A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate

DOI10.1016/S0167-6687(97)00004-8zbMath0893.62105OpenAlexW2001576913MaRDI QIDQ1381157

M. Vanneste, Ann De Schepper, Marc J. Goovaerts, Jan Dhaene

Publication date: 4 May 1998

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(97)00004-8

zbMATH Keywords

Wiener processmoment generating functionstochastic interest rateannuity certainIBNR resultspension fund calculations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (9)

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. ⋮ On life insurance reserves in a stochastic mortality and interest rates environment ⋮ Self-Annuitization and Ruin in Retirement ⋮ 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 ⋮ Stochastic Life Annuities

Cites Work

• Interest and mortality randomness in some annuities
• Extra randomness in certain annuity models
• Interest randomness in annuities certain
• The Laplace transform of annuities certain with exponential time distribution
• From planar Brownian windings to Asian options
• An analytical inversion of a Laplace transform related to annuities certain
• The distributions of annuities
• Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• On some exponential functionals of Brownian motion
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

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