文章基本信息

标题：Some Remarks on First and Second Order Stochastic Processes Choice
本地全文：下载
作者：Albina Orlando ; Alessandro Trudda
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2004
卷号：1
期号：3
页码：117-131
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：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.
关键词：A(1)model;A(2)model;covariance equivalence principle;investment risk;total riskiness of a life insurance portfolio;whole life annuity portfolio.