks concerning stochastic interest rates in relation to long term insurance policies

DOI10.1080/03461238.1991.10413885MaRDI QIDQ4034587zbMATH OpenOpenAlexFDO

Authors Dimitris J. Papachristou, Howard R. Waters

Publication date 16 May 1993

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1991.10413885

zbMATH Keywords

covariancecalculation of momentsgeneral stochastic interest rate modelslong term sickness insurance policy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• The recursive calculation of the moments of the profit on a sickness insurance policy

Cited in

(10)

• A counting process approach to stochastic interest
• scientific article; zbMATH DE number 6342190 (Why is no real title available?)
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
• Sensitivity analysis of the moments of the profit on an income protection policy
• Stochastic analysis of a portfolio of endowment insurance policies
• A time‐continuous markov chain interest model with applications to insurance
• Thiele's differential equation with stochastic interest of diffusion type
• Long-term risk with stochastic interest rates
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• Aggregate fluctuations, interest rates, and repeated insurance under private information

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