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Life Contingencies with Stochastic Discounting Using Moving Average Models

By Steven Haberman, Russell Gerrard and Dimitrios Velmachos

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

Topics: stochastic interest, present value, time series, normal distribution, net single premium, Accounting, Business, Business Administration, Management, and Operations, Corporate Finance, Finance and Financial Management, Insurance, Management Sciences and Quantitative Methods
Publisher: DigitalCommons@University of Nebraska - Lincoln
Year: 2000
OAI identifier: oai:digitalcommons.unl.edu:joap-1075

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