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The Laplace transform of annuities certain with exponential time distribution

โœ Scribed by A. De Schepper; M. Goovaerts; F. Delbaen

Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
248 KB
Volume
11
Category
Article
ISSN
0167-6687

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๐Ÿ“œ SIMILAR VOLUMES

A straightforward analytical calculation
A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
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.