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Document Details : Title: Two Stochastic Approaches for Discounting Actuarial Functions Author(s): PARKER, Gary Journal: ASTIN Bulletin Volume: 24 Issue: 2 Date: November 1994 Pages: 167-181 DOI: 10.2143/AST.24.2.2005063 Abstract : 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. |
