Blanchet, J., & Glynn, P. (2023). Approximations for the distribution of perpetuities with small discount rates. Naval Research Logistics (NRL), 70(5), 454-471. https://doi.org/10.1002/nav.22058
Abstract
0 e− Γ (t−) dΛ (t) play an important role in many application settings. We develop approximations for the distribution of D when the “accumulated short rate process”, Γ, is small. We provide: 1) Characterizations for the distribution of D when Γ and Λ are driven by Markov processes; 2) General sufficient conditions under which weak convergence results can be derived for D, and 3) Edgeworth expansions for the distribution of D in the iid case and the case in which Λ is a Levy process and the interest rate is a function of an ergodic Markov process.
Authors
J Blanchet, P Glynn
Publication date
2005/7
