Interest and mortality randomness in some annuities
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Publication:923581
DOI10.1016/0167-6687(90)90033-AzbMath0711.62100MaRDI QIDQ923581
John A. Beekman, Clinton P. Fuelling
Publication date: 1990
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Ornstein-Uhlenbeck processmean valuesadverse interestboundary crossing probabilitiescontingency reservesfunction space integralsjoint randomness in interest and mortalitylife annuity contractsmortality experiencepresent values of future payment streamsrandom interest ratesstandard deviations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes (60J99)
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Cites Work
- Sequential analysis. Tests and confidence intervals
- Immunization of multiple liabilities
- Stability of pension systems when rates of return are random
- Stochastic models for bond prices, function space integrals and immunization theory
- Approximations for the probability of ruin within finite time
- Compound poisson processes, as modified by Ornstein-Uhlenbeck processes, Part II
- Evaluations of barrier-crossing probabilities of Wiener paths
- Refined distributions for a multi-risk stochastic process
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