On annuities under random rates of interest with payments varying in arithmetic and geometric progression

• Autorzy: Burnecki K. , Marciniuk A. , Weron A.
• Języki publikacji: EN

Abstrakty

EN

In the article we consider accumulated values of annuities-certain with yearly payments with independent random interest rates. We focus on general annuities with payments varying in arithmetic and geometric progression which are important varying annuities. We derive, via recursive relationships, mean and variance formulae of the final values of the annuities. Special cases of our results correct main outcome of Zaks [4].

Słowa kluczowe

EN

annuity; accumulated value; random interest rate

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2004
• Tom: Vol. 24, Fasc. 1
• Strony: 1--15
• Opis fizyczny: Bibliogr. 4 poz., wykr.

Twórcy

autor

Burnecki K.

• Hugo Steinhaus Center for Stochastic Methods, Institute of Mathematics, Wrocław University of Technology, 50-370 Wrocław, Poland

autor

Marciniuk A.

• Department of Statistics and Economic Cybernetics, Wrocław University of Economics, 53-345 Wrocław, Poland

autor

Weron A.

• Hugo Steinhaus Center for Stochastic Methods, Institute of Mathematics, Wrocław University of Technology, 50-370 Wrocław, Poland

Bibliografia

• [1] K. Burnecki, A. Marciniuk and A. Weron, Annuities under random rates of interest - revisited, Insurance Math. Econom. 32 (2003), pp. 457-460.
• [2] H. U. Gerber, Life Insurance Mathematics, Springer, Berlin 1997.
• [3] S. G. Kellison, The Theory of Interest, Irwin, IL, 1991.
• [4] A. Zaks, Annuities under random rates of interest, Insurance Math. Econom. 28 (2001), pp. 1-11.