Στοχαστικά μοντέλα για ράντες πληρωμών
Recursive relationships for annuities models under random rates of interest
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Subject
ΕπιτόκιαKeywords
Στοχαστικά μοντέλα ; Τόκος ; Ανεξάρτητα επιτόκια ; Τυχαία επιτόκιαAbstract
In this paper we will study stochastic models for annuities due to random rate of interest.
We will consider a stochastic approach to the theory of interest taking into account that the
rate of interest i is a random variable. We will also study the accumulated values of certain
annuities for a specific period of time, and we will calculate their expected values and
variances. For this aim we suggest two methods, one of which, from the mathematical point
of view is preferable in terms of the simplicity of calculations, due to the recursive relations
used. Further, we will introduce the basic theory of stochastic processes and in particular,
the Brownian motion and its special cases. Finally, we will present two stochastic methods
for the modeling of the "randomness" of the interest rate, as well as numerical results will be
presented.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
95Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές