Payment Measures, Interest, and Discounting

1 January 1990

journal article
research article
Published by Taylor & Francis in Scandinavian Actuarial Journal

Vol. 1990 (1) , 14-33
https://doi.org/10.1080/03461238.1990.10413870

Abstract

Streams of payments are represented as measures on the real line. A wide class of consistent rules for evaluation of payment streams are determined from a set of basic axioms. Additional regularity requirements lead to valuating any payment stream by the integral of a positive discount function with respect to the payment measure. Inter-relationships between generalized annuities and lump sum payments are obtained by the general rule of integration by parts. By placing probability distributions on the payment measures and possibly on the discount function, a wide class of actuarial and related problems are put on the same footing.

Keywords

This publication has 3 references indexed in Scilit:

Generalized annuities and assurances, and their inter-relationships
Journal of the Institute of Actuaries, 1984
Actuarial values of payment streams
Scandinavian Actuarial Journal, 1978
Mathematik der Lebensversicherung
Published by Springer Nature ,1939