Stochastic Modelling of Interest Rates with Applications to Life Contingencies. Part II

1 December 1981

journal article
Published by JSTOR in Journal of Risk and Insurance

Vol. 48 (4) , 628
https://doi.org/10.2307/252824

Abstract

This paper extends the results of a previous paper [4], by conditioning the stochastic process of interest rates on current and past values. Conditional autoreg...

Keywords

INTEREST RATES
STOCHASTIC MODELLING
CONTINGENCIES
AUTOREG
PREVIOUS
MODELLING OF INTEREST
RATES WITH APPLICATIONS

This publication has 0 references indexed in Scilit: