Long-Term Returns in Stochastic Interest Rate Models: Applications
We extend the Cox-Ingersoll-Ross (1985) model of the short interest rate by assuming a stochastic reversion level, which better reflects the time dependence caused by the cyclical nature of the economy or by expectations concerning the future impact of monetary policies. In this framework, we have studied the convergence of the long-term return by using the theory of generalised Bessel-square processes...
|Year of publication:||
|Institutions:||International Actuarial Association / Actuarial Studies in Non-Life Insurance|
|Type of publication:||Article|
|Classification:||Management of insurance ; Insurance Industry ; Individual Articles ; No country specification|
USB Cologne (business full texts)