Annuities under random rates of interest - revisited

Burnecki, K.; Marciniuk, A.; Weron, A.

Annuities under random rates of interest - revisited

Authors

Burnecki, K.

Marciniuk, A.

Weron, A.

Description

In the article we consider accumulated values of annuities-certain with yearly payments with independent random interest rates. We focus on annuities with payments varying in arithmetic and geometric progression which are important basic varying annuities (see Kellison, 1991). They appear to be a generalization of the types studied recently by Zaks (2001). We derive, via recursive relationships, mean and variance formulae of the final values of the annuities. As a consequence, we obtain moments related to the already discussed cases, which leads to a correction of main results from Zaks (2001).
14 pages