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On annuities under random rates of interest

Listed author(s):
  • Krzysztof Burnecki
  • Agnieszka Marciniuk
  • Aleksander Weron

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).

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File Function: Second revision, 20 Dec 2002
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Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/02/01.

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Length: 14 pages
Date of creation: 2002
Publication status: Published (revised version) as "Annuities under random rates of interest - revisited", Insurance: Mathematics and Economics 32.3 (2003) 457-460.
Handle: RePEc:wuu:wpaper:hsc0201
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