The present value of a stochastic perpetuity and the Gamma distribution
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- Huang, H. & Milevsky, M. A. & Wang, J., 2004. "Ruined moments in your life: how good are the approximations?," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 421-447, June.
- Tomáš Cipra, 2013. "Some Annuity Problems in the Framework of Czech Pension Systems," Prague Economic Papers, Prague University of Economics and Business, vol. 2013(3), pages 307-323.
- De Schepper, Ann & Goovaerts, Marc & Dhaene, Jan & Kaas, Rob & Vyncke, David, 2002.
"Bounds for present value functions with stochastic interest rates and stochastic volatility,"
Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 87-103, August.
- DE SCHEPPER, Ann & GOOVAERTS, Marc & DHAENE, Jan & KAAS, Rob & VYNCKE, David, 2001. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Working Papers 2001037, University of Antwerp, Faculty of Business and Economics.
- Charupat, Narat & Milevsky, Moshe A., 2002. "Optimal asset allocation in life annuities: a note," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 199-209, April.
- Benjamin Avanzi & Lewis de Felice, 2023. "Optimal Strategies for the Decumulation of Retirement Savings under Differing Appetites for Liquidity and Investment Risks," Papers 2312.14355, arXiv.org, revised Mar 2024.
- Nikolai Dokuchaev, 2019. "A gap between rational annuitization price for producer and price for customer," Journal of Revenue and Pricing Management, Palgrave Macmillan, vol. 18(2), pages 147-154, April.
- Goecke, Oskar, 2011. "Sparprozesse mit kollektivem Risikoausgleich," Forschung am ivwKöln 1/2011, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.
- Goovaerts, M. J. & Dhaene, J., 1999. "Supermodular ordering and stochastic annuities," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 281-290, May.
- Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
- Nikolai Dokuchaev, 2018. "On a gap between rational annuitization price for producer and price for customer," Papers 1809.08960, arXiv.org.
- Griselda Deelstra, 2000. "Long-term returns in stochastic interest rate models: applications," ULB Institutional Repository 2013/7590, ULB -- Universite Libre de Bruxelles.
- Aleksey S. Polunchenko & Grigory Sokolov, 2016. "An Analytic Expression for the Distribution of the Generalized Shiryaev–Roberts Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 18(4), pages 1153-1195, December.
- Milevsky, Moshe Arye, 1999. "Martingales, scale functions and stochastic life annuities: a note," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 149-154, March.
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