Markov Chain Monte Carlo simulation of the distribution of some perpetuities
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Publication:4257252
DOI10.1239/aap/1029954269zbMath0979.60061OpenAlexW1996676336MaRDI QIDQ4257252
Publication date: 17 February 2002
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1029954269
Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Stochastic integrals (60H05)
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Continuous-time perpetuities and time reversal of diffusions ⋮ Sharp conditions for certain ruin in a risk process with stochastic return on investments ⋮ Some results for classical risk process with stochastic return on investments ⋮ Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
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