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A time‐continuous markov chain interest model with applications to insurance
8 references·0 citing·28 second hop
A time‐continuous markov chain interest model with applications to insurance (1995)A time‐continuous markov chain interest m…Differential equations for moments of present values in life insurance (1995)Differential equations for mo…Two Stochastic Approaches for Discounting Actuarial Functions (1994)Two Stochastic Approaches for…The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)The Distribution of a Perpetu…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Stochastic Modelling of Interest Rates with Applications to Life Contingencies. Part II (1981)Stochastic Modelling of Inter…Stochastic Modelling of Interest Rates with Applications to Life Contingencies (1980)Stochastic Modelling of Inter…The moments and distributions of actuarial functions (1978)The moments and distributions…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Markov Chain Models in Life Insurance (1969)Reserves in Life and Pension Insurance (1991)Estimating Adverse Selection Costs from Genetic Testing for Breast and Ovarian Cancer: The Case of Life Insurance (1999)A Mathematical Model of Alzheimer's Disease and the Apoe Gene (2000)Modeling Disability in Long-Term Care Insurance (2006)Stochastic Differential Equations (1972)Stochastic Differential Equations: Theory and Applications. (1976)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)A survey and some generalizations of Bessel processes (2003)Exponential functionals of Lévy processes (2005)Stochastic Differential Equations (2006)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)STOCHASTIC DIFFERENTIAL EQUATIONS: THEORY AND APPLICATIONS (1976)Optimum consumption and portfolio rules in a continuous-time model (1971)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)Moments of the present value of a portfolio of policies (1994)Stochastic Analysis of the Interaction Between Investment and Insurance Risks (1997)Extra randomness in certain annuity models (1992)Interest Rate Risk Management (1997)Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes (1989)Stochastic Life Annuities (2007)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 1995Differential equations for moments of present values in life insurance111 cited
  • 1980Stochastic Modelling of Interest Rates with Applications to Life Contingencies84 cited
  • 1994Two Stochastic Approaches for Discounting Actuarial Functions48 cited
  • 1978The moments and distributions of actuarial functions38 cited
  • 1981Stochastic Modelling of Interest Rates with Applications to Life Contingencies. Part II38 cited

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