Department of Finance
Journal of Actuarial Practice (1993–2006)
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Date of this Version
2000
Document Type
Article
Citation
Journal of Actuarial Practice 8 (2000), pp. 177-210
Abstract
This paper offers simplified procedures for calculating moments of functions in life contingencies when the random force of interest is modeled using an unconditional moving average process of order q, MA(q). It extends the MA(l) model that has been used for stochastic discounting. Using the more general MA(q) model allows actuaries to better capture the auto correlation between successive interest rates in a time series.
Included in
Accounting Commons, Business Administration, Management, and Operations Commons, Corporate Finance Commons, Finance and Financial Management Commons, Insurance Commons, Management Sciences and Quantitative Methods Commons
Comments
Copyright 2000 Absalom Press