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首页> 外文期刊>The journal of risk and insurance >Mean Reversion In Net Discount Ratios: A Study In The Context Of Fractionally Integrated Models
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Mean Reversion In Net Discount Ratios: A Study In The Context Of Fractionally Integrated Models

机译：净贴现率的均值回归：分数整合模型下的研究

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摘要

This article introduces a new alternative to the ongoing debate about station-arity and mean reversion of the net discount ratio. Modeling the net discount ratio as a fractionally integrated (I(d)) process, we apply recently developed frequency domain estimation procedures and find evidence that the net discount ratio is an I(d) process with 1/2 ≤ d < 1. Although nonstationary, such series behave like stationary processes in one interesting respect; they are mean-reverting. We present results from a simulation experiment suggesting that the finding of a nonstationary, but mean-reverting net discount ratio generally supports the validity of current practice in estimating economic damages in personal injury litigation. Moreover, if recognized and accounted for, the presence of long memory in the net discount ratio even offers the potential to significantly improve forecasts of the present value of future earnings.
机译：本文介绍了一种新的替代方法，以替代正在进行的有关站点对价和净折扣率均值回归的辩论。将净折现率建模为分数积分（I（d））过程，我们应用了最近开发的频域估计程序，并发现证据表明净折现率是1/2（≤d <1）的I（d）过程。非平稳的，在一个有趣的方面，这样的序列表现得像平稳的过程；他们是卑鄙的。我们从模拟实验中得出的结果表明，发现一个不稳定的但均值可恢复的净折现率通常支持当前实践在估算人身伤害诉讼中的经济损失时的有效性。此外，如果确认并考虑到净折现率中的长记忆，甚至还可能显着改善对未来收益现值的预测。

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