The distributions of annuities

DOI10.1016/0167-6687(94)00018-2zbMath0814.62069OpenAlexW1980540057MaRDI QIDQ1341325

M. Vanneste, E. Labie, Marc J. Goovaerts

Publication date: 9 January 1995

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(94)00018-2

zbMATH Keywords

Bessel processesFeynman integralsrandom interest ratedistribution of annuitieslinear risk free interest intensity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99)

Related Items (14)

A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results ⋮ An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate ⋮ IBNR reserves under stochastic interest rates ⋮ Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Function space integration for annuities. ⋮ Optimal asset allocation in life annuities: a note. ⋮ Annuities with controlled random interest rates. ⋮ A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line ⋮ Closed-form approximations for diffusion densities: A path integral approach. ⋮ The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean ⋮ Martingales, scale functions and stochastic life annuities: A note ⋮ Supermodular ordering and stochastic annuities ⋮ Stochastic Life Annuities

Cites Work

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• Path−integral evaluation of a nonstationary Calogero model
• Path integration of a one-dimensional three-body problem with three-body forces
• Exact Solution of a Time-Dependent Quantal Harmonic Oscillator with a Singular Perturbation
• On Distributions of Certain Wiener Functionals

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