Abstract
AbstractPerpetuities (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 small. We provide: (1) characterizations for the distribution of when and are driven by Markov processes; (2) general sufficient conditions under which weak convergence results can be derived for , and (3) Edgeworth expansions for the distribution of in the iid case and the case in which is a Levy process and the interest rate is a function of an ergodic Markov process.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
