Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes-Reference-Cited by-同舟云学术

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Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes

Published:1989-11 Issue:2 Volume:19 Page:131-138
ISSN:0515-0361
Container-title:ASTIN Bulletin
language:en
Short-container-title:ASTIN Bull.

Author:

Dhaene Jan

Abstract

AbstractA practical method is developed for computing moments of insurance functions when interest rates are assumed to follow an autoregressive integrated moving average process.

Publisher

Cambridge University Press (CUP)

Subject

Economics and Econometrics,Finance,Accounting

Reference7 articles.

1. Rates of Return as Random Variables

2. Stochastic Modelling of Interest Rates with Applications to Life Contingencies. Part II

3. Stochastic Modelling of Interest Rates: Actuarial vs. Equilibrium Approach

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