A Generalization of Discounted Central Limit Theorem and its Berry-Esseen Analogue

DOI

10.2991/jsta.2014.13.4.2How to use a DOI?

Keywords

Berry-Esseen Theorem; Discount factor; Present value

Abstract

Discounted central limit theorem was proved for i.i.d. random variables by Gerber (Theorem 2.1). This work is intended to extend the work of Gerber to the case where {??} is a periodic sequence of independent variables and ?i are periodic scalars. A simulation study was performed in order to support the result. We also give an interpretation of our work in a financial context. Finally, an example with real data is presented.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - JOUR
AU  - B. Amiri Aghbilagh
AU  - Z. Shishebor
AU  - M.M. Saber
PY  - 2014
DA  - 2014/12/30
TI  - A Generalization of Discounted Central Limit Theorem and its Berry-Esseen Analogue
JO  - Journal of Statistical Theory and Applications
SP  - 289
EP  - 295
VL  - 13
IS  - 4
SN  - 2214-1766
UR  - https://doi.org/10.2991/jsta.2014.13.4.2
DO  - 10.2991/jsta.2014.13.4.2
ID  - Aghbilagh2014
ER  -