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A Note on Some New Perpetuities

Marc Decamps

出版	SSRN, 2008
URL	http://books.google.com.hk/books?id=LnjnzgEACAAJ&hl=&source=gbs_api

註釋

In a recent paper, Salminen and Yor (2004b) relate the distribution of the Dufresne's reflected perpetuity to the hitting time of a reflected Bessel process. In this contribution, we adapt the results of Salminen and Yor (2004b) in several ways. First, we use spectral theory to obtain a series expansion for the distribution that renders this quantity applicable to actuarial purposes. We also investigate perpetuities when the rate of return is modelled by a more general skew Brownian motion with drift.