A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results

DOI10.1080/03461238.1997.10413974zbMath0928.62101OpenAlexW2312999132MaRDI QIDQ4248557

Rob Kaas, Ann De Schepper, Marc J. Goovaerts

Publication date: 6 October 1999

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1997.10413974

zbMATH Keywords

Wiener processesperpetuityannuity certaininterest randomness

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall ⋮ IBNR reserves under stochastic interest rates ⋮ An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates ⋮ Function space integration for annuities. ⋮ A linear algebraic method for pricing temporary life annuities and insurance policies ⋮ Dual random model of increasing annuity ⋮ Valuation of cash flows under random rates of interest: a linear algebraic approach

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