Valuation of Inflation-Linked Annuities in a Lévy Market

Journal Article

2011

Permanent link to this Item
http://hdl.handle.net/11427/34494
Files
MataramvuraSure_ValuationInflat_2011.pdf (1.86 MB)
Authors
Mataramvura, Sure
Journal Title

Journal of Applied Mathematics

Link to Journal
https://dx.doi.org/10.1155/2011/897954
Journal ISSN
Volume Title
Publisher
Publisher
Department
Division of Actuarial Science
Faculty
Faculty of Commerce
License
Series
Abstract
We study the problem of pricing an inflation adjusted annuity in a forward rates market with jumps. Since the market will be incomplete, we use the minimal fq-martingale measure Qq which we use for computing discounted expectations. We give explicit results for Qq together with explicit results for the price of the annuity.
Description
Keywords
Burns
Disaster Planning
Humans
Mass Casualty Incidents
National Health Programs
Practice Guidelines as Topic
Societies, Medical
South Africa

Reference:

Mataramvura, S. 2011. Valuation of Inflation-Linked Annuities in a Lévy Market. Journal of Applied Mathematics. 2011(4):174 - 177. http://hdl.handle.net/11427/34494

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