Data di Pubblicazione:
2004
Citazione:
Some remarks on first and second order stochastic processes choice / Orlando, A., Trudda, A.. - In: INVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS. - ISSN 1810-4967. - (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
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
Tipologia CRIS:
1.1 Articolo in rivista
Elenco autori:
Orlando, A; Trudda, Alessandro
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