Stochastic Life Annuities

DOI10.1080/10920277.2007.10597441zbMath1480.91199OpenAlexW2103752652MaRDI QIDQ5019716

Daniel Dufresne

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/34341

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

Related Items (17)

Valuation of employee stock options using the exercise multiple approach and life tables ⋮ Valuing guaranteed equity-linked contracts by Laguerre series expansion ⋮ The Gerber-Shiu function and the generalized Cramér-Lundberg model ⋮ A recursive approach to mortality-linked derivative pricing ⋮ Efficiency of institutional spending and investment rules ⋮ Valuing equity-linked death benefits and other contingent options: a discounted density approach ⋮ Geometric stopping of a random walk and its applications to valuing equity-linked death benefits ⋮ Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits ⋮ Annuity Uncertainty with Stochastic Mortality and Interest Rates ⋮ Valuing equity-linked death benefits in jump diffusion models ⋮ An application of comonotonicity theory in a stochastic life annuity framework ⋮ Discrete sums of geometric Brownian motions, annuities and Asian options ⋮ Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality ⋮ On a dual model with a dividend threshold ⋮ Valuation of cliquet-style guarantees with death benefits ⋮ Valuing equity-linked death benefits in general exponential Lévy models ⋮ Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model

Uses Software

• NetNUMPAC

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Weak convergence of random growth processes with applications to insurance
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• Martingales and stochastic integrals in the theory of continuous trading
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• Some further results on annuities certain with random interest
• The Laplace transform of annuities certain with exponential time distribution
• Remarks on the methodology introduced by Goovaerts et al
• An analytical inversion of a Laplace transform related to annuities certain
• The distributions of annuities
• A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
• Approximations for life annuity contracts in a stochastic financial environment
• Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion
• Laguerre Series for Asian and Other Options
• The integral of geometric Brownian motion
• The moment problem for some Wiener functionals: corrections to previous proofs (with an appendix by H. L. Pedersen)
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• On some exponential functionals of Brownian motion
• Moments of the present value of a portfolio of policies
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The log-normal approximation in financial and other computations
• Brownian Motion in the Stock Market
• Exponential functionals of Brownian motion and related processes

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