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A second order stochastic differential equation for the force of interest

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  • Parker, Gary

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  • Parker, Gary, 1995. "A second order stochastic differential equation for the force of interest," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 211-224, July.
    • Handle: RePEc:eee:insuma:v:16:y:1995:i:3:p:211-224
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    References listed on IDEAS

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    1. Deelstra, G. & Delbaen, F., 1992. "Remarks on the methodology introduced by Goovaerts et al," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 295-299, December.
    2. Parker, Gary, 1994. "Limiting Distribution of the Present Value of a Portfolio," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 47-60, May.
    3. Dhaene, Jan, 1989. "Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes," ASTIN Bulletin, Cambridge University Press, vol. 19(2), pages 131-138, November.
    4. De Schepper, A. & Goovaerts, M., 1992. "Some further results on annuities certain with random interest," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 283-290, December.
    5. Griselda Deelstra & Freddy Delbaen, 1992. "Remarks on the methodology introduced by Goovaerts et al," ULB Institutional Repository 2013/7574, ULB -- Universite Libre de Bruxelles.
    6. Parker, Gary, 1994. "Two Stochastic Approaches for Discounting Actuarial Functions," ASTIN Bulletin, Cambridge University Press, vol. 24(2), pages 167-181, November.
    7. Beekman, John A. & Fuelling, Clinton P., 1990. "Interest and mortality randomness in some annuities," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 185-196, September.
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    Cited by:

    1. Cairns, Andrew J. G. & Parker, Gary, 1997. "Stochastic pension fund modelling," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 43-79, October.
    2. Jozef Kiselak & Philipp Hermann & Milan Stehlik, 2016. "Negative interest rates: why and how?," Papers 1601.02246, arXiv.org.

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