Rates of Return as Random Variables

摘要: An attempt is made to develop a theory of life contingencies and compound interest using stochastic model one year returns. Some particular results are obtained the lognormal distribution. Actuaries traditionally have used deterministic approach in most their calculations. In it usual assume constant rate interest. Occasionally varying rates been as, for example, when assumed that will drop steadily from 7 percent 5 over 20 years. these cases still deterministic. The proposals introduce variable insurance generated number papers Transactions Society which statistical models investment Kahn [1] returns on underlying portfolio lognormally distributed while Di Paolo [2] probability distribution historical statistics. Writing this Journal, Ziock [3] has time series techniques simulation connection with bond yields. Most significant recent advances published North American academic journals. pioneering paper area was written by Markowitz [4] 1952. One basic ideas return security (and securities) may be represented random variable. It perhaps surprising idea not more widely exploited within framework actuarial science. present assumption process independent year. additional remains unchanged time.