Journal of Applied Mathematics
Volume 2011 (2011), Article ID 897954, 15 pages
Research Article

Valuation of Inflation-Linked Annuities in a Lévy Market

Department of Actuarial Sciences, School of Management Studies, University of Cape Town, Cape Town, Rondebosch 7701, South Africa

Received 28 February 2011; Revised 20 May 2011; Accepted 22 May 2011

Academic Editor: Neville Ford

Copyright © 2011 Sure Mataramvura. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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 𝑓 𝑞 -martingale measure 𝑄 𝑞 which we use for computing discounted expectations. We give explicit results for 𝑄 𝑞 together with explicit results for the price of the annuity.