Interest rate model comparisons for participating products under Solvency II
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Publication:4585944
DOI10.1080/03461238.2017.1332679zbMATH Open1396.91289OpenAlexW2618989740MaRDI QIDQ4585944FDOQ4585944
Authors: Kjersti Aas, Linda Reiersølmoen Neef, Lloyd K. Williams, D. Raabe 
Publication date: 11 September 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2017.1332679
Recommendations
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Cites Work
- Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
- A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
- The Market Model of Interest Rate Dynamics
- A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
- Interest rate models -- theory and practice
Cited In (3)
- A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
- A lattice approach to evaluate participating policies in a stochastic interest rate framework
- The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
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