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 …
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 …
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 …
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 …
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 …