Stochastic Interest Rates and Autoregressive integrated Moving Average Processes

Link
https://www.casact.org/sites/default/files/database/astin_vol19s_43.pdf
Abstract
A practical method is developed for coputing 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:S
Page
43-
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
Authors
Jan Dhaene