Stable Laws and the Present Value of Fixed Cash Flows

DOI10.1080/10920277.2003.10596116zbMath1084.91508OpenAlexW2298983134MaRDI QIDQ5715935

Ann De Schepper, Rob Kaas, Jan Dhaene, David Vyncke, Marc J. Goovaerts

Publication date: 5 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/200580

Mathematics Subject Classification ID

Related Items (1)

Cramér–Von Mises distance estimation for some positive infinitely divisible parametric families with actuarial applications

Uses Software

• STABLE

Cites Work

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• The Pricing of Options and Corporate Liabilities
• The theory of geometric stable distributions and its use in modeling financial data
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• Convex upper and lower bounds for present value functions
• Numerical calculation of stable densities and distribution functions
• Upper and lower bounds for sums of random variables

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