The multidimensional markov chain with prespecified asymptotic means,and (auto-)covariances |
| |
Authors: | C.G.E. Boender H.E. Romeijn |
| |
Affiliation: | 1. ORTEC Consultants , Erasmus University Rotterdam , PV , The NetherlandGroningenweg 6;2. Erasmus University Rotterdam , 1738, Rotterdam , 3000DR , Netherlands |
| |
Abstract: | In this paper a method is presented to construct random time series which, starting from their present values, converge to stationary time series with a priori specified mean values, standard deviations, correlations and autocorrelations. The method is applied to simulate time series of price-inflation, wage-inflation, and interest rates, whose mean values, standard deviations, correlations and autocorrelations converge to the values which are estimated from historical data This application is a circular part of a Decision Support System which assists management of pension funds in analysing new methods of calculating pension premiums. |
| |
Keywords: | Markov chains simulation time series pension funds |
|
|