A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall

DOI10.1080/03461230050131849zbMath0928.62102OpenAlexW2115028198MaRDI QIDQ4258728

Bart Heijnen, Ann De Schepper, Marc J. Goovaerts

Publication date: 14 September 1999

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

Full work available at URL: https://doi.org/10.1080/03461230050131849

zbMATH Keywords

Laplace transformsWiener processesstochastic interest ratesannuityperpetuityFeynman-Kac transformsimpenetrable wall

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)

Related Items (1)

Function space integration for annuities.

Cites Work

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• Interest randomness in annuities certain
• The Laplace transform of annuities certain with exponential time distribution
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results
• How to solve path integrals in quantum mechanics

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