A recursive scheme for perpetuities with positive random positive interest rates, II: The impenetrable wall
作者： Ann De Schepper , Bart Heijnen , Marc Goovaerts
DOI: 10.1080/03461230050131849
关键词: Perpetuity 、 Mathematics 、 Scheme (programming language) 、 Rendleman–Bartter model 、 Vasicek model 、 Mathematical economics 、 Interest rate 、 Wiener process 、 Randomness 、 Short-rate model
摘要: In some former contributions, the authors investigated actuarial quantities with stochastic interest rates. a first model, randomness is modelled by means of an ordinary Wiener process, and as consequence negative rates are possible. A second model provides tool to avoid these rates, which can be necessary in particular situations. This paper wants present alternative solution problem new will implemented case annuity certain perpetuity.
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