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Two Stochastic Approaches for Discounting Actuarial Functions

Published online by Cambridge University Press:  29 August 2014

Gary Parker
Gary Parker*
Affiliation:
Simon Fraser University
*
Dept. of Mathematics and Statistics, Simon Fraser University, Burnaby, B.C.CanadaV5A 1S6.
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Abstract

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Two approaches used to model interest randomness are presented. They are the modeling of the force of interest accumulation function and the modeling of the force of interest. The expected value, standard deviation and coefficient of skewness of the present value of annuities-immediate are presented as illustrations. The implicit behavior of the force of interest under the two approaches is investigated by looking at a particular conditional expectation of the force of interest accumulation function.

Keywords

Force of interestForce of interest accumulation functionWhite Noise processWiener processOrnstein-Uhlenbeck processPresent value functionAnnuity-immediate
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 24 , Issue 2 , November 1994 , pp. 167 - 181
Copyright
Copyright © International Actuarial Association 1994

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