A stochastic model for the force of interest

DOI10.1007/BF02808264zbMATH Open0836.62083MaRDI QIDQ4859995FDOQ4859995

Authors: Emilia Di Lorenzo, Marilena Sibillo 

Publication date: 6 May 1996

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

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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)

Cites Work

• Title not available (Why is that?)
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Title not available (Why is that?)
• Title not available (Why is that?)
• Moments of the present value of a portfolio of policies
• Compound Poisson processes, as modified by Ornstein-Uhlenbeck processes

Cited In (4)

• Title not available (Why is that?)
• A second order stochastic differential equation for the force of interest
• Title not available (Why is that?)
• A stochastic model for financial evaluation: Applications to actuarial constructs

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