Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes

Jan Dhaene

ASTIN Bulletin, 1989, vol. 19, issue S1, 43-50

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.

Date: 1989
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Journal Article: Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes (1989)
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