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General annuities under truncate stochastic interest rates

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Author Info
Koch I.
De Schepper A.

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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.

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File URL: http://www.ua.ac.be/download.aspx?c=*TEWHI&n=14378&ct=009844&e=30918
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Publisher Info
Paper provided by University of Antwerp, Faculty of Applied Economics in its series Working Papers with number 2004016.

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Length: 14 pages
Date of creation: Sep 2004
Date of revision:
Handle: RePEc:ant:wpaper:2004016

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Web page: http://www.ua.ac.be/tew
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