Mind your step

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Collection: Articles

Title: Mind your step / Andrew Smith

Author: Smith, Andrew

Notes: Sumario: The idea of a long-term interest rate is embedded in actuarial thought and practice. While market interest rates fluctuate, we think about long-run averages driven by economic fundamentals. Tasks ranging from budgeting for pension contributions to the ultimate forward rate in Solvency II require assessments of long-run average returns. Estimation of long-run returns involves a mix of judgment and, sometimes, intricate quantitative models. Bayesian statistics gives us a framework for combining these elements: the judgment corresponds to a prior distribution of parameters, while the forecast is based on a posterior parameter distribution given some data

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Rights: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/