Resampling a time‐series process: A method of estimating the probabilities associated with alternative plans for protecting pensions against inflation
提出一种基于重抽样的方法，通过将通胀建模为多变量时间序列过程，生成大量人工通胀序列，模拟不同养老金保护方案下的购买力损失分布，帮助评估方案效果。
Abstract Any pension protection formula that falls short of complete compensation for inflation has associated with it a time‐series of probability distributions of future purchasing power losses. A method of estimating those distributions is proposed and applied. The method is based on the idea of representing inflation as a multivariate time‐series process and using a model fitted to historical data to generate a large artificial sample of ‘realized’ inflation sequences by means of a bootstrapping procedure. The purchasing power losses under a given protection plan can then be simulated for each inflation sequence and the sample distributions calculated.