Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes

DHAENE, Jan

Document Details :

Title: Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes
Author(s): DHAENE, Jan
Journal: ASTIN Bulletin
Volume: 19 Issue: s Date: November 1989
Pages: 43-50
DOI: 10.2143/AST.19.3.2014901

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.