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Keywords:

functional integration, insurance cycles, annuities certain, brownian motion, Social Sciences, Science & Technology, Physical Sciences, Economics, Mathematics, Interdisciplinary Applications, Social Sciences, Mathematical Methods, Statistics & Probability, Business & Economics, Mathematics, Mathematical Methods In Social Sciences, FUNCTIONAL INTEGRATION, INSURANCE CYCLES, ANNUITIES CERTAIN, BROWNIAN MOTION, 01 Mathematical Sciences, 14 Economics, 15 Commerce, Management, Tourism and Services, 35 Commerce, management, tourism and services, 38 Economics, 49 Mathematical sciences

Abstract:

In the present contribution, a model is presented which can be used when interest rates are random for annuities certain. Expressions for the probability generating function, as well as for the corresponding density functions are obtained for the present value of future payment streams. The paper presents the first application of a series of applications of some ideas explained in a former paper entitled 'A stochastic approach to insurance cycles' by Goovaerts et al. (1992).