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Hattendorff's theorem for non-smooth continuous-time Markov models I: Theory

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  • Milbrodt, Hartmut

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  • Milbrodt, Hartmut, 1999. "Hattendorff's theorem for non-smooth continuous-time Markov models I: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 181-195, November.
    • Handle: RePEc:eee:insuma:v:25:y:1999:i:2:p:181-195
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    References listed on IDEAS

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    1. Ramlau-Hansen, Henrik, 1988. "The emergence of profit in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 7(4), pages 225-236, December.
    2. R.D. Gill, 1980. "Censoring and Stochastic Integrals," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 34(2), pages 124-124, June.
    3. Norberg, Ragnar, 1995. "Differential equations for moments of present values in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 171-180, October.
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    Cited by:

    1. Guglielmo D’Amico & Fulvio Gismondi & Filippo Petroni, 2020. "Insurance Contracts for Hedging Wind Power Uncertainty," Mathematics, MDPI, vol. 8(8), pages 1-16, August.
    2. Milbrodt, Hartmut, 2000. "Hattendorff's theorem for non-smooth continuous-time Markov models II: Application," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 1-14, February.
    3. D’Amico, Guglielmo & Petroni, Filippo & Prattico, Flavio, 2017. "Insuring wind energy production," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 542-553.

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