Interest randomness in annuities certain

Deschepper, A; Devylder, F.; Goovaerts, Marc; Kaas, Rob

doi:10.1016/0167-6687(92)90015-4

Cited by 23 publications

(6 citation statements)

References 3 publications

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“…Not only are different processes used but they are also used in different ways. Two approaches that are used in existing literature are, firstly, the modeling of the force of interest accumulation function (see, for example, DEVOLDER (1986), BEEKMAN and FUEL-LING (1990, 1993, DE SCHEPPER et al (1992a, 1992b, DE SCHEPPER and GOOVAERTS (1992)), and secondly, the modeling of the force of interest (see, for example, PANJER and BELLHOUSE (1980), DHAENE (1989), FREES (1990), PARKER (1992, 1993a, 1993b, 1994), NORBERG (1993)). The particular assumption that the forces of interest are independent and identically distributed (i.e.…”

Section: Introductionmentioning

confidence: 99%

Two Stochastic Approaches for Discounting Actuarial Functions

Parker

1994

ASTIN Bull.

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Two approaches used to model interest randomness are presented. They are the modeling of the force of interest accumulation function and the modeling of the force of interest. The expected value, standard deviation and coefficient of skewness of the present value of annuities-immediate are presented as illustrations. The implicit behavior of the force of interest under the two approaches is investigated by looking at a particular conditional expectation of the force of interest accumulation function.

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Section: Introductionmentioning

confidence: 99%

Two Stochastic Approaches for Discounting Actuarial Functions

Parker

1994

ASTIN Bull.

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“…In the following section, we will introduce the methodology, and we briefly recapitulate the (necessary) results of Grosche &Steiner (1995) andDe Schepper et al (1992a). Relying on a result for ordinary annuities certain, the Laplace transform of the moment generating function of the annuity certain of (1.5) will be derived in section 3.…”

Section: Outline Of the Contentsmentioning

confidence: 99%

A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall

Schepper¹,

Heijnen²,

Goovaerts³

1999

Scandinavian Actuarial Journal

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De Schepper A, Goovaerts M, Heijnen B. A recursive scheme for perpetuities with random positive interest rates. Part II. The impenetrable wall. Scand. Actuarial J. 1999; 1: 1 -14.In some former contributions, the authors investigated actuarial quantities with stochastic interest rates. In a first model, the randomness is modelled by means of an ordinary Wiener process, and as a consequence negative interest rates are possible. A second model provides a tool to avoid these negative interest rates, which can be necessary in particular situations. This paper wants to present an alternative solution to the problem of negative interest rates. This new model will be implemented to the case of an annuity certain and of a perpetuity.

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“…Thus in (Dufresne 1991) a perpetuity Z := It e-(I'HuW.) See also (De Schepper, De Vylder, Goovaerts & Kaas 1992) and (De Schepper, Goovaerts & Delbaen 1992) for applications in insurance related to the calculation of annuities certain using Feynman integration. (Guegan 1992) and (Yor 1992) are other contributions.…”

Section: =1mentioning

confidence: 99%

Asymptotic Statistics

1994

Contributions to Statistics

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Interest randomness in annuities certain

Cited by 23 publications

References 3 publications

Two Stochastic Approaches for Discounting Actuarial Functions

Two Stochastic Approaches for Discounting Actuarial Functions

A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall

Asymptotic Statistics

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