General annuities under truncate stochastic interest rates
Faculty of Applied Economics
Antwerp :UA, 2004
Research paper / UA, Faculteit TEW ; 200:016
University of Antwerp
An important part of the current nancial and actuarial research deals with the investigation of present value functions in the case of a stochastic interest rate. In the present contribution, it is shown how interest rates can be restricted to meet special types of nancial or actuarial constraints. Approximate but analytical expressions are given for the distribution of dierent types of annuities, and their accuracy is illustrated graphically.