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Mind your step

Recurso electrónico / Electronic resource
Section: Articles
Title: Mind your step / Andrew SmithAuthor: 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
Related records: En: The Actuary : the magazine of the Institute & Faculty of Actuaries. - London : Redactive Publishing, 2019-. - 01/01/2020 Número 1 - January/February 2020 , p. 28-30Materia / lugar / evento: Teorema de Bayes Modelos actuariales Cálculo actuarial Tasas de interés Solvencia II Estadísticas Other categories: 6
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