A time‐continuous markov chain interest model with applications to insurance

DOI10.1002/asm.3150110306zbMath1067.91509OpenAlexW2016893620MaRDI QIDQ4940114

Ragnar Norberg

Publication date: 2 March 2000

Published in: Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asm.3150110306

zbMATH Keywords

differential equationsstochastic interestreserves

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Linear ordinary differential equations and systems (34A30) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites Work

• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Some remarks concerning stochastic interest rates in relation to long term insurance policies

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