Function space integration for annuities.

DOI10.1016/S0167-6687(01)00074-9zbMath1063.91039WikidataQ127174044 ScholiaQ127174044MaRDI QIDQ1413284

Wolfgang Stadje, David Perry

Publication date: 16 November 2003

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

zbMATH Keywords

stopping timereflected Brownian motionrandom interest rateMarkov timeactive life of insurance

Mathematics Subject Classification ID

Related Items (5)

Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Annuities with controlled random interest rates. ⋮ On a nonrenewable resource extraction game played by asymmetric firms ⋮ The first rendezvous time of Brownian motion and compound Poisson-type processes ⋮ The premium and the risk of a life policy in the presence of interest rate fluctuations

Cites Work

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• On some exponential functionals of Brownian motion
• Useful martingales for stochastic storage processes with Lévy input
• A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results
• A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall

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