Interest and mortality randomness in some annuities. (English) Zbl 0711.62100

Summary: A model is presented which can be used when interest rates and future lifetimes are random, for certain annuities. Expressions for the mean values and the standard deviations of the present values of future payment streams are obtained. These can be used in determining contingency reserves for possible adverse interest and mortality experience for collections of life annuity contracts. Several complete examples are considered. Certain boundary crossing probabilities for the stochastic process component of the model are obtained.


62P05 Applications of statistics to actuarial sciences and financial mathematics
60J99 Markov processes
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