Function space integration for annuities.
type: Item
instance of: scholarly article
title: Function space integration for annuities.
zbMATH Open document ID: 1063.91039
DOI: 10.1016/S0167-6687(01)00074-9
author: David Perry
author: Wolfgang Stadje
published in: Insurance Mathematics \& Economics
publication date: 2003-11-16T00:00:00Z
review text: The authors derive explicit formulas for the expected values of annuities with a random interest rate, modeled by a reflected Brownian motion at zero (RBM) stopped by certain Markov times. They consider times \(\tau\) of the following kinds: (i) \(\tau\) is constant, (ii) \(\tau\) is a random and independent variable of the RBM { X}, (iii) \(\tau\) is the first time { X} reaches a prespecified level, and (iv) minima of these stopping times. The case of Brownian motion without reflection is also briefly discussed.
reviewed by: Gabriel Talmain
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 2003994
zbMATH Keywords: random interest rate
zbMATH Keywords: reflected Brownian motion
zbMATH Keywords: Markov time
zbMATH Keywords: active life of insurance
zbMATH Keywords: stopping time
MaRDI profile type: Publication
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Wikidata QID: Q127174044
description: scientific article; zbMATH DE number 2003994