Interest randomness in annuities certain

DOI10.1016/0167-6687(92)90015-4MaRDI QIDQ1209481zbMATH OpenOpenAlexFDO

Authors Ann De Schepper, Floriaen E. C. De Vylder, Marc J. Goovaerts, Rob Kaas

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

annuities certainBrownian motioncontinuous pathsdensity functionsfunctional integrationinsurance cyclespath-integralprobability generating functionWiener process

Mathematics Subject Classification ID

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

Review text

This paper discusses the path-integral evaluation of the expectation \[ E\left[\exp\left(-\int^ n_ 0\varphi(t,X(t))dt\right)\right], \] where \(\{X(t)\}\) is a stochastic process with continuous paths. In particular, it considers the special case \(\varphi(t,X(t))=\exp[-\delta t-X(t)]\).

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Cites work

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

Cited in

(21)

• The Laplace transform of annuities certain with exponential time distribution
• Remarks on the methodology introduced by Goovaerts et al
• Martingales, scale functions and stochastic life annuities: A note
• 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
• Function space integration for annuities.
• Optimal asset allocation in life annuities: a note.
• Annuities with controlled random interest rates.
• Annuities under random rates of interest -- revisited.
• Integrals for continuous-time Markov chains.
• Analytical calculation of risk measures for variable annuity guaranteed benefits
• The premium and the risk of a life policy in the presence of interest rate fluctuations
• 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
• Interest randomness and differential equations
• Evaluation techniques for distributions arising from stochastic processes defined from a lagrangian
• Stochastic life annuities
• Dual random model of increasing annuity
• Target benefit pension with longevity risk and stochastic interest rate valuation

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