Stochastic Compounding Models for Continuous Uniform Cash Flows Arising in Risk Management

Journal of Statistics and Management Systems, Forthcoming

Posted: 24 Apr 2008 Last revised: 1 May 2008

See all articles by Constantinos T. Artikis

Constantinos T. Artikis

University of Bradford

Panagiotis T. Artikis

National and Kapodistrian University of Athens

Abstract

This paper investigates the conditions under which zero unimodality is introduced into stochastic future value distributions for continuous uniform cash flows, and discusses the associated moments. The distribution of a future value generated from such cash flows is shown to be far more complicated than hitherto thought. In many situations, the statistical evidence suggesting there is potential to generate realistic future value is contradictory. These points are illustrated using a number of important areas of practical application in risk management.

Keywords: Unimodality, future value distributions, risk management

JEL Classification: C60

Suggested Citation

Artikis, Constantinos T. and Artikis, Panagiotis T., Stochastic Compounding Models for Continuous Uniform Cash Flows Arising in Risk Management. Journal of Statistics and Management Systems, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1124907

Constantinos T. Artikis

University of Bradford ( email )

Bradford
Bradford, West Yorkshire BD9 4JL
United States

Panagiotis T. Artikis (Contact Author)

National and Kapodistrian University of Athens ( email )

5 Stadiou Strt
Athens, 12131
Greece

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