Diffusion interest rate models in actuarial computation

Tereza Jarolimkova, République Tchèque

The paper describes how to use diffusion interest rate models in practical actuarial computations. It concentrates on numerical methods exploiting the Markovian character of diffusion processes. We do not use the assumption that investment yields in particular accounting periods are non-correlated, which is common in approximative methods that can be found in literature. The method is applied to valuation of the liability and liability adequacy testing for an endowment contract with profit sharing.
Date: 29 May - Time: 14:30 to 16:00 - Room: 341
Theme: 1.A. Stochastic dependence