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Extra randomness in certain annuity models. (English) Zbl 0744.62142

Summary: An alternative model is presented which can be used when interest rates and future lifetimes are random for certain annuities. The Wiener stochastic process is a major component in the model, and provides much more randomness than an earlier model of the authors [ibid. 9, No. 2/3, 185-196 (1990; Zbl 0711.62100)]. Expressions for the mean values and the standard deviations of the present values of future payment streams are obtained and illustrated. Extensive boundary crossing probabilities for the Wiener stochastic process are given. Numerical comparisons with the earlier model are provided.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
60K99 Special processes
60J70 Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Citations:

Zbl 0711.62100
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References:

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