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Weak convergence of random growth processes with applications to insurance

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  • Dufresne, Daniel

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  • Dufresne, Daniel, 1989. "Weak convergence of random growth processes with applications to insurance," Insurance: Mathematics and Economics, Elsevier, vol. 8(3), pages 187-201, November.
    • Handle: RePEc:eee:insuma:v:8:y:1989:i:3:p:187-201
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    Cited by:

    1. Hyukjae Park, 2013. "Efficient valuation method for the SABR model," Papers 1308.0665, arXiv.org, revised Nov 2013.
    2. Ghomrasni, Raouf & Graversen, Svend Erik, 2002. "An extension of Seshadri's identities for Brownian motion," Statistics & Probability Letters, Elsevier, vol. 59(4), pages 379-384, October.
    3. Dong, Y. & Spielmann, J., 2020. "Weak limits of random coefficient autoregressive processes and their application in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 1-11.
    4. Andrew Lyasoff, 2016. "Another look at the integral of exponential Brownian motion and the pricing of Asian options," Finance and Stochastics, Springer, vol. 20(4), pages 1061-1096, October.
    5. Yuchao Dong & Jérôme Spielmann, 2020. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Post-Print hal-02170829, HAL.
    6. Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014. "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, vol. 18(4), pages 755-789, October.
    7. Yuchao Dong & Jérôme Spielmann, 2019. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Working Papers hal-02170829, HAL.
    8. Yuchao Dong & J'er^ome Spielmann, 2019. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Papers 1907.01828, arXiv.org, revised Feb 2020.
    9. Vadim Linetsky, 2004. "Spectral Expansions for Asian (Average Price) Options," Operations Research, INFORMS, vol. 52(6), pages 856-867, December.
    10. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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