Martingales, scale functions and stochastic life annuities: A note

DOI10.1016/S0167-6687(98)00032-8zbMath0930.60060MaRDI QIDQ1293823

Moshe Arye Milevsky

Publication date: 31 January 2000

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

zbMATH Keywords

martingales; scale function; stochastic perpetuities

Mathematics Subject Classification ID

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

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