Annuities with controlled random interest rates

David Perry; Wolfgang Stadje; Rami Yosef

doi:10.1016/S0167-6687(03)00109-4

Annuities with controlled random interest rates

David Perry, Wolfgang Stadje, Rami Yosef

Department of Business Administration

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

We derive the expected values of annuities with random interest rates modeled by a reflected Brownian motion with a switchover at some positive level at which the drift and variance parameters change. The lifetime of the annuity is assumed to be exponentially distributed. The approach can be extended to the case of several switchover levels. We also consider other related models.

Original language	English
Pages (from-to)	245-253
Number of pages	9
Journal	Insurance: Mathematics and Economics
Volume	32
Issue number	2
DOIs	https://doi.org/10.1016/S0167-6687(03)00109-4
State	Published - 23 Apr 2003

Keywords

Annuity
Random interest rate
Random lifetime
Reflected Brownian motion
Switchover
Vasicek process

ASJC Scopus subject areas

Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty

Access to Document

10.1016/S0167-6687(03)00109-4

Cite this

@article{713dbd9eef614a0ba6b4266f355d72ec,

title = "Annuities with controlled random interest rates",

abstract = "We derive the expected values of annuities with random interest rates modeled by a reflected Brownian motion with a switchover at some positive level at which the drift and variance parameters change. The lifetime of the annuity is assumed to be exponentially distributed. The approach can be extended to the case of several switchover levels. We also consider other related models.",

keywords = "Annuity, Random interest rate, Random lifetime, Reflected Brownian motion, Switchover, Vasicek process",

author = "David Perry and Wolfgang Stadje and Rami Yosef",

year = "2003",

month = apr,

day = "23",

doi = "10.1016/S0167-6687(03)00109-4",

language = "English",

volume = "32",

pages = "245--253",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

publisher = "Elsevier B.V.",

number = "2",

}

TY - JOUR

T1 - Annuities with controlled random interest rates

AU - Perry, David

AU - Stadje, Wolfgang

AU - Yosef, Rami

PY - 2003/4/23

Y1 - 2003/4/23

N2 - We derive the expected values of annuities with random interest rates modeled by a reflected Brownian motion with a switchover at some positive level at which the drift and variance parameters change. The lifetime of the annuity is assumed to be exponentially distributed. The approach can be extended to the case of several switchover levels. We also consider other related models.

AB - We derive the expected values of annuities with random interest rates modeled by a reflected Brownian motion with a switchover at some positive level at which the drift and variance parameters change. The lifetime of the annuity is assumed to be exponentially distributed. The approach can be extended to the case of several switchover levels. We also consider other related models.

KW - Annuity

KW - Random interest rate

KW - Random lifetime

KW - Reflected Brownian motion

KW - Switchover

KW - Vasicek process

UR - http://www.scopus.com/inward/record.url?scp=0037461992&partnerID=8YFLogxK

U2 - 10.1016/S0167-6687(03)00109-4

DO - 10.1016/S0167-6687(03)00109-4

M3 - Article

AN - SCOPUS:0037461992

SN - 0167-6687

VL - 32

SP - 245

EP - 253

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 2

ER -

Annuities with controlled random interest rates

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this