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Scandinavian Actuarial Journal Volume 1998, 1998 - Issue 2
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Original article

Stochastic interest rate in life insurance: The principle of equivalence revisited

Svein-Arne Persson Norwegian School of Economics and Business Administration, Institute of Finance and Management Science, Helleveien 30, N-5035, Bergen-Sandviken, Norway Fax: E-mail: [email protected]
Pages 97-112 | Received 01 Dec 1996, Published online: 22 Dec 2011

References

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  • Hoem , J. M. 1968 . “ Application of time-continuous Markov chains to life insurance ” . In Memorandum of 29 April 1968 , Department of Economics, University of Oslo .
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  • Norberg , R. 1992 . Hattendorffs theorem and Thiele's differential equation generalized . Scand. Actuarial J. , : 2 – 14 .
  • Norberg , R. & Moller . 1996 . Thiele's differential equation by stochastic interest of diffusion type . Scand. Actuarial J. , : 37 – 49 .
  • Persson , S.-A. 1994 . “ Pricing life insurance contracts under financial uncertainty ” . In Doctoral dissertation , Bergen , , Norway : Norwegian School of Economics and Business Administration .
  • Persson , S.-A. Random benefits and stochastic interest rates in life insurance . Proceedings from the 5th AFIR International Colloquium . September 1995 , Brussels .
  • Ramlau-Hansen , H. 1990 . Thiele's equation as a basis for product development . Scand. Actuarial J. , : 97 – 104 .
  • Vasicek , O. 1977 . An equilibrium characterization of the term structure . Journal of Financial Economics , 5 : 177 – 188 .

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