IJPAM: Volume 94, No. 4 (2014)

ON THE MOMENTS OF STOCHASTIC ANNUITIES

A.R. Mugdadi$^1$, Ibrahim A. Ahmad$^2$
$^1$Department of Mathematics and Statistics
Jordan University of Science and Technology
Irbid, JORDAN
$^2$Department of Statistics
Oklahoma State University.
Stillwater, OK 74078, USA


Abstract. The interest (discount) rate of annuity is a random variable, which is called stochastic. For stochastic annuities, also known as annuities under random rates of interest, we derive some moments, moments inequalities, and moments limits. When the discount rates are bounded, a strong convergence result is given showing that a stochastic annuity converges to its mean value as the number of years tend to infinity. Hence, stochastic annuities satisfy a type of strong law of large numbers.

Received: February 20, 2014

AMS Subject Classification: 62P05, 60H30

Key Words and Phrases: stochastic annuity, moments inequalities, strong limit theorem, actuarial science, probability

Download paper from here.



DOI: 10.12732/ijpam.v94i4.6 How to cite this paper?

Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2014
Volume: 94
Issue: 4
Pages: 515 - 524

CC BY This work is licensed under the Creative Commons Attribution International License (CC BY).