Extra randomness in certain annuity models
作者： John A. Beekman , Clinton P. Fuelling
DOI: 10.1016/0167-6687(92)90059-K
关键词: Stochastic process 、 Randomness 、 Standard deviation 、 Component (UML) 、 Interest rate 、 Applied mathematics 、 Rendleman–Bartter model 、 Vasicek model 、 Mathematics 、 Econometrics 、 Randomness tests
摘要: Abstract An alternative model is presented which can be used when interest rates and future lifetimes are random, for certain annuities. The Wiener stochastic process a major component in the model, provides much more randomness than an earlier model. Expressions mean values standard deviations of present payment streams obtained illustrated. Extensive boundary crossing probabilities given. Numerical comparisons with provided.
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