Some further results on annuities certain with random interest

DOI10.1016/0167-6687(92)90016-5MaRDI QIDQ1209482zbMATH OpenOpenAlexFDO

Authors 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)

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• The Laplace transform of annuities certain with exponential time distribution
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Cites work

• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 3448056 (Why is no real title available?)
• scientific article; zbMATH DE number 3082267 (Why is no real title available?)
• 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

(20)

• 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
• The distributions of annuities
• Retrieval of the law of a random payment stream by the joint law of its final value and the interest rate at some fixed time
• 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
• Stochastic life annuities
• Interest randomness in annuities certain
• Extra randomness in certain annuity models
• Early surrender and the distribution of policy reserves
• Function space integration for annuities.
• An analytical inversion of a Laplace transform related to annuities certain
• Stochastic Analysis of the Interaction Between Investment and Insurance Risks
• The Laplace transform of annuities certain with exponential time distribution
• scientific article; zbMATH DE number 2119855 (Why is no real title available?)
• scientific article; zbMATH DE number 6747038 (Why is no real title available?)

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