Some further results on annuities certain with random interest

DOI10.1016/0167-6687(92)90016-5zbMath0784.62092OpenAlexW1968445295MaRDI QIDQ1209482

Ann De Schepper, Marc J. Goovaerts

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)90016-5

zbMATH Keywords

Laplace transformWiener processesmoment generating functionpath-integralsannuities certainexponential time distributioninterest randomness in annuities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (10)

A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results ⋮ An analytical inversion of a Laplace transform related to annuities certain ⋮ A second order stochastic differential equation for the force of interest ⋮ Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Early surrender and the distribution of policy reserves ⋮ On life insurance reserves in a stochastic mortality and interest rates environment ⋮ Stochastic Analysis of the Interaction Between Investment and Insurance Risks ⋮ Dual random model of increasing annuity ⋮ On explicit solutions to stochastic differential equations ⋮ Stochastic Life Annuities

Cites Work

• Interest and mortality randomness in some annuities
• Extra randomness in certain annuity models
• The Laplace transform of annuities certain with exponential time distribution
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