Valuation of Inflation-Linked Annuities in a Lévy Market

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dc.contributor.authorMataramvura, Sure
dc.date.accessioned2021-10-08T07:04:23Z
dc.date.available2021-10-08T07:04:23Z
dc.date.issued2011
dc.description.abstractWe 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.
dc.identifier.apacitationMataramvura, S. (2011). Valuation of Inflation-Linked Annuities in a Lévy Market. <i>Journal of Applied Mathematics</i>, 2011(4), 174 - 177. http://hdl.handle.net/11427/34494en_ZA
dc.identifier.chicagocitationMataramvura, Sure "Valuation of Inflation-Linked Annuities in a Lévy Market." <i>Journal of Applied Mathematics</i> 2011, 4. (2011): 174 - 177. http://hdl.handle.net/11427/34494en_ZA
dc.identifier.citationMataramvura, S. 2011. Valuation of Inflation-Linked Annuities in a Lévy Market. <i>Journal of Applied Mathematics.</i> 2011(4):174 - 177. http://hdl.handle.net/11427/34494en_ZA
dc.identifier.issn1110-757X
dc.identifier.issn1687-0042
dc.identifier.ris TY - Journal Article AU - Mataramvura, Sure AB - 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. DA - 2011 DB - OpenUCT DP - University of Cape Town IS - 4 J1 - Journal of Applied Mathematics LK - https://open.uct.ac.za PY - 2011 SM - 1110-757X SM - 1687-0042 T1 - Valuation of Inflation-Linked Annuities in a Lévy Market TI - Valuation of Inflation-Linked Annuities in a Lévy Market UR - http://hdl.handle.net/11427/34494 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/34494
dc.identifier.vancouvercitationMataramvura S. Valuation of Inflation-Linked Annuities in a Lévy Market. Journal of Applied Mathematics. 2011;2011(4):174 - 177. http://hdl.handle.net/11427/34494.en_ZA
dc.language.isoeng
dc.publisher.departmentDivision of Actuarial Science
dc.publisher.facultyFaculty of Commerce
dc.sourceJournal of Applied Mathematics
dc.source.journalissue4
dc.source.journalvolume2011
dc.source.pagination174 - 177
dc.source.urihttps://dx.doi.org/10.1155/2011/897954
dc.subject.otherBurns
dc.subject.otherDisaster Planning
dc.subject.otherHumans
dc.subject.otherMass Casualty Incidents
dc.subject.otherNational Health Programs
dc.subject.otherPractice Guidelines as Topic
dc.subject.otherSocieties, Medical
dc.subject.otherSouth Africa
dc.titleValuation of Inflation-Linked Annuities in a Lévy Market
dc.typeJournal Article
uct.type.publicationResearch
uct.type.resourceJournal Article
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