PENENTUAN PREMI ASURANSI JIWA BERJANGKA 5 TAHUN MENGGUNAKAN MODEL VASICEK DAN MODEL COX-INGERSOLL-ROSS (CIR)
نویسندگان
چکیده
منابع مشابه
The Wiener chaos expansion for the Cox–Ingersoll–Ross model
In this paper we recast the Cox–Ingersoll–Ross model of interest rates into the chaotic representation recently introduced by Hughston and Rafailidis. Beginning with the “squared Gaussian representation” of the CIR model, we find a simple expression for the fundamental random variable X∞. By use of techniques from the theory of infinite dimensional Gaussian integration, we derive an explicit fo...
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In this we paper we recast the Cox–Ingersoll–Ross model of interest rates into the chaotic representation recently introduced by Hughston and Rafailidis. Beginning with the “squared Gaussian representation” of the CIR model, we find a simple expression for the fundamental random variable X∞. By use of techniques from the theory of infinite dimensional Gaussian integration, we derive an explicit...
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ژورنال
عنوان ژورنال: STATMAT : JURNAL STATISTIKA DAN MATEMATIKA
سال: 2020
ISSN: 2720-9881,2655-3724
DOI: 10.32493/sm.v2i2.6077