Essays on the treatment of cash flows under stochastic interest rates
Détails
ID Serval
serval:BIB_A8CC84736791
Type
Thèse: thèse de doctorat.
Collection
Publications
Institution
Titre
Essays on the treatment of cash flows under stochastic interest rates
Directeur⸱rice⸱s
Dufresne F.
Détails de l'institution
Université de Lausanne, Faculté des hautes études commerciales
Statut éditorial
Acceptée
Date de publication
06/2007
Langue
anglais
Notes
REROID:R004508062; pagination multiple
Résumé
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.
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.
Mots-clé
ARMA process, conditional ARMA, recursive calculation, moments based approximations, Monte-Carlo simulations
Création de la notice
16/07/2010 13:08
Dernière modification de la notice
20/08/2019 15:13