Weak convergence of random growth processes with applications to insurance

DOI10.1016/0167-6687(89)90056-5zbMath0704.62096OpenAlexW2050932588WikidataQ126759587 ScholiaQ126759587MaRDI QIDQ917204

Daniel Dufresne

Publication date: 1989

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90056-5

zbMATH Keywords

weak convergencediscountinglife annuitiesaccumulatingannuities- certainlife insurancesmoments of actuarial functionsmoments of limit processesrandom population growthwhite noise growth rates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• A two-parameter family of pension contribution functions and stochastic optimization
• Stability of pension systems when rates of return are random
• A study of some diffusion models of population growth
• A diffusion model for population growth in random environment
• A multivariate model for growth of populations
• Weak convergence of assets processes with stochastic interest return
• A diffusion approximation for the ruin function of a risk process with compounding assets
• Refined distributions for a multi-risk stochastic process
• Weak convergence of an autoregressive process used in modeling population growth
• Option pricing: A simplified approach
• A New Representation for Stochastic Integrals and Equations
• Convergence of stochastic processes
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