Stochastic Modelling of Interest Rates with Applications to Life Contingencies
通过将利率随机过程与当前及历史值条件化，扩展了前期研究，建立了条件自回归利率模型，并应用于利息、保险和年金函数，给出了数值结果。
This paper extends the results of a previous paper [4], by conditioning the stochastic process of interest rates on current and past values. Conditional autoregressive interest rate models are developed and applied to interest, insurance and annuity functions. Numerical results are also given.