Some Remarks on First and Second Order Stochastic Processes Choice

A comparison between A(1) and A(2) processes, when used for describing the evolution in time of the global rate of return on investments made by an insurance company, is proposed. In particular, we compare the two processes analysing the parameter sensibility to the size of the sampling interval. An application shows the results. Finally the impact on the global riskiness of a whole life annuity portfolio is evaluated for both the two models

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Year of publication:	2011
Authors:	Trudda, Alessandro
Other Persons:	Orlando, Albina (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Theorie \| Theory

Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Investment Management and Financial Innovations, Vol. 1, No. 3, pp. 118-131, 2004 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2004 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013122281