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Quantitative Finance and Economics, 2018, 2(1): 246-260. doi: 10.3934/QFE.2018.1.246.
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Stochastic interest model driven by compound Poisson process and Brownian motion with applications in life contingencies
1 School of Statistics, Qufu Normal University, Qufu, Shandong 273165, China
2 School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai 201620, China
3 MRC Biostatistics Unit, University of Cambridge, Cambridge, CB2 0SR, UK
Received: , Accepted: , Published:
Keywords: compound Poisson process; Brownian motion; force of interest; expected discounted function; life annuity; actuarial present values
Citation: Shilong Li, Xia Zhao, Chuancun Yin, Zhiyue Huang. Stochastic interest model driven by compound Poisson process and Brownian motion with applications in life contingencies. Quantitative Finance and Economics, 2018, 2(1): 246-260. doi: 10.3934/QFE.2018.1.246
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