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Rates of Return as Random Variables

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References

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1974PENSION PLAN LIABILITIES AND CORPORATE FINANCIAL STRATEGIES*56 cited

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1994Limiting Distribution of the Present Value of a Portfolio44 cited
1989Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes43 cited
1997The present value of a stochastic perpetuity and the Gamma distribution41 cited
2007Stochastic Life Annuities36 cited
1994Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme35 cited
1989Weak convergence of random growth processes with applications to insurance34 cited
1986Stochastic Modelling of Interest Rates: Actuarial vs. Equilibrium Approach29 cited

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2005

The Implied Longevity Yield: A Note on Developing an Index for Life Annuities

25 cited

2013Annuity Uncertainty with Stochastic Mortality and Interest Rates10 cited