Martingales, scale functions and stochastic life annuities: A note
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Publication:1293823
DOI10.1016/S0167-6687(98)00032-8zbMATH Open0930.60060OpenAlexW1984468925MaRDI QIDQ1293823FDOQ1293823
Authors: Moshe Arye Milevsky 
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
Recommendations
Cites Work
- Present value distributions with applications to ruin theory and stochastic equations
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Title not available (Why is that?)
- On some exponential functionals of Brownian motion
- An Asymptotic Theory of Growth Under Uncertainty
- Risk theory in a stochastic economic environment
- Linear models of economic survival under production uncertainty
- The present value of a stochastic perpetuity and the gamma distribution
- An analytical inversion of a Laplace transform related to annuities certain
- Interest randomness in annuities certain
- The distributions of annuities
- A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
- Title not available (Why is that?)
Cited In (7)
- Properties of perpetual integral functionals of Brownian motion with drift
- Convergence of Disturbed Martingales and a Stochastic Model for Annuity Funds
- Bounds for present value functions with stochastic interest rates and stochastic volatility.
- A note on some new perpetuities
- Title not available (Why is that?)
- “Stochastic Annuities,” Daniel Dufresne, January 2007
- Ruined moments in your life: how good are the approximations?
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