A central limit theorem for generalized discounting |
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| Authors: | K.H. Jöckel W. Sendler |
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| Affiliation: | Abteilung Statistik , Universit?t Dortmund , D - 46 Dortmund 50, Postfach, BRD, 50 05 00 |
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| Abstract: | A central limit theorem is derived for the discounted sum of a sequence of i.i.d. random variables with finite first and second moment, where the rate of interest may depend on time. For the special case of constant rate of interest GERBER (1971) obtains a Berry-Esséen result assuming finite third moment. The same result is shown to hold in the non-const ant case. |
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| Keywords: | Discounted limit theorem Berry-Esséen |
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