IDEAS home Printed from https://ideas.repec.org/a/eme/jdqspp/jdqs-07-2024-0031.html
   My bibliography  Save this article

High-dimensional parameter calibration of interest rate model for the Korean insurance capital standard

Author

Listed:
  • Bong-Gyu Jang
  • Seung Min Baik
  • Changhui Choi

Abstract

Keywords: Calibration, Interest rate, Insurance capital standard, Bayesian optimization, Swaption, C02, G12

Suggested Citation

  • Bong-Gyu Jang & Seung Min Baik & Changhui Choi, 2025. "High-dimensional parameter calibration of interest rate model for the Korean insurance capital standard," Journal of Derivatives and Quantitative Studies: 선물연구, Emerald Group Publishing Limited, vol. 33(1), pages 23-44, March.
    • Handle: RePEc:eme:jdqspp:jdqs-07-2024-0031
    DOI: 10.1108/JDQS-07-2024-0031
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/JDQS-07-2024-0031/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: no
    File URL: https://www.emerald.com/insight/content/doi/10.1108/JDQS-07-2024-0031/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: no
    File URL: https://libkey.io/10.1108/JDQS-07-2024-0031?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jdqspp:jdqs-07-2024-0031. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.