“Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends,” Hans U. Gerber and Elias S. W. Shiu, July 2003

DOI10.1080/10920277.2003.10596123MaRDI QIDQ5715941zbMATH OpenOpenAlexFDO

Authors John A. Beekman

Publication date 5 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2003.10596123

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• A collective risk comparative study
• A series for infinite time ruin probabilities
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)

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