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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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Suggested Citation

  • 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. repec:cup:astinb:v:24:y:1994:i:02:p:167-181_00 is not listed on IDEAS
    2. 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.
    3. 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.
    4. Griselda Deelstra & Freddy Delbaen, 1992. "Remarks on the methodology introduced by Goovaerts et al," ULB Institutional Repository 2013/7574, ULB -- Universite Libre de Bruxelles.
    5. repec:cup:astinb:v:19:y:1989:i:02:p:131-138_00 is not listed on IDEAS
    6. repec:cup:astinb:v:24:y:1994:i:01:p:47-60_00 is not listed on IDEAS
    7. repec:cup:astinb:v:19:y:1989:i:s1:p:43-50_00 is not listed on IDEAS
    8. 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.
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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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