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Annuity Uncertainty with Stochastic Mortality and Interest Rates

โœ Scribed by Liu, Xiaoming


Book ID
121307178
Publisher
Informa UK (Taylor & Francis)
Year
2013
Tongue
English
Weight
409 KB
Volume
17
Category
Article
ISSN
1092-0277

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๐Ÿ“œ SIMILAR VOLUMES


A straightforward analytical calculation
โœ M. Vanneste; M.J. Goovaerts; A. De Schepper; J. Dhaene ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 305 KB

Starting from the moment generating function of the annuity certain with stochastic interest rate written by means of a time discretization of the Wiener process as an n-fold integral, a straightforward evaluation of the corresponding distribution function is obtained by letting n tend to infinity.