Inproceedings: an article in a conference proceedings.
Evaluating the distribution of the discounted value of cash flows
Title of the conference
Insurance: Mathematics and Economics
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.
ARMA process, Conditional ARMA, Sum of correlated lognormal r.v., Lognormal multidimensional
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