Extra randomness in certain annuity models

DOI10.1016/0167-6687(92)90059-KzbMath0744.62142OpenAlexW2025175061MaRDI QIDQ1185320

John A. Beekman, Clinton P. Fuelling

Publication date: 28 June 1992

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

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90059-k

zbMATH Keywords

Wiener processmean valuesannuitiesboundary crossing probabilitiesjoint randomness in interest and mortalitypresent values of future payment streamsrandom interest ratesstandard deviationsfuture lifetimes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Special processes (60K99) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (26)

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Cites Work

• Risk theory for the compound Poisson process that is perturbed by diffusion
• Interest and mortality randomness in some annuities
• Evaluations of barrier-crossing probabilities of Wiener paths
• Radon-Nikodym Derivatives of Gaussian Measures
• On Certain Confidence Contours for Distribution Functions
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