Simulation de trajectoires de processus continus

Frédéric Planchet () and Pierre-Emmanuel Thérond

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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: 2005-12-01
Note: View the original document on HAL open archive server: https://hal.science/hal-00443003v1
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Published in Belgian Actuarial Bulletin, 2005, 5 (1), pp.1..13

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00443003

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