Evaluating the distribution of the discounted value of cash flows

Details

Serval ID
serval:BIB_79CA852AD405
Type
Inproceedings: an article in a conference proceedings.
Collection
Publications
Institution
Title
Evaluating the distribution of the discounted value of cash flows
Title of the conference
Insurance: Mathematics and Economics
Author(s)
Stoica D., Dufresne F.
Address
Rome, Italy
ISSN
0167-6687
Publication state
Published
Issued date
2004
Volume
35
Number
2
Pages
466
Language
english
Abstract
This paper shows how to evaluate the distribution of the accumulated (or discounted) value of cash flows when the instantaneous rates of return follow a conditional ARMA process with normally distributed innovations. The need for evaluating it occurs in several applications in insurance or finance, for instance in the context of Asset-Liability Management of pension funds.
Keywords
ARMA process, Conditional ARMA, Sum of correlated lognormal r.v., Lognormal multidimensional
Create date
20/10/2008 11:20
Last modification date
20/08/2019 15:36
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