General annuities under truncate stochastic interest rates

Inge Koch and Ann De Schepper ()

Working Papers from University of Antwerp, Faculty of Business and Economics

Abstract: An important part of the current financial and actuarial research deals with the investigation of present value functions in the case of a stochastic interest rate. In the present contribution, it is shown how interest rates can be restricted to meet special types of financial or actuarial constraints. Approximate but analytical expressions are given for the distribution of different types of annuities, and their accuracy is illustrated graphically.

Pages: 14 pages
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Persistent link: https://EconPapers.repec.org/RePEc:ant:wpaper:2004016

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