Martingales, scale functions and stochastic life annuities: A note
From MaRDI portal
Publication:1293823
DOI10.1016/S0167-6687(98)00032-8zbMath0930.60060MaRDI QIDQ1293823
Publication date: 31 January 2000
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00032-8
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
Related Items
Ruined moments in your life: how good are the approximations?, Bounds for present value functions with stochastic interest rates and stochastic volatility., A note on some new perpetuities
Cites Work
- Unnamed Item
- Unnamed Item
- Interest randomness in annuities certain
- An analytical inversion of a Laplace transform related to annuities certain
- Linear models of economic survival under production uncertainty
- The distributions of annuities
- A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
- The present value of a stochastic perpetuity and the gamma distribution
- Present value distributions with applications to ruin theory and stochastic equations
- Risk theory in a stochastic economic environment
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- On some exponential functionals of Brownian motion
- An Asymptotic Theory of Growth Under Uncertainty