Modification of interest rate model based on compound poisson process and brownian motion affected by inflation rate. (March 2020)
- Record Type:
- Journal Article
- Title:
- Modification of interest rate model based on compound poisson process and brownian motion affected by inflation rate. (March 2020)
- Main Title:
- Modification of interest rate model based on compound poisson process and brownian motion affected by inflation rate
- Authors:
- Himmah, Faiqotul
Darti, Isnani
Karim, Corina - Abstract:
- Abstract: In actuarial science, interest rate model based on compound Poisson process and Brownian motion is proposed to determine actuarial present value. We used inflation rate in interest rate model to obtain the behavioural change of interest rate model under different parameters based on inflation rate data of Bank Indonesia. The interest rate model can be used to determine actuarial present value of term life insurance for discrete life annuities. To confirm the analytical result, some numerical simulations are presented.
- Is Part Of:
- Journal of physics. Volume 1490(2020)
- Journal:
- Journal of physics
- Issue:
- Volume 1490(2020)
- Issue Display:
- Volume 1490, Issue 1 (2020)
- Year:
- 2020
- Volume:
- 1490
- Issue:
- 1
- Issue Sort Value:
- 2020-1490-0001-0000
- Page Start:
- Page End:
- Publication Date:
- 2020-03
- Subjects:
- Physics -- Congresses
530.5 - Journal URLs:
- http://www.iop.org/EJ/journal/1742-6596 ↗
http://ioppublishing.org/ ↗ - DOI:
- 10.1088/1742-6596/1490/1/012047 ↗
- Languages:
- English
- ISSNs:
- 1742-6588
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 5036.223000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 25422.xml