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Dual random model of increasing annuity. (English) Zbl 0999.60037

The authors study a system of annuity benefits where the number of payments is limited but the amount paid each year increases over time in a geometric progression. The interest rate is assumed to be a random process. The authors obtain, under general conditions, the moments of the present value of benefits.

MSC:

60G35 Signal detection and filtering (aspects of stochastic processes)
91B28 Finance etc. (MSC2000)
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References:

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