Stochastic approximations of present value functions
From MaRDI portal
Recommendations
- Computation of convex bounds for present value functions with random payments
- Bounds for present value functions with stochastic interest rates and stochastic volatility.
- Convex upper and lower bounds for present value functions
- Valuation of cash flows under random rates of interest: a linear algebraic approach
- Two approximations of the present value distribution of a disability annuity
Cited in
(11)- Two approximations of the present value distribution of a disability annuity
- Bounds for present value functions with stochastic interest rates and stochastic volatility.
- A stochastic integral arising in discounting continuous cash flows and certain transformed characteristic functions
- The present value of a stochastic perpetuity and the gamma distribution
- Convex order approximations in the case of cash flows of mixed signs
- Computation of convex bounds for present value functions with random payments
- Stochastic interest model based on compound Poisson process and applications in actuarial science
- An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates
- The concept of comonotonicity in actuarial science and finance: theory.
- Stochastic approximation with averaging innovation applied to finance
- Convex upper and lower bounds for present value functions
This page was built for publication: Stochastic approximations of present value functions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3562645)
