Stochastic Interest Model Based on Compound Poisson Process and Applications in Actuarial Science

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Li, Shilong; Yin, Chuancun; Zhao, Xia; Dai, Hongshuai;
(2017)
  • Publisher: Hindawi
  • Journal: Mathematical Problems in Engineering (issn: 1024-123X, eissn: 1563-5147)
  • Related identifiers: doi: 10.1155/2017/3472319
  • Subject: TA1-2040 | Mathematics | Engineering (General). Civil engineering (General) | QA1-939 | Article Subject

Considering stochastic behavior of interest rates in financial market, we construct a new class of interest models based on compound Poisson process. Different from the references, this paper describes the randomness of interest rates by modeling the force of interest w... View more
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