An Actuarial Layman ' S Guide to Building Stochastic Interest Rate Generators

@inproceedings{TILLEY1992AnAL,
  title={An Actuarial Layman ' S Guide to Building Stochastic Interest Rate Generators},
  author={JAMES A. TILLEY},
  year={1992}
}
  • JAMES A. TILLEY
  • Published 1992
A stochastic interest rate generator is a valuable actuarial tool. The parameters that specify a stochastic model of interest rates can be adjusted to make the model arbitrage-free, or they can be adjusted to accommodate an individual investor's subjective views. The arbitrage-free settings of the parameters must be used when pricing streams of interest-rate-contingent cash flows, for example, when establishing the risk-neutral position for assetliability management. The real-world settings of… CONTINUE READING