Simulation de trajectoires de processus continus

Fr\'ed\'eric Planchet and Pierre-Emanuel Th\'erond
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Fr\'ed\'eric Planchet: SAF
Pierre-Emanuel Th\'erond: SAF

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Abstract: Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and of the choice of a random number generator. The aim of this paper is to provide the tools for the practical implementation of diffusion processes simulation, particularly for insurance contexts.

Date: 2010-01
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Published in Belgian Actuarial Bulletin 5, 1 (2005) 1...13

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1001.1909

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