{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,8,27]],"date-time":"2025-08-27T15:53:55Z","timestamp":1756310035675,"version":"3.41.2"},"reference-count":6,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2011,7,27]],"date-time":"2011-07-27T00:00:00Z","timestamp":1311724800000},"content-version":"vor","delay-in-days":207,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"funder":[{"DOI":"10.13039\/501100001338","name":"University of Capetown","doi-asserted-by":"publisher","award":["461091"],"award-info":[{"award-number":["461091"]}],"id":[{"id":"10.13039\/501100001338","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["Journal of Applied Mathematics"],"published-print":{"date-parts":[[2011,1]]},"abstract":"<jats:p>We study the problem of pricing an inflation adjusted annuity in a forward rates market with jumps. Since the market will be incomplete, we use the minimal <jats:italic>f<\/jats:italic><jats:sup><jats:italic>q<\/jats:italic><\/jats:sup>\u2010martingale measure <jats:italic>Q<\/jats:italic><jats:sub><jats:italic>q<\/jats:italic><\/jats:sub> which we use for computing discounted expectations. We give explicit results for <jats:italic>Q<\/jats:italic><jats:sub><jats:italic>q<\/jats:italic><\/jats:sub> together with explicit results for the price of the annuity.<\/jats:p>","DOI":"10.1155\/2011\/897954","type":"journal-article","created":{"date-parts":[[2011,7,27]],"date-time":"2011-07-27T19:00:39Z","timestamp":1311793239000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Valuation of Inflation\u2010Linked Annuities in a L\u00e9vy Market"],"prefix":"10.1155","volume":"2011","author":[{"given":"Sure","family":"Mataramvura","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2011,7,27]]},"reference":[{"key":"e_1_2_7_1_2","doi-asserted-by":"publisher","DOI":"10.2307\/4126754"},{"key":"e_1_2_7_2_2","doi-asserted-by":"publisher","DOI":"10.1214\/07\u2010AAP439"},{"volume-title":"Martingale Methods in Financial Modelling","year":"1998","author":"Musiela M.","key":"e_1_2_7_3_2"},{"volume-title":"Applied Stochastic Control of Jump Diffusions","year":"2006","author":"\u00d8ksendal B.","key":"e_1_2_7_4_2"},{"volume-title":"The Theory of Interest","year":"1930","author":"Fisher I.","key":"e_1_2_7_5_2"},{"key":"e_1_2_7_6_2","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511755323"}],"container-title":["Journal of Applied Mathematics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2011\/897954.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/journals\/jam\/2011\/897954.xml","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1155\/2011\/897954","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,10]],"date-time":"2024-06-10T14:59:12Z","timestamp":1718031552000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1155\/2011\/897954"}},"subtitle":[],"editor":[{"given":"Neville","family":"Ford","sequence":"additional","affiliation":[],"role":[{"role":"editor","vocabulary":"crossref"}]}],"short-title":[],"issued":{"date-parts":[[2011,1]]},"references-count":6,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2011,1]]}},"alternative-id":["10.1155\/2011\/897954"],"URL":"https:\/\/doi.org\/10.1155\/2011\/897954","archive":["Portico"],"relation":{},"ISSN":["1110-757X","1687-0042"],"issn-type":[{"type":"print","value":"1110-757X"},{"type":"electronic","value":"1687-0042"}],"subject":[],"published":{"date-parts":[[2011,1]]},"assertion":[{"value":"2011-02-28","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2011-05-22","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2011-07-27","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}],"article-number":"897954"}}