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annuities and perpetuities - new york university(养老金和永续年金u2014u2014纽约大学)
Annuities and Perpetuities: Present Value
William L. Silber
I. The present value of an annuity, PV, can be written as the sum of the present
values of each component annual payment, C, as follows:
C C C
(1) PV 2 L t
1 r (1 r ) (1 r )
where r is the single average interest rate per annum and t is the number of years the
annuity is paid.
This can be simplified as follows:
1 1 1
(2) PV C 2 L .
1 r (1 r) (1 r) t
Using a formula for the sum of a geometric progression (as long as r 0 ), we have:
1 (1 r) t
(3) PV C ,
r
which is the same as:
1 1
(4) PV C t
r r(1 r)
II. Thus if you have a three-year annuity (t 3) that pays $100 per annum
(C $ 100) and the average annual interest rate, r, is 6 percent, then from equation (4),
we have:
1 1
PV $100.00 3 $267.30
.06 .06(1.06)
You can check that this is correct by calculating:
$100 $100 $100
PV $267.30
1.06 (1.06) 2 (1.06) 3
III. More interesting is what happens to the present value formula when the annual
payments, C, continue forever. The annuity becomes a perpetuity as t and the
formula in (4) becomes:
1 1
(5) PV C
r r(1 r)
1 1
(6) PV C
r
Or, finally,
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