THE DISTRIBUTIONS OF ANNUITIES

被引：18

作者：

VANNESTE, M ^{[1
]}

GOOVAERTS, MJ ^{[1
]}

LABIE, E ^{[1
]}

机构：

[1] UNIV AMSTERDAM,1018 WB AMSTERDAM,NETHERLANDS

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1994年 / 15卷 / 01期

关键词：

ANNUITIES; RANDOM INTEREST RATE; FUNCTIONAL INTEGRATION;

D O I：

10.1016/0167-6687(94)00018-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Based on some evaluation techniques for Feynman integrals we deduce the distribution of annuities with random interest rate derived from a particular Lagrangian. A linear risk free interest intensity as well as an arbitrary function describing the risk free intensity is considered. In addition, a transformation of Feynman integrals, related to some time changes in stochastic processes, provides us with a connection to Bessel processes.

引用

页码：37 / 48

页数：12

共 18 条

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