Actuarial calculation of annuities under Markov stochastic interest rate model

DOI10.3969/j.issn.1001-4268.2023.06.001MaRDI QIDQ6559903

Hui Ou, Xiao-yun Mo, Guohua Qin

Publication date: 21 June 2024

Published in: Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

annuityexpected present valueannuity operator polynomialsMarkov stochastic interest ratevariance of present value

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

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