Seção: Artigos Título: Yield curve extrapolation with machine learning / Shinobu Akiyama and Naoki MatsuyamaAutor: Akiyama, Shinobu Notas: Sumario: Yield curve extrapolation to unobservable tenors is a key technique for the market-consistent valuation of actuarial liabilities required by Solvency II and forthcoming similar regulations. Since the regulatory method, the SmithWilson method, is inconsistent with observable yield curve dynamics, parsimonious parametric models, the NelsonSiegel model and its extensions, are often used for yield curve extrapolation in risk managementRegistros relacionados: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 29/01/2025 Volume 55 Issue 1 - January 2025 , p. 76 - 96Materia / lugar / evento: Matemática del seguro Empresas de seguros Requerimientos financieros Solvencia II Tasa interna de rendimiento Cálculo actuarial Machine learning Gestión de riesgos Otros autores: Matsuyama, Naoki International Actuarial Association Outras classificações: 6 Direitos: In Copyright (InC)
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