Payment Measures, Interest, and Discounting

Ragnar Norberg
1990 Scandinavian Actuarial Journal  
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 general ized annuities and lump sum payments are obtained by the general rule of integration by parts. By placing probability
more » ... on the payment measures and possibly on the discount function, a wide class of actuarial and related problems are put on the same footing.
doi:10.1080/03461238.1990.10413870 fatcat:6rhq5k53vbdvrcwjobdgltug3y