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Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes

Published online by Cambridge University Press:  07 February 2018

Jan Dhaene
Jan Dhaene*
Affiliation:
Instituut voor Actuariële Wetenschappen, K.U.Leuven, Belgium
*
Instituut voor Actuariële Wetenschappen, K.U.Leuven, Dekenstraat 2, 3000 Leuven, Belgium.
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Abstract

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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)-processesstochastic interest ratesmoments of insurance functions
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 19 , Issue 2 , November 1989 , pp. 131 - 138
Copyright
Copyright © International Actuarial Association 1989

References

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