✦ LIBER ✦

092035 (M22) A dynamic programming approach to pension funding : Haberman S., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 84 KB
Volume: 20
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(97)80659-2

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Yushkevich can also be applied to certain models where control of the flow is possible. The method consists in a transformation to a model without control of the flow by a kind of time change.

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092065 (E51) On some filtering problems

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Counting processes and their compensators are introduced at a heuristic level. The martingale property of stochastic integrals with respect to a compensated counting process leads to moment estimates and asymptotic normal distributions for statistics arising in multiple state, non-parametric and sem