The successful investment policy is an integral part of successful activity of the insurance company. The return to the shareholders of the insurance company usually thought of as comprising the underwriting result and investment income. The investment income is very important even for an...

The Longstaff – Schwartz model is considered both in the space of latent state variables and in the space of observable (or estimated) state variables. Analytical expressions for yield curves to maturity and forward curves are obtained in both cases. Based on the analysis of the Longstaff –...