A stochastic model for the force of interest

DOI10.1007/BF02808264MaRDI QIDQ4859995zbMATH OpenFDO

Authors Emilia Di Lorenzo, Marilena Sibillo

Publication date 6 May 1996

Published in Blätter der DGVFM (Search for Journal in Brave)

zbMATH Keywords

characterizationsstochastic modelOrnstein- Uhlenbeck processforce of interestcapitalization processprensence of barriers

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• scientific article; zbMATH DE number 193078 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• Compound Poisson processes, as modified by Ornstein-Uhlenbeck processes
• Moments of the present value of a portfolio of policies
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

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• A stochastic model for financial evaluation: Applications to actuarial constructs

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