Búsqueda

Extrapolating long-run yield curves : an innovative and consistent approach

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20230021958</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20231214124038.0</controlfield>
    <controlfield tag="008">231027e20230906usa|||p      |0|||b|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1="1" ind2=" ">
      <subfield code="0">MAPA20230008683</subfield>
      <subfield code="a">Pedra Signorelli,  Thiago</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Extrapolating long-run yield curves</subfield>
      <subfield code="b">: an innovative and consistent approach</subfield>
      <subfield code="c">Thiago Pedra Signorelli, Carlos Heitor Campani, César da Rocha Neves</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">This article proposes a method to build term structures that are consistent with market data and that provide interest rates for which the volatility, on average, decreases as maturities increase. The Svensson model is adopted, and its parameters are estimated by the combination of a genetic algorithm and a quasi-Newton nonlinear optimization method. We innovate with a new objective function that focuses on both parts of the estimated curves (interpolated and extrapolated). For this purpose, a stability component is added. The new objective function aims to solve the problem of estimating long-term rates not observable in the market, for which the estimates are usually artificially stable or excessively volatile. The results show that the estimation method is able to bring the volatility of extrapolated rates to levels consistent with those observed for the longest liquid rate. Estimation errors are small enough and there is no statistical evidence that they are biased. The method is useful for the insurance market, since it provides interest rates that do not lead to artificially stable or excessively volatile technical provisions</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080592011</subfield>
      <subfield code="a">Modelos actuariales</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080553128</subfield>
      <subfield code="a">Algoritmos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080578527</subfield>
      <subfield code="a">Tipos de interés</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080594602</subfield>
      <subfield code="a">Análisis de mercados</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080586294</subfield>
      <subfield code="a">Mercado de seguros</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080554286</subfield>
      <subfield code="a">Estimación</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20230008690</subfield>
      <subfield code="a">Heitor Campani, Carlos</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20230008706</subfield>
      <subfield code="a">da Rocha Neves, César</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000239</subfield>
      <subfield code="g">06/09/2023 Tomo 27 Número 3 - 2023 , 22 p.</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
    </datafield>
    <datafield tag="856" ind1="0" ind2="0">
      <subfield code="y">MÁS INFORMACIÓN</subfield>
      <subfield code="u">
mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A
</subfield>
    </datafield>
  </record>
</collection>