Annuities under random rates of interest

被引：30

作者：

Zaks, A ^{[1
]}

机构：

[1] Technion Israel Inst Technol, Dept Math, IL-32000 Haifa, Israel

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2001年 / 28卷 / 01期

关键词：

mathematics of finance; random rates of interest; random variable; independent variables; expected value; variance; annuities; future value;

D O I：

10.1016/S0167-6687(00)00059-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the accumulated value of some annuities-certain over a period of years in which the rate of interest is a random variable under some restrictions. We aim at the expected value and the variance of the accumulated value, and we suggest two methods to derive these moments. In some cases both methods have similar difficulties, while in other cases one method is significantly preferable in terms of the simplicity of calculations. The novelty of our second approach lies in the fact that we find recursive relationships for the variance of the accumulated values, and solve these relationships, whilst previous investigators first obtained the second moment. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：1 / 11

页数：11