Steven Haberman, Russell Gerrard and Dimitrios Velmachos
Abstract
This paper offers simplified procedures for calculating moments of functions in life contingencies when the random force of interest is modeled using an unconditional moving average process of order q, MA(q). It extends the MA(1) model that has been used for stochastic discounting. Using the more general MA(q) model allows actuaries to better capture the autocorrelation between successive interest rates in a time series.
Key words and phrases: stochastic interest, present value, time series, normal distribution, net single premium.
Steven Haberman
Department of Actuarial Science and Statistics
City University
London EC1V 0HB
UNITED KINGDOM
Russell Gerrard
Department of Actuarial Science and Statistics
City University
London EC1V 0HB
UNITED KINGDOM
Dimitrios Velmachos
83A Christchurch Rd.
London SW2 3DH
UNITED KINGDOM
© Copyright Absalom Press, Inc.