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General annuities under truncate stochastic interest rates

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  • KOCH, Inge
  • DE SCHEPPER, Ann

Abstract

An important part of the current financial and actuarial research deals with the investigation of present value functions in the case of a stochastic interest rate. In the present contribution, it is shown how interest rates can be restricted to meet special types of financial or actuarial constraints. Approximate but analytical expressions are given for the distribution of different types of annuities, and their accuracy is illustrated graphically.

Suggested Citation

  • KOCH, Inge & DE SCHEPPER, Ann, "undated". "General annuities under truncate stochastic interest rates," Working Papers 2004016, University of Antwerp, Faculty of Business and Economics.
    • Handle: RePEc:ant:wpaper:2004016
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    Cited by:

    1. Date, P. & Mamon, R. & Wang, I.C., 2007. "Valuation of cash flows under random rates of interest: A linear algebraic approach," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 84-95, July.
    2. Date, P. & Mamon, R. & Jalen, L. & Wang, I.C., 2010. "A linear algebraic method for pricing temporary life annuities and insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 98-104, August.

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