Limit theorems for discounted convergent perpetuities
Probability
2021-02-25 v1
Abstract
Let , be independent identically distributed -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 as . 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