A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall
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Publication:4258728
DOI10.1080/03461230050131849zbMath0928.62102MaRDI QIDQ4258728
Bart Heijnen, Ann De Schepper, Marc J. Goovaerts
Publication date: 14 September 1999
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230050131849
Laplace transforms; Wiener processes; stochastic interest rates; annuity; perpetuity; Feynman-Kac transforms; impenetrable wall
62P05: Applications of statistics to actuarial sciences and financial mathematics
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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