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Formulating a Stochastic Discounting Model with Actuarial and Risk Management Applications

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  • Constantinos T. Artikis

    (National and Kapodistrian University of Athens, Faculty of Primary Education, Department of Mathematics and Informatics, Athens, Greece.)

Abstract

Stochastic discounting models are generally recognized as extremely strong analytical tools for a very wide variety of fundamental areas in the actuarial discipline. The paper is mainly devoted to the formulation, investigation and application in the actuarial discipline of a stochastic discounting model. It is shown that the formulated stochastic discounting model can substantially support the role of proactivity in making insurance decisions.

Suggested Citation

  • Constantinos T. Artikis, 2012. "Formulating a Stochastic Discounting Model with Actuarial and Risk Management Applications," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 62(3-4), pages 7-15, July - De.
    • Handle: RePEc:spd:journl:v:62:y:2012:i:3-4:p:7-15
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    File URL: https://spoudai.unipi.gr/index.php/spoudai/article/download/46/75/46-158-1-PB.pdf
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    References listed on IDEAS

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    4. Gary Parker, 1998. "Stochastic interest rates with actuarial applications," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 14(4), pages 335-341, December.
    5. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
    6. Casey, Christopher, 2001. "Corporate valuation, capital structure and risk management: A stochastic DCF approach," European Journal of Operational Research, Elsevier, vol. 135(2), pages 311-325, December.
    7. Parker, Gary, 1994. "Limiting Distribution of the Present Value of a Portfolio," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 47-60, May.
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    Cited by:

    1. Ioannis Vogiatzis & Costas Siriopoulos & Nikolaos Frangos, 2014. "Effects of the Public Sector downsizing on Social Security and public finance," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 64(1), pages 53-62, January-M.

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    More about this item

    Keywords

    Stochastic Discounting; Risk Management; Model;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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