On annuities under random rates of interest
In the article we consider accumulated values of annuities-certain with yearly payments with independent random interest rates. We focus on general annuities with payments varying in arithmetic and geometric progression which are important basic varying annuities (see Kellison, 1991). They are equivalent to the types studied recently by Zaks (2001). We derive, via recursive relationships, mean and variance formulae of the final values of the annuities. As a consequence, we obtain the moments related to the already discussed cases, which leads to a correction of main results from Zaks (2001).
|Date of creation:||2002|
|Date of revision:|
|Publication status:||Published (revised version) as "Annuities under random rates of interest - revisited", Insurance: Mathematics and Economics 32.3 (2003) 457-460.|
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