Stochastic amortisation of debt

Devolder, Pierre
(1998) AFIR — Location: Cambridge, United Kingdom (16.September.1998)

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  • Devolder, PierreUCLouvain
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Abstract
The purpose of the paper is to present a stochastic approach to the classical actuarial paradigm of amortization of a debt. In a first section, we consider the situation of a floating contract where the borrower accepts each year a complete variation of his payments in function of the financial market. In a second section, we try to develop a model where the financial risk generated by the brownian motion is shared between the two parties
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Devolder, P. (1998). Stochastic amortisation of debt. AFIR, Cambridge, United Kingdom. https://hdl.handle.net/2078.5/138930