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



Autor: Frédéric Planchet SAF, Pierre-Emanuel Thérond SAF

Fuente: https://arxiv.org/



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