Interest rate model comparisons for participating products under Solvency II (Q4585944): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1080/03461238.2017.1332679
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+W2618989740
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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
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+A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
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+Interest rate models -- theory and practice
@@ Property / cites work: Interest rate models -- theory and practice / rank @@
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+Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
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+A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
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