Long-Term Yield Rates for Actuarial Valuations

DOI10.1080/10920277.1999.10595819zbMath1082.62531OpenAlexW2293165237MaRDI QIDQ5718373

Jacques F. Carriere

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.1999.10595819

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents ⋮ CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE ⋮ Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ GENERALIZATION OF THE DYBVIG–INGERSOLL–ROSS THEOREM AND ASYMPTOTIC MINIMALITY ⋮ A Gaussian Process of Yield Rates Calibrated with Strips ⋮ Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure ⋮ Consistent fitting of one-factor models to interest rate data.

Cites Work

• Stochastic models for bond prices, function space integrals and immunization theory
• Smoothing methods in statistics
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
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