Payment measures, interest, and discounting. An axiomatic approach with applications to insurance. (English) Zbl 0734.62100

This paper presents an axiomatic approach to time-dependent forces of interest. Starting with a set of reasonable axioms, the author determines a wide class of consistent valuation rules for payment streams, which are represented as measures on the real line. Some actuarial applications are given.
Reviewer: E.Shiu (Winnipeg)


62P05 Applications of statistics to actuarial sciences and financial mathematics
91B28 Finance etc. (MSC2000)
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