Martingales, scale functions and stochastic life annuities: A note

Insurance: Mathematics and Economics

Volumn 24, Issue 1-2, 1999, Pages 149-154

  Milevsky, Moshe Arye ^a  

^a YORK UNIVERSITY   (Canada)

Author keywords

C63; G22; Generalized Asian option; IM10; IM13; Ito diffusion; Markov process; Perpetuity; Probability of ruin

Indexed keywords

EID: 0010653671     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(98)00032-8     Document Type: Article

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