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Insurance: Mathematics and Economics
Volumn 20, Issue 1, 1997, Pages 35-41
A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
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EID: 0031161147     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(97)00004-8     Document Type: Article
Times cited : (12)
References (13)
  • 1
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    • Beekman, J.1    Fuelling, C.2
  • 2
    • 44049120459 scopus 로고
    • Extra randomness in certain annuity models
    • Beekman, J. and C. Fuelling (1991). Extra randomness in certain annuity models. IME 10, 275-287.
    • (1991) IME , vol.10 , pp. 275-287
    • Beekman, J.1    Fuelling, C.2
  • 3
    • 38249009683 scopus 로고
    • Interest randomness in annuities certain
    • De Schepper, A., F. De Vylder, M. Goovaerts and R. Kaas (1992a). Interest randomness in annuities certain. IME 11 (4) 271-282.
    • (1992) IME , vol.11 , Issue.4 , pp. 271-282
    • De Schepper, A.1    De Vylder, F.2    Goovaerts, M.3    Kaas, R.4
  • 4
    • 0000764340 scopus 로고
    • The Laplace transform of annuities certain with exponential time distribution
    • De Schepper, A., M. Goovaerts and F. Delbaen (1992b). The Laplace transform of annuities certain with exponential time distribution. IME 291-294.
    • (1992) IME , pp. 291-294
    • De Schepper, A.1    Goovaerts, M.2    Delbaen, F.3
  • 5
    • 38149146300 scopus 로고
    • An analytical inversion of a Laplace transform related to annuities certain
    • De Schepper, A., M. Teunen and M. Goovaerts (1994). An analytical inversion of a Laplace transform related to annuities certain. IME 14, 33-37.
    • (1994) IME , vol.14 , pp. 33-37
    • De Schepper, A.1    Teunen, M.2    Goovaerts, M.3
  • 6
    • 84864849879 scopus 로고
    • The distribution of a perpetuity, with application to risk theory and pension funding
    • Dufresne, D. (1990). The distribution of a perpetuity, with application to risk theory and pension funding. SAJ, 39-79.
    • (1990) SAJ , pp. 39-79
    • Dufresne, D.1
  • 7
    • 84986786403 scopus 로고
    • Bessel processes, asian options and prepetuities
    • Geman, H. and M. Yor (1993). Bessel processes, asian options and prepetuities. Mathematical Finance 3 (4) 349-375.
    • (1993) Mathematical Finance , vol.3 , Issue.4 , pp. 349-375
    • Geman, H.1    Yor, M.2
  • 8
    • 0041318414 scopus 로고
    • Feynman path integrals: Some exact results and applications
    • Khandekar, D.C. and S.V. Lawande (1986), Feynman path integrals: Some exact results and applications. Physics Reports 137 (2/3), 115-229.
    • (1986) Physics Reports , vol.137 , Issue.2-3 , pp. 115-229
    • Khandekar, D.C.1    Lawande, S.V.2
  • 9
    • 0002612424 scopus 로고
    • The distribution of annuities
    • Vanneste, M., M. Goovaerts and E. Labie (1994). The distribution of annuities. IME 15, 37-48.
    • (1994) IME , vol.15 , pp. 37-48
    • Vanneste, M.1    Goovaerts, M.2    Labie, E.3
  • 10
    • 0002672202 scopus 로고
    • Loi de l'indice du Lacet Brownien, et distribution de Hartman-Watson
    • Yor, M. (1980). Loi de l'Indice du Lacet Brownien, et distribution de Hartman-Watson. Z. Wahrscheinl. und Verwante Gebiete 53, 71-95.
    • (1980) Z. Wahrscheinl. und Verwante Gebiete , vol.53 , pp. 71-95
    • Yor, M.1
  • 12
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    • On some exponential functional of Brownian Motion
    • Yor, M. (1992). On some exponential functional of Brownian Motion. Advances in Applied Probability 14, 509-531.
    • (1992) Advances in Applied Probability , vol.14 , pp. 509-531
    • Yor, M.1
  • 13
    • 0002788312 scopus 로고
    • From planar Brownian windings to asian options
    • Yor, M. (1993). From planar Brownian windings to asian options. IME 13, 23-34.
    • (1993) IME , vol.13 , pp. 23-34
    • Yor, M.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.