Martingales, scale functions and stochastic life annuities: A note

DOI10.1016/S0167-6687(98)00032-8MaRDI QIDQ1293823zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

martingalesscale functionstochastic perpetuities

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Recommendations

• Stochastic life annuities
• A note on some new perpetuities
• Properties of perpetual integral functionals of Brownian motion with drift
• Perpetual integral functionals as hitting and occupation times
• scientific article; zbMATH DE number 1639861

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1865387 (Why is no real title available?)
• A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
• An Asymptotic Theory of Growth Under Uncertainty
• An analytical inversion of a Laplace transform related to annuities certain
• Interest randomness in annuities certain
• Linear models of economic survival under production uncertainty
• On some exponential functionals of Brownian motion
• 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
• The distributions of annuities
• The present value of a stochastic perpetuity and the gamma distribution

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
• scientific article; zbMATH DE number 1639861 (Why is no real title available?)
• “Stochastic Annuities,” Daniel Dufresne, January 2007
• Ruined moments in your life: how good are the approximations?

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