THE DISTRIBUTIONS OF ANNUITIES

Authors
VANNESTE M GOOVAERTS MJ LABIE E
Citation
M. Vanneste et al., THE DISTRIBUTIONS OF ANNUITIES, Insurance. Mathematics & economics, 15(1), 1994, pp. 37-48
Citations number
18
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
15
Issue
1
Year of publication
1994
Pages
37 - 48
Database
ISI
SICI code
0167-6687(1994)15:1<37:TDOA>2.0.ZU;2-6
Abstract
Based on some evaluation techniques for Feynman integrals we deduce th e distribution of annuities with random interest rate derived from a p articular Lagrangian. A linear risk free interest intensity as well as an arbitrary function describing the risk free intensity is considere d. In addition, a transformation of Feynman integrals, related to some time changes in stochastic processes, provides us with a connection t o Bessel processes.