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Real-world interest rate models in a low interest rate environment
policies issued between 2003 and 2015. The following table sum- marizes the interest rate guarantees by issue ... defined dynamically. • At the June 30, 2015, valuation date, the starting portfolio consists of bonds ...- Authors: Marshall Lin, Jean-Philippe Larochelle, Francisco Orduna
- Date: Dec 2015
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: The Modeling Platform
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models
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Real-World Interest Rate Models and Current Practices
demanding principle-based views of risk and valuation. Here are some common uses for real-world interest ... reporting - U.S. statutory valuation, Actuarial Guideline (AG) 43—This is a valuation standard for variable ...- Authors: Jean-Philippe Larochelle, Marshall Lin, Francisco Orduna
- Date: Jul 2015
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Economics>Financial economics; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Stochastic models