Essays on the treatment of cash flows under stochastic interest rates

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Serval ID
serval:BIB_A8CC84736791
Type
PhD thesis: a PhD thesis.
Collection
Publications
Institution
Title
Essays on the treatment of cash flows under stochastic interest rates
Author(s)
Stoica D.
Director(s)
Dufresne F.
Institution details
Université de Lausanne, Faculté des hautes études commerciales
Publication state
Accepted
Issued date
06/2007
Language
english
Notes
REROID:R004508062; pagination multiple
Abstract
Abstract
This paper shows how to calculate recursively the moments of the accumulated and discounted value of cash flows when the instantaneous rates of return follow a conditional ARMA process with normally distributed innovations. We investigate various moment based approaches to approximate the distribution of the accumulated value of cash flows and we assess their performance through stochastic Monte-Carlo simulations. We discuss the potential use in insurance and especially in the context of Asset-Liability Management of pension funds.
Keywords
ARMA process, conditional ARMA, recursive calculation, moments based approximations, Monte-Carlo simulations
Create date
16/07/2010 14:08
Last modification date
20/08/2019 16:13
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