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Some Applications of Lévy Processes to Stochastic Investment Models for Actuarial Use

Published online by Cambridge University Press:  29 August 2014

Terence Chan
Terence Chan*
Affiliation:
Dept. of Actuarial Mathematics and Statistics, Heriot-Watt University
*
Dept. of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh EH 14 4AS, U.K.
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Abstract

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This paper presents a continuous time version of a stochastic investment model originally due to Wilkie. The model is constructed via stochastic differential equations. Explicit distributions are obtained in the case where the SDEs are driven by Brownian motion, which is the continuous time analogue of the time series with white noise residuals considered by Wilkie. In addition, the cases where the driving “noise” are stable processes and Gamma processes are considered.

Keywords

Lévy processBrownian motionstochastic investment model
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 28 , Issue 1 , May 1998 , pp. 77 - 93
Copyright
Copyright © International Actuarial Association 1998

References

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