Date, P.; Mamon, R.; Jalen, L.; Wang, I.C. - In: Insurance: Mathematics and Economics 47 (2010) 1, pp. 98-104
We recast the valuation of annuities and life insurance contracts under mortality and interest rates, both of which are stochastic, as a problem of solving a system of linear equations with random perturbations. A sequence of uniform approximations is developed which allows for fast and accurate...
