Description: The main aim of this paper is to apply some of the techniques of modern time series and econometric analysis to analyse investment data in order to better understand the nature of long run relationships in investment series typically used in stochastic investment models. The paper attempts to identify and address fundamental issues that need to be considered before developing a particular stochastic investment model.

Description: This presentation compares continuous-time multi-factor affine cohort mortality models and presents estimation results for an affine multi-factor, multi-cohort mortality model.