A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results

A. De Schepper, Marc Goovaerts and R. Kaas

Scandinavian Actuarial Journal, 1997, vol. 1997, issue 1, 1-10

Abstract: Recently, the authors showed how interest randomness in actuarial functions can· be described by means of Wiener processes using path integrals. This paper wants to present an extension of this kind of models, by investigating the situation of interest rates that cannot become negative. The case of an annuity certain and in particular that of a perpetuity will be dealt with in detail.

Date: 1997
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DOI: 10.1080/03461238.1997.10413974

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