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

Norberg, Ragnar

Scand. Actuarial J. 1990, No. 1-2, 14-33 (1990).

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)

MSC:

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

Keywords:

axiomatic approach; time-dependent forces of interest; consistent valuation rules; payment streams

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