英文标题：
《Variants of the Smith-Wilson method with a view towards applications》
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作者：
Thomas Viehmann
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最新提交年份：
2019
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英文摘要：
We propose two variants of the Smith-Wilson method for practical application in the insurance industry. Our first variant relaxes the Smith-Wilson energy and can be used to incorporate less reliable market data with a certain weight rather than disregarding it completely. This is particularly useful for deriving yield curves in the IFRS 17 accounting regime, where there is a mandate to incorporate all available market data. A second variant incorporates the requirement to reach the ultimate forward rate at a prescribed term into the problem formulation. This provides a natural way to fulfil the Solvency II convergence requirement and is more elegant than the current methodology adapting the term-scale parameter to control convergence.
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中文摘要：
我们提出了Smith-Wilson方法的两种变体，用于保险业的实际应用。我们的第一个变体放松了Smith-Wilson energy，可用于将不太可靠的市场数据合并到一定的权重中，而不是完全忽略它。这对于在IFRS 17会计制度中推导收益率曲线特别有用，因为该制度要求纳入所有可用的市场数据。第二种变体将在规定期限内达到最终远期利率的要求纳入问题公式。这提供了一种自然的方式来满足Solvency II的收敛要求，并且比当前采用期限规模参数来控制收敛的方法更加优雅。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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