Statistical aspects of perpetuities

zbMath0981.62029MaRDI QIDQ5926426

Rudolf Grübel, Susan M. Pitts

Publication date: 27 March 2002

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

bootstrapasymptotic normalityempirical perpetuitiesperpetual annuity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09)

Related Items (2)

Weighted empirical processes in the nonparametric inference for Lévy processes ⋮ Decompounding: an estimation problem for Poisson random sums.

Cites Work

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• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Stochastic Discounting, Aggregate Claims, and the Bootstrap
• Hoare's Selection Algorithm: A Markov Chain Approach
• Asymptotic distribution theory for Hoare's selection algorithm
• Perpetuities with thin tails

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