Compound Increasing Annuity Under Stochastic Interest Force

In the research of annuity pricing, interest rate is usually assumed to be invariable in traditional actuarial theory. Yet for various reasons, the interest rate can sometimes fluctuate quite unexpectedly. Therefore, MA(2) is adopted to characterize the interest rates duration institute, based on which, every discrepancy of the end-of-term compound increasing annuity is put under discussion, and simplistic formulas for the expectation and variance of current value is worked out. By numerical simulation, interest rate risk of such annuity is analyzed; the conclusion reached is to serve as the reference for annuity pricing.