Interest and mortality randomness in some annuities

DOI10.1016/0167-6687(90)90033-AzbMath0711.62100MaRDI QIDQ923581

John A. Beekman, Clinton P. Fuelling

Publication date: 1990

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck processmean valuesadverse interestboundary crossing probabilitiescontingency reservesfunction space integralsjoint randomness in interest and mortalitylife annuity contractsmortality experiencepresent values of future payment streamsrandom interest ratesstandard deviations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes (60J99)

Related Items (26)

A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results ⋮ Analysis of survivorship life insurance portfolios with stochastic rates of return ⋮ A second order stochastic differential equation for the force of interest ⋮ A class of life insurance reserve model and risk analysis in a stochastic interest rate environment ⋮ A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate ⋮ The present value of a stochastic perpetuity and the gamma distribution ⋮ Moments of the present value of a portfolio of policies ⋮ Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Stochastic analysis of a portfolio of endowment insurance policies ⋮ Function space integration for annuities. ⋮ Optimal asset allocation in life annuities: a note. ⋮ Early surrender and the distribution of policy reserves ⋮ Annuities with controlled random interest rates. ⋮ On the Gerber–Shiu function with random discount rate ⋮ Moments of the cash value of future payment streams arising from life insurance contracts. ⋮ Extra randomness in certain annuity models ⋮ Self-Annuitization and Ruin in Retirement ⋮ Stochastic Analysis of the Interaction Between Investment and Insurance Risks ⋮ Stochastic interest model based on compound Poisson process and applications in actuarial science ⋮ A stochastic approach to insurance cycles ⋮ Interest randomness in annuities certain ⋮ Some further results on annuities certain with random interest ⋮ The premium and the risk of a life policy in the presence of interest rate fluctuations ⋮ Dual random model of increasing annuity ⋮ Approximations for life annuity contracts in a stochastic financial environment ⋮ Stochastic Life Annuities

Cites Work

• Sequential analysis. Tests and confidence intervals
• Immunization of multiple liabilities
• Stability of pension systems when rates of return are random
• Stochastic models for bond prices, function space integrals and immunization theory
• Approximations for the probability of ruin within finite time
• Compound poisson processes, as modified by Ornstein-Uhlenbeck processes, Part II
• Evaluations of barrier-crossing probabilities of Wiener paths
• Refined distributions for a multi-risk stochastic process
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