Approximations for the distribution of perpetuities with small discount rates
Work
Year: 2022
Type: article
Abstract: Perpetuities (i.e., random variables of the form play an important role in many application settings. We develop approximations for the distribution of when the “accumulated short rate process”, , is... more
Source: Naval Research Logistics (NRL)
Authors José Blanchet, Peter W. Glynn
Institution Stanford University
Cites: 41
Cited by: 1
Related to: 10
FWCI:
Citation percentile (by year/subfield):
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: bronze
Funders National Science Foundation of Sri Lanka, National Science Foundation of Sri Lanka, National Science Foundation of Sri Lanka, Air Force Office of Scientific Research
Grant IDS 1838576, 1820942, 1915967, FA9550‐20‐1‐0397