Martingales, scale functions and stochastic life annuities: A note

DOI10.1016/S0167-6687(98)00032-8zbMath0930.60060OpenAlexW1984468925MaRDI QIDQ1293823

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)

Related Items (3)

Bounds for present value functions with stochastic interest rates and stochastic volatility. ⋮ Ruined moments in your life: how good are the approximations? ⋮ A note on some new perpetuities

Cites Work

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• The present value of a stochastic perpetuity and the gamma distribution
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• Risk theory in a stochastic economic environment
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• On some exponential functionals of Brownian motion
• An Asymptotic Theory of Growth Under Uncertainty

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