Interest rate model comparisons for participating products under Solvency II
Year of publication: |
February-June 2018
|
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Authors: | Aas, Kjersti ; Neef, Linda R. ; Williams, Lloyd ; Raabe, Dag |
Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2018, 3, p. 203-224
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Subject: | Interest rate models | CIR++ | G2++ | Libor Market model | market value of liabilities | life insurance | Zinsstruktur | Yield curve | Lebensversicherung | Life insurance | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory |
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