CINECA IRIS Institutional Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishThe aim of this paper is the development of three approaches for obtaining the value of an n-payment annuity, with payments of 1 unit each, when the interest rate is random. To calculate the value of these annuities, we are going to assume that only some non-central moments of the capitalization factor are known. The first technique consists in using a tetraparametric function which depends on the arctangent function. The second expression is derived from the so-called quadratic discounting whereas the third approach is based on the approximation of the mathematical expectation of the ratio of two random variables by Mood et al. (1974). A comparison of these methodologies through an application, using the R statistical software, shows that all of them lead to different results.
| Titolo: | Expected Present and Final Value of an Annuity when some Non-Central Moments of the Capitalization Factor are Unknown: Theory and an Application using R | |
| Autori: | ||
| Data di pubblicazione: | 2017 | |
| Serie: | ||
| Abstract: | The aim of this paper is the development of three approaches for obtaining the value of an n-payment annuity, with payments of 1 unit each, when the interest rate is random. To calculate the value of these annuities, we are going to assume that only some non-central moments of the capitalization factor are known. The first technique consists in using a tetraparametric function which depends on the arctangent function. The second expression is derived from the so-called quadratic discounting whereas the third approach is based on the approximation of the mathematical expectation of the ratio of two random variables by Mood et al. (1974). A comparison of these methodologies through an application, using the R statistical software, shows that all of them lead to different results. | |
| Handle: | http://hdl.handle.net/11564/664156 | |
| ISBN: | 978-3-319-54819-7 | |
| Appare nelle tipologie: | 2.1 Contributo in volume (Capitolo o Saggio) |
File in questo prodotto:
Copyright © 2021