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

Wiener processBrownian motionprobability generating functionfunctional integrationdensity functionspath-integralcontinuous pathsannuities certaininsurance cycles

Mathematics Subject Classification ID

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

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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)

• Annuities under random rates of interest -- revisited.
• The premium and the risk of a life policy in the presence of interest rate fluctuations
• Integrals for continuous-time Markov chains.
• The present value of a stochastic perpetuity and the gamma distribution
• Annuities with controlled random interest rates.
• Martingales, scale functions and stochastic life annuities: A note
• Analytical calculation of risk measures for variable annuity guaranteed benefits
• The distributions of annuities
• A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
• Target benefit pension with longevity risk and stochastic interest rate valuation
• Interest randomness and differential equations
• A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results
• Optimal asset allocation in life annuities: a note.
• IBNR reserves under stochastic interest rates
• Evaluation techniques for distributions arising from stochastic processes defined from a lagrangian
• Dual random model of increasing annuity
• A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall
• Stochastic life annuities
• Remarks on the methodology introduced by Goovaerts et al
• Function space integration for annuities.
• The Laplace transform of annuities certain with exponential time distribution

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