Some further results on annuities certain with random interest

DOI10.1016/0167-6687(92)90016-5zbMath0784.62092OpenAlexW1968445295MaRDI QIDQ1209482

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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A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results, An analytical inversion of a Laplace transform related to annuities certain, A second order stochastic differential equation for the force of interest, Bounds for present value functions with stochastic interest rates and stochastic volatility., Early surrender and the distribution of policy reserves, On life insurance reserves in a stochastic mortality and interest rates environment, Stochastic Analysis of the Interaction Between Investment and Insurance Risks, Dual random model of increasing annuity, On explicit solutions to stochastic differential equations, Stochastic Life Annuities

Cites Work

• Interest and mortality randomness in some annuities
• Extra randomness in certain annuity models
• The Laplace transform of annuities certain with exponential time distribution
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