English

Limit theorems for discounted convergent perpetuities

Probability 2021-02-25 v1

Abstract

Let (ξ1,η1)(\xi_1, \eta_1), (ξ2,η2),(\xi_2, \eta_2),\ldots be independent identically distributed R2\mathbb{R}^2-valued random vectors. We prove a strong law of large numbers, a functional central limit theorem and a law of the iterated logarithm for convergent perpetuities k0bξ1++ξkηk+1\sum_{k\geq 0}b^{\xi_1+\ldots+\xi_k}\eta_{k+1} as b1b\to 1-. Under the standard actuarial interpretation, these results correspond to the situation when the actuarial market is close to the customer-friendly scenario of no risk.

Keywords

Cite

@article{arxiv.2102.12216,
  title  = {Limit theorems for discounted convergent perpetuities},
  author = {Alexander Iksanov and Anatolii Nikitin and Igor Samoilenko},
  journal= {arXiv preprint arXiv:2102.12216},
  year   = {2021}
}

Comments

27 pages, submitted to a journal