Interest Randomness in Annuities Certain

Deschepper, A.;Devylder, F.;Goovaerts, M.;Kaas, R.
(1992) Insurance: Mathematics and Economics — Vol. 11, n° 4, p. 271-281 (1992)

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Authors
  • Deschepper, A.
    Author
  • Devylder, F.
    Author
  • Goovaerts, M.
    Author
  • Kaas, R.
    Author
Abstract
In the present contribution, a model is presented which can be used when interest rates are random for annuities certain. Expressions for the probability generating function, as well as for the corresponding density functions are obtained for the present value of future payment streams. The paper presents the first application of a series of applications of some ideas explained in a former paper entitled 'A stochastic approach to insurance cycles' by Goovaerts et al. (1992).
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Deschepper, A., Devylder, F., Goovaerts, M., & Kaas, R. (1992). Interest Randomness in Annuities Certain. Insurance: Mathematics and Economics, 11(4), 271-281. https://doi.org/10.1016/0167-6687(92)90015-4 (Original work published 1992)