A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results

DOI10.1080/03461238.1997.10413974MaRDI QIDQ4248557zbMATH OpenOpenAlexFDO

Authors Ann De Schepper, Marc J. Goovaerts, Rob Kaas

Publication date 6 October 1999

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1997.10413974

zbMATH Keywords

annuity certaininterest randomnessperpetuityWiener processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A stochastic approach to insurance cycles
• An analytical inversion of a Laplace transform related to annuities certain
• Extra randomness in certain annuity models
• scientific article; zbMATH DE number 3824228 (Why is no real title available?)
• scientific article; zbMATH DE number 3433270 (Why is no real title available?)
• Interest and mortality randomness in some annuities
• Interest randomness in annuities certain
• Some further results on annuities certain with random interest
• Stochastic processes defined from a Lagrangian
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• The distributions of annuities
• The Laplace transform of annuities certain with exponential time distribution

Cited in

(11)

• Interest randomness in annuities certain
• IBNR reserves under stochastic interest rates
• Function space integration for annuities.
• Simulation of the present value of perpetuity in CIR interest model
• A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall
• On the distribution of the price of perpetual annuity with a binomial model of the interest rate
• Dual random model of increasing annuity
• A linear algebraic method for pricing temporary life annuities and insurance policies
• Proof of the perpetuity equation
• An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates
• Valuation of cash flows under random rates of interest: a linear algebraic approach

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