Representative Interest Rate Scenarios

DOI10.1080/10920277.1998.10595722zbMath1081.91544OpenAlexW2331151704MaRDI QIDQ5718301

Sarah L. M. Christiansen

Publication date: 13 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.1998.10595722

Mathematics Subject Classification ID

Related Items (3)

Efficient Stochastic Modeling for Large and Consolidated Insurance Business: Interest Rate Sampling Algorithms ⋮ Capital Allocation Using the Bootstrap ⋮ Consistent fitting of one-factor models to interest rate data.

Cites Work

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• Application of Risk Theory to Interpretation of Stochastic Cash-Flow-Testing Results

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