Resampling a time‐series process: A method of estimating the probabilities associated with alternative plans for protecting pensions against inflation
时间序列重抽样：估计养老金抗通胀方案下的损失概率
Abstract Any pension protection formula that falls short of complete compensation for inflation has associated with it a time‐series of probability distributions of future purchasing power losses. A method of estimating those distributions is proposed and applied. The method is based on the idea of representing inflation as a multivariate time‐series process and using a model fitted to historical data to generate a large artificial sample of ‘realized’ inflation sequences by…