Abstract
The author treats interest as a stochastic variable in estimating the present value of a string of payments rather than the deterministic model actuaries often use. The model he uses has sufficient flexibility to include parameter uncertainty. Thus in this model when the estimate of present value is made is also relevant to the value of that estimate.
Volume
2:2
Page
113-128
Year
1992
Categories
Actuarial Applications and Methodologies
Reserving
Discounting of Reserves
Financial and Statistical Methods
Publications
Insurance: Mathematics & Economics
