Gaussian and Affine Approximation of Stochastic Diffusion Models for Interest and Mortality Rates
In the actuarial literature, it has become common practice to model future capital returns and mortality rates stochastically in order to capture market risk and forecasting risk. Although interest rates often should and mortality rates always have to be non-negative, many authors use stochastic dif...
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| Format: | Article |
| Language: | English |
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MDPI AG
2013-10-01
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| Series: | Risks |
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| Online Access: | http://www.mdpi.com/2227-9091/1/3/81 |