INTEREST AND MORTALITY RANDOMNESS IN SOME ANNUITIES

被引：37
作者：
BEEKMAN, JA
FUELLING, CP
机构：
[1] Ball State University, Muncie
来源：
INSURANCE MATHEMATICS & ECONOMICS | 1990年 / 9卷 / 2-3期
关键词：
Boundary crossing probabilities; Function space integrals; Joint randomness in interest and mortality; Ornstein-Uhlenbeck stochastic process; Random interest rates;
D O I：
10.1016/0167-6687(90)90033-A
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A model is presented which can be used when interest rates and future lifetimes are random, for certain annuities. Expressions for the mean values and the standard deviations of the present values of future payment streams are obtained. These can be used in determining contingency reserves for possible adverse interest and mortality experience for collections of life annuity contracts. Several complete examples are considered. Certain boundary crossing probabilities for the stochastic process component of the model are obtained. © 1990.
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页码：185 / 196
页数：12
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