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Document Details : Title: Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes Author(s): DHAENE, Jan Journal: ASTIN Bulletin Volume: 19 Issue: 2 Date: November 1989 Pages: 131-138 DOI: 10.2143/AST.19.2.2014904 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. |
