The present value of a stochastic perpetuity and the gamma distribution
From MaRDI portal
Publication:1381480
DOI10.1016/S0167-6687(97)00013-9zbMath0903.60069MaRDI QIDQ1381480
Publication date: 5 January 1999
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items
An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ The gamma beta ratio distribution ⋮ Sustainable retirement spending: the Czech case ⋮ A multivariate Markov chain stock model ⋮ Efficiency of institutional spending and investment rules ⋮ Optimal asset allocation in life annuities: a note. ⋮ The concept of comonotonicity in actuarial science and finance: applications. ⋮ A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line ⋮ Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables ⋮ Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin ⋮ Self-Annuitization and Ruin in Retirement ⋮ Random difference equations with subexponential innovations ⋮ Ruined moments in your life: how good are the approximations? ⋮ Some problems in actuarial finance involving sums of dependent risks ⋮ Martingales, scale functions and stochastic life annuities: A note ⋮ Supermodular ordering and stochastic annuities ⋮ A note on some new perpetuities
Cites Work
- Unnamed Item
- Interest and mortality randomness in some annuities
- Stability of pension systems when rates of return are random
- Extra randomness in certain annuity models
- Stochastic discounting
- Interest randomness in annuities certain
- An analytical inversion of a Laplace transform related to annuities certain
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Stochastic analysis of a portfolio of endowment insurance policies
