Interest randomness in annuities certain

DOI10.1016/0167-6687(92)90015-4zbMath0778.62098OpenAlexW2045152648MaRDI QIDQ1209481

F. Etienne De Vylder, Marc J. Goovaerts, Rob Kaas, Ann De Schepper

Publication date: 16 May 1993

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

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90015-4

zbMATH Keywords

probability generating functionWiener processBrownian motiondensity functionsfunctional integrationpath-integralcontinuous pathsinsurance cyclesannuities certain

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic integrals (60H05)

Related Items (16)

A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results ⋮ A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall ⋮ The distributions of annuities ⋮ A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate ⋮ IBNR reserves under stochastic interest rates ⋮ The present value of a stochastic perpetuity and the gamma distribution ⋮ Interest randomness and differential equations ⋮ Evaluation techniques for distributions arising from stochastic processes defined from a lagrangian ⋮ Function space integration for annuities. ⋮ Optimal asset allocation in life annuities: a note. ⋮ Analytical calculation of risk measures for variable annuity guaranteed benefits ⋮ The Laplace transform of annuities certain with exponential time distribution ⋮ The premium and the risk of a life policy in the presence of interest rate fluctuations ⋮ Dual random model of increasing annuity ⋮ Martingales, scale functions and stochastic life annuities: A note ⋮ Stochastic Life Annuities

Cites Work

• Interest and mortality randomness in some annuities
• Extra randomness in certain annuity models
• A stochastic approach to insurance cycles
• The Laplace transform of annuities certain with exponential time distribution

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