Thiele's differential equation with stochastic interest of diffusion type
DOI10.1080/03461238.1996.10413961zbMath0845.62077WikidataQ115297927 ScholiaQ115297927MaRDI QIDQ4881685
Ragnar Norberg, Christian Max Møller
Publication date: 11 June 1996
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1996.10413961
life insurance; reserves; stochastic discounting; Thiele's differential equation; counting process driven payments; diffusion driven stochastic interest
62P05: Applications of statistics to actuarial sciences and financial mathematics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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Cites Work
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- Reserves in Life and Pension Insurance
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