Actuarial calculation of annuities under Markov stochastic interest rate model

DOI10.3969/J.ISSN.1001-4268.2023.06.001MaRDI QIDQ6559903zbMATH OpenFDO

Authors Xiaoyun Mo, Guohua Qin, Hui Ou

Publication date 21 June 2024

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2023.06.001

zbMATH Keywords

annuityannuity operator polynomialsexpected present valueMarkov stochastic interest ratevariance of present value

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Actuarial mathematics (91G05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
• Valueing equity-indexed annuities with mortality risks

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