Some further results on annuities certain with random interest

DOI10.1016/0167-6687(92)90016-5zbMATH Open0784.62092OpenAlexW1968445295MaRDI QIDQ1209482FDOQ1209482

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

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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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• 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 (19)

• On life insurance reserves in a stochastic mortality and interest rates environment
• Annuities under random rates of interest -- revisited.
• Bounds for present value functions with stochastic interest rates and stochastic volatility.
• A second order stochastic differential equation for the force of interest
• On explicit solutions to stochastic differential equations
• Stochastic Life Annuities
• The distributions of annuities
• A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results
• “Stochastic Annuities,” Daniel Dufresne, January 2007
• Dual random model of increasing annuity
• Interest randomness in annuities certain
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• Early surrender and the distribution of policy reserves
• Function space integration for annuities.
• Extra randomness in certain annuity models
• An analytical inversion of a Laplace transform related to annuities certain
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Laplace transform of annuities certain with exponential time distribution

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