Annuities with controlled random interest rates.
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Publication:1413394
DOI10.1016/S0167-6687(03)00109-4zbMath1074.91019OpenAlexW2062568234MaRDI QIDQ1413394
Rami Yosef, Wolfgang Stadje, David Perry
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00109-4
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Related Items (3)
Martingales associated with functions of Markov and finite variation processes ⋮ The premium and the risk of a life policy in the presence of interest rate fluctuations ⋮ Unifying the Dynkin and Lebesgue–Stieltjes formulae
Cites Work
- Interest and mortality randomness in some annuities
- The distributions of annuities
- A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
- Function space integration for annuities.
- Useful martingales for stochastic storage processes with Lévy input
- The joint density of the maximum and its location for a Wiener process with drift
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