Analytical calculation of risk measures for variable annuity guaranteed benefits

R Feng, HW Volkmer - Insurance: Mathematics and Economics, 2012 - Elsevier
With the increasing complexity of investment options in life insurance, more and more life
insurers have adopted stochastic modeling methods for the assessment and management of …

Valuation of cash flows under random rates of interest: A linear algebraic approach

P Date, R Mamon, IC Wang - Insurance: Mathematics and Economics, 2007 - Elsevier
This paper reformulates the classical problem of cash flow valuation under stochastic
discount factors into a system of linear equations with random perturbations. Using …

A linear algebraic method for pricing temporary life annuities and insurance policies

P Date, R Mamon, L Jalen, IC Wang - Insurance: Mathematics and …, 2010 - Elsevier
We recast the valuation of annuities and life insurance contracts under mortality and interest
rates, both of which are stochastic, as a problem of solving a system of linear equations with …

指数分布利息力下年金的期望和方差

周东琼, 章溢, 温利民 - Statistics and Application, 2013 - hanspub.org
年金是指在一定期限内的系列现金流量. 年金的现值与利率密切相关. 在传统的精算理论中,
在年金的计算中, 常常假定利息率为已知的非随机变量, 这主要是数学上处理的方便而假设的 …

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

K Burnecki, A Marciniuk, A Weron - PROBABILITY AND …, 2004 - math.uni.wroc.pl
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 …

AnnuityRIR: an R-package to approximate the value of an annuity according to the non-central moments of the capitalization factor

SC Rambaud, F Maturo, AMS Pérez, M Squillante - Quality & Quantity, 2020 - Springer
The aim of this paper is to design the package of the R statistical software called “Annuity
Random Interest Rate”, referred hereinafter as AnnuityRIR, in order to calculate the value of …

Calculations of special annuities under random rates of interest

L Liu, X Yang, W Lei, T Li - 2011 Fourth International …, 2011 - ieeexplore.ieee.org
We consider the calculation of present value of some annuities over a period of years in
which the rate of interest is a random variable under some restrictions. We aim at the …

[引用][C] 随机利率下的一类特殊年金

刘凌晨, 杨大地, 李婷, 张雷 - 数学的实践与认识, 2009

[引用][C] 随机贴现率下的年金分析

刘凌晨, 李婷, 雷万鹏 - 长春工业大学学报, 2010

[引用][C] 随机利率下年金的时间价值

颜荣芳, 张娟, 乔锐智 - 经济数学, 2008