Heavy tails for an alternative stochastic perpetuity model
Sign Up to like & getrecommendations! Published in 2019 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2018.12.008
Abstract: Abstract In this paper we consider a stochastic model of perpetuity-type. In contrast to the classical affine perpetuity model of Kesten (1973) and Goldie (1991) all discount factors in the model are mutually independent. We… read more here.
Keywords: perpetuity; perpetuity model; heavy tails; alternative stochastic ... See more keywords