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Stochastic discounting

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  • Buhlmann, H.

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  • Buhlmann, H., 1992. "Stochastic discounting," Insurance: Mathematics and Economics, Elsevier, vol. 11(2), pages 113-127, August.
  • Handle: RePEc:eee:insuma:v:11:y:1992:i:2:p:113-127
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    Cited by:

    1. Platen, Eckhard, 2001. "A benchmark model for financial markets," SFB 373 Discussion Papers 2001,52, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Hans Buhlmann & Eckhard Platen, 2002. "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series 74, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Milevsky, Moshe Arye, 1997. "The present value of a stochastic perpetuity and the Gamma distribution," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 243-250, October.

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