Shyamalkumar, Nariankadu D. An Interest theory inequality and optimal transport / Nariankadu D. Shyamalkumar, Siyang Tao and Tianrun Wang Sumario: The article presents a constructive proof of a classical inequality in interest theory stating that nominal annual interest rates decrease as the frequency of compounding increases. The authors develop a cashflow-based algorithm that allows value comparison through both deterministic and probabilistic approaches. The study connects this procedure with convex order and optimal transport theory, showing that the resulting coupling has the martingale property. In addition, it is shown that this transport is optimal with respect to two financially meaningful cost functions. The paper provides an actuarial example of a comonotonic distribution possessing the martingale property En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 13/04/2026 Número 16 issue 1 - abril 2026 , 8 p. 1. Modelos actuariales . 2. Teoría del interés . 3. Capitalización . 4. Flujos de caja . 5. Cálculo actuarial . I. Tao, Siyang . II. Wang, Tianrun . III. Springer . IV. Title.
Centro de Documentación y Conocimiento
Centro de Documentación y Conocimiento