一类随机利率下的确定年金

A Class of Annuities Certain under Random Rates of Interest

我们考虑在一定的约束条件下利率是随机变量的某些确定年金的现值的计算问题,目的在于研究给付现值的期望和方差.本文给出两种方法计算在某些年内一类延付年金的现值之和的期望和方差,获得了给付现值的方差的递推关系,并且解决了这些关系,这在计算简单方面明显地更好.

We consider the calculation of present value of some annuities certain over a period of years in which the rate of interest is a random variable under some restrictions. We aim at the expected value and the variance of the present value. In this paper, we suggest two methods to derive the expected value and the variance of the present value of some annuity-immedlate, and we find recursive relationships for the variance of the present value, and solve these relationships, this method is significantly preferable in terms of the simplicity of calculations.