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Simulation de trajectoires de processus continus

Author

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  • Frédéric Planchet

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Pierre-Emmanuel Thérond

    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and of the choice of a random number generator. The aim of this paper is to provide the tools for the practical implementation of diffusion processes simulation, particularly for insurance contexts.

Suggested Citation

  • Frédéric Planchet & Pierre-Emmanuel Thérond, 2005. "Simulation de trajectoires de processus continus," Post-Print hal-00443003, HAL.
    • Handle: RePEc:hal:journl:hal-00443003
    Note: View the original document on HAL open archive server: https://hal.science/hal-00443003
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    Cited by:

    1. Fr'ed'eric Planchet & Pierre-Emanuel Th'erond, 2010. "Allocation d'actifs selon le crit\`ere de maximisation des fonds propres \'economiques en assurance non-vie," Papers 1001.1867, arXiv.org.
    2. Pierre-Emmanuel Thérond, 2008. "Ifrs, solvabilité 2, IFRS, embedded value : quel traitement du risque ?," Post-Print hal-03202264, HAL.
    3. Frédéric Planchet & Pierre-Emmanuel Thérond, 2007. "Allocation d'actifs selon le critère de maximisation des fonds propres économiques en assurance non-vie : présentation et mise en oeuvre dans la réglementation française et dans un référentiel de type," Post-Print hal-00443028, HAL.

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