Add to ORKGA practical method is developed for computing moments of insurance func-tions when interest rates are assumed to follow an autoregressive integrated moving average process. ARIMA (p, d, q)-processes; functions
Title: Random rates of return in financial and insurance mathematics Author: Mladen Pejic Department...
summary:A stochastic process cumulating random increments at random moments is studied. We model it ...
In this paper, we propose a new bootstrap strategy to obtain prediction intervals for autoregressive...
Abstract This paper shows how to calculate recursively the moments of the accumulated and discounted...
The successful investment policy is an integral part of successful activity of the insurance company...
This paper offers simplified procedures for calculating moments of functions in life contingencies w...
This study provides a comprehensive overview of changes in the autoregressive-moving- average model ...
Abstract. For the autoregressive fractionally integrated moving average (ARFIMA) processes which cha...
This paper studies ruin probabilities in two discrete-time risk models with premiums, claims and rat...
The interaction between mathematicians and statisticians has been shown to be an effective approach f...
AbstractIn this paper we study the asymptotic behavior of so-called autoregressive integrated moving...
International audienceWe study count processes in insurance, in which the underlying risk factor is ...
In this paper we model stochastic interest rate in life contingencies through a simulation. In addit...
In the present contribution, a model is presented which can be used when interest rates are random f...
Traditional Monte Carlo methods for a calculation of risk quantities (mainly VaR and TVaR) use for m...
Title: Random rates of return in financial and insurance mathematics Author: Mladen Pejic Department...
summary:A stochastic process cumulating random increments at random moments is studied. We model it ...
In this paper, we propose a new bootstrap strategy to obtain prediction intervals for autoregressive...
Abstract This paper shows how to calculate recursively the moments of the accumulated and discounted...
The successful investment policy is an integral part of successful activity of the insurance company...
This paper offers simplified procedures for calculating moments of functions in life contingencies w...
This study provides a comprehensive overview of changes in the autoregressive-moving- average model ...
Abstract. For the autoregressive fractionally integrated moving average (ARFIMA) processes which cha...
This paper studies ruin probabilities in two discrete-time risk models with premiums, claims and rat...
The interaction between mathematicians and statisticians has been shown to be an effective approach f...
AbstractIn this paper we study the asymptotic behavior of so-called autoregressive integrated moving...
International audienceWe study count processes in insurance, in which the underlying risk factor is ...
In this paper we model stochastic interest rate in life contingencies through a simulation. In addit...
In the present contribution, a model is presented which can be used when interest rates are random f...
Traditional Monte Carlo methods for a calculation of risk quantities (mainly VaR and TVaR) use for m...
Title: Random rates of return in financial and insurance mathematics Author: Mladen Pejic Department...
summary:A stochastic process cumulating random increments at random moments is studied. We model it ...
In this paper, we propose a new bootstrap strategy to obtain prediction intervals for autoregressive...