Hostname: page-component-586b7cd67f-vdxz6 Total loading time: 0 Render date: 2024-12-02T21:19:12.527Z Has data issue: false hasContentIssue false
  • English
  • Français

A generalization of Makeham's formula for valuation of securities

Published online by Cambridge University Press:  20 April 2012

I. B. Hossack  and
G. C. Taylor
Get access Rights & Permissions [Opens in a new window]

Extract

One of the most powerful devices in the theory of compound interest is Makeham's formula. The essence of the formula may be stated as follows:

Consider an admitted loan of C bearing interest at rate g per annum (payable pthly in arrear) per unit of admitted capital. The loan is to be repaid by a series of payments each of which contains a capital portion and an interest portion. Let K be the value at rate i per annum effective of all the capital portions.

Type
Other
Information
Journal of the Institute of Actuaries , Volume 101 , Issue 1 , June 1974 , pp. 89 - 95
Copyright
Copyright © Institute and Faculty of Actuaries 1974

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Makeham, W. M. On the Solution of Problems connected with Loans repayable by Instalments. J.I.A., 1874, 18, 132–43.Google Scholar