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Martingales, scale functions and stochastic life annuities: a note

  • Milevsky, Moshe Arye
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-3XG1X95-F/2/1524509e33e5102b2043eb41b5d1d665
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 24 (1999)
    Issue (Month): 1-2 (March)
    Pages: 149-154

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    Handle: RePEc:eee:insuma:v:24:y:1999:i:1-2:p:149-154
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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    1. Vanneste, M. & Goovaerts, M. J. & Labie, E., 1994. "The distributions of annuities," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 37-48, October.
    2. Gjessing, HÃ¥kon K. & Paulsen, Jostein, 1997. "Present value distributions with applications to ruin theory and stochastic equations," Stochastic Processes and their Applications, Elsevier, vol. 71(1), pages 123-144, October.
    3. Merton, Robert C., 1973. "An asymptotic theory of growth under uncertainty," Working papers 673-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    4. Majumdar, Mukul & Radner, Roy, 1991. "Linear Models of Economic Survival under Production Uncertainty," Economic Theory, Springer, vol. 1(1), pages 13-30, January.
    5. De Schepper, A. & De Vylder, F. & Goovaerts, M. & Kaas, R., 1992. "Interest randomness in annuities certain," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 271-281, December.
    6. Vanneste, M. & Goovaerts, M. J. & De Schepper, A. & Dhaene, J., 1997. "A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 35-41, June.
    7. Paulsen, Jostein, 1993. "Risk theory in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 327-361, June.
    8. De Schepper, A. & Teunen, M. & Goovaerts, M., 1994. "An analytical inversion of a Laplace transform related to annuities certain," Insurance: Mathematics and Economics, Elsevier, vol. 14(1), pages 33-37, April.
    9. Milevsky, Moshe Arye, 1997. "The present value of a stochastic perpetuity and the Gamma distribution," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 243-250, October.
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