Abstract
A practical method is developed for computing moments of insurance functions when interest rates are assumed to follow an autoregressive integrated moving average process.
KEYWORDS ARIMA (p, d, q)-processes; stochastic interest rates; moments of insurance functions.
Volume
19:2
Page
131-138
Year
1994
Categories
Actuarial Applications and Methodologies
Valuation
Discount Rates
Financial and Statistical Methods
Statistical Models and Methods
Time Series
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
ASTIN Bulletin
