The interest rate as a stochastic variable – possible answer to financial markets volatility
Keywords:
interest rate, force of interest, consistent market, Stoodley`s formulaAbstract
This paper presents the interest rate in terms of consistent market, i.e. function of interest is defined as a continuous function which further allows to view the interest rate as a stochastic variable. In this context Stoodley`s formula is presented as a possibility of adequate evaluation of capital cost in terms of consistent market.
References
Bowers, N. L., Gerber, H. U., Hickman, J, C., Jones, D. A., Nesbitt, C. J. (1997). Actuarial Mathematics. Schaumburg: Te Society of Actuaries
Cannon, E., Tonks, I. (2008). Annuity Markets. Oxford: Oxford University Press
Електронско међубакарско тржиште новца БиХ, spider@cbbh.ba (01. 12. 2011.)
Møller, T., Steffense, M. (2007). Market-Valuation Methods in Life and Pension Insurance. Cabridge: Cambridge University Press
McCutcheon, J. J. (1983). Transactions of the Faculty of Actuaries. Some remarks relating to Stoodley ‘s formula.
Parmenter, М. M. (1999). Theory of Interest and Life Contingencies with Pension Applications. Connecticut: ACTEX Publications
Rotar, I. V. (2007). Actuarial Models Mathematics of Insurance. Chapman & Hall/CRC, Boca Raton
Централна банка Босне и Херцеговине. (2011). Извјештај о финансијској стабилности 2010.
http://www.actuaries.org.uk/research-and-resources/documents/someremarks-relating-stoodleys-formula. (10. 12. 2011.)
http://www.the-actuary.org.uk (10. 12. 2011.)
http://global-rates.com/interest-rates/euribor/euribor-interest-12-months.aspx (24.11.2011.)
http://www.ecb.int/stats/money/long/html/index.en.html (01. 12. 2011.)
http://www.clearonmoney.com/dw/doku.php?id=public:retirement_fund_discount_rate (13. 12. 2011.)
http://en.wikipedia.org/wiki/Canada_Pension_Plan (14.12.2011.)
http://www.ecb.int/stats/money/long/html/index.en.html (01 12 2011.)
Downloads
Published
Issue
Section
License
Copyright (c) 2012 University of Banja Luka, Faculty of Economics
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
