Interest randomness in annuities certain
type: Item
instance of: scholarly article
title: Interest randomness in annuities certain
zbMATH Open document ID: 0778.62098
DOI: 10.1016/0167-6687(92)90015-4
published in: Insurance Mathematics \& Economics
publication date: 1993-05-16T00:00:00Z
review text: This paper discusses the path-integral evaluation of the expectation \[ E\left[\exp\left(-\int^ n_ 0\varphi(t,X(t))dt\right)\right], \] where \(\{X(t)\}\) is a stochastic process with continuous paths. In particular, it considers the special case \(\varphi(t,X(t))=\exp[-\delta t-X(t)]\).
reviewed by: E. S. W. Shiu
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60H05
zbMATH DE Number: 167977
zbMATH Keywords: annuities certain
zbMATH Keywords: probability generating function
zbMATH Keywords: density functions
zbMATH Keywords: functional integration
zbMATH Keywords: insurance cycles
zbMATH Keywords: Brownian motion
zbMATH Keywords: Wiener process
zbMATH Keywords: path-integral
zbMATH Keywords: continuous paths
author: Ann De Schepper
author: Floriaen E. C. De Vylder
author: Marc J. Goovaerts
author: Rob Kaas
MaRDI profile type: Publication
full work available at URL: 0167-6687(92)90015-4
OpenAlex ID: W2045152648
cites work: Interest and mortality randomness in some annuities
cites work: Extra randomness in certain annuity models
cites work: The Laplace transform of annuities certain with exponential time distribution
cites work: A stochastic approach to insurance cycles
description: scientific article; zbMATH DE number 167977