Function space integration for annuities
| Autor(en): | Perry, D Stadje, W |
Stichwörter: | annuity; Business & Economics; Economics; Markov time; Mathematical Methods In Social Sciences; Mathematics; Mathematics, Interdisciplinary Applications; random interest rate; RANDOMNESS; reflected Brownian motion; Social Sciences, Mathematical Methods; Statistics & Probability | Erscheinungsdatum: | 2001 | Herausgeber: | ELSEVIER | Enthalten in: | INSURANCE MATHEMATICS & ECONOMICS | Band: | 29 | Ausgabe: | 1 | Startseite: | 73 | Seitenende: | 82 | Zusammenfassung: | We 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. We consider times tau of the following kinds: (i) tau is constant, (ii) tau is a random and independent 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. (C) 2001 Elsevier Science B.V All rights reserved. |
ISSN: | 01676687 | DOI: | 10.1016/S0167-6687(01)00074-9 |
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