A counting process approach to stochastic interest

The aim of the present paper is to propose a stochastic approach for describing the return of an investment, and study its applications in insurance. The process governing the return of the investment is assumed to have bounded variation over finite intervals and possess a jump part. Attention is re...

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Bibliographic Details
Published inInsurance, mathematics & economics Vol. 17; no. 2; pp. 181 - 192
Main Author Moller, Christian Max
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.10.1995
Elsevier
Elsevier Sequoia S.A
SeriesInsurance: Mathematics and Economics
Subjects
Doléans equation
Insurance coverage
Interest
Interest rates
Marked point process
Markov analysis
Markovian environment
Payment functions
Pricing policies
Return on investment
Stochastic models
Stochastic processes
Studies
Doléans equation
Payment functions
Marked point process
Markovian environment
Online AccessGet full text
ISSN0167-6687
1873-5959
DOI10.1016/0167-6687(95)00020-S

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Summary:The aim of the present paper is to propose a stochastic approach for describing the return of an investment, and study its applications in insurance. The process governing the return of the investment is assumed to have bounded variation over finite intervals and possess a jump part. Attention is restricted to cases where the process has independent increments and is subject to fluctuations given by a Markovian environment. In the first case direct calculations are obtainable for evaluating moments of present and accumulated values. In the last case we establish differential equations akin to the celebrated Thiele's differential equation in life insurance.
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ISSN:0167-6687
1873-5959
DOI:10.1016/0167-6687(95)00020-S