In this article, we present a Gaussian multivariate factor model of the term structure of interest rates and we present an explicit formula for a state-price probability density function used in no-arbitrage pricing. This leads to an explicit expression for Green's function. The model's linear...

Annuities are contractual guarantees that promise to provide periodic income over the lifetime(s) of individuals. Standard insurance industry practice assumes independence of lives when valuing annuities where the promise is based on more than one life. This article investigates the use of...