Title: A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
Authors: Vanneste, M
Goovaerts, Marc
De Schepper, A
Dhaene, Jan
Issue Date: 1996
Publisher: K.U.Leuven - Departement Toegepaste Economische Wetenschappen
Series Title: DTEW Research Report 9627 pages:1-13
Abstract: Starting from the moment generating function of the annuity certain with stochastic interest rate written by means of a time discretization of the Wiener process as an n-fold integral, a straightforward evaluation of the corresponding distribution function is obtained letting n tend to infinity. The advantage of the present method consists in the direct calculation technique of the n-fold integral, instead of using moment calculation or differential equations, and in the possible applicability of the present method to varying annuities which could be applied to IBNR results, as well as to pension fund calculations, etc.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center Insurance, Leuven

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