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.
Some remarks on first and second order stochastic processes choice
Orlando A;
2004
Abstract
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.File in questo prodotto:
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