Weak convergence of random growth processes with applications to insurance

DOI10.1016/0167-6687(89)90056-5zbMath0704.62096OpenAlexW2050932588WikidataQ126759587 ScholiaQ126759587MaRDI QIDQ917204

Daniel Dufresne

Publication date: 1989

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90056-5

zbMATH Keywords

weak convergencediscountinglife annuitiesaccumulatingannuities- certainlife insurancesmoments of actuarial functionsmoments of limit processesrandom population growthwhite noise growth rates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Related Items (16)

The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding ⋮ On the moments of the integrated geometric Brownian motion ⋮ Another look at the integral of exponential Brownian motion and the pricing of Asian options ⋮ Long-run growth rate in a random multiplicative model ⋮ PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY ⋮ Annealed tail estimates for a Brownian motion in a drifted Brownian potential ⋮ BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES ⋮ Pension Funding with Moving Average Rates of Return ⋮ AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS ⋮ Pricing vulnerable claims in a Lévy-driven model ⋮ The log-normal approximation in financial and other computations ⋮ Weak limits of random coefficient autoregressive processes and their application in ruin theory ⋮ On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values ⋮ Stochastic Life Annuities ⋮ An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit ⋮ An extension of Seshadri's identities for Brownian motion

Cites Work

• The Pricing of Options and Corporate Liabilities
• A two-parameter family of pension contribution functions and stochastic optimization
• Stability of pension systems when rates of return are random
• A study of some diffusion models of population growth
• A diffusion model for population growth in random environment
• A multivariate model for growth of populations
• Weak convergence of assets processes with stochastic interest return
• A diffusion approximation for the ruin function of a risk process with compounding assets
• Refined distributions for a multi-risk stochastic process
• Weak convergence of an autoregressive process used in modeling population growth
• Option pricing: A simplified approach
• A New Representation for Stochastic Integrals and Equations
• Convergence of stochastic processes
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