A recursive scheme for perpetuities with random positive interest rates: part 1: analytical results
作者： A. De Schepper , M. J. Goovaerts , R. Kaas
DOI: 10.1080/03461238.1997.10413974
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摘要: 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 this kind models, investigating situation rates that cannot become negative. The case annuity certain and particular a perpetuity will dealt with detail.
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