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Long-Term Yield Rates for Actuarial Valuations

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  • Jacques Carriere

Abstract

Consider the problem of valuing a life insurance or annuity on a person aged 20. The valuation formula requires that we know the prices of pure-discount bonds with maturities of up to 100 years. This article investigates the problem of estimating the yield rate for a pure-discount bond that matures in 100 years. It is shown how to estimate this yield rate with parametric and nonparametric models on the price of U.S. Treasury strips. Moreover, confidence intervals on these rates are constructed with bootstrap methods.

Suggested Citation

  • Jacques Carriere, 1999. "Long-Term Yield Rates for Actuarial Valuations," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(3), pages 13-22.
    • Handle: RePEc:taf:uaajxx:v:3:y:1999:i:3:p:13-22
    DOI: 10.1080/10920277.1999.10595819
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    Cited by:

    1. Jorge De Andrés Sánchez & Antonio Terceño Gómez, 2003. "Applications of Fuzzy Regression in Actuarial Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 665-699, December.
    2. Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.
    3. Poletti Laurini, Márcio & Moura, Marcelo, 2010. "Constrained smoothing B-splines for the term structure of interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 339-350, April.
    4. Rogers, L. C. G. & Stummer, Wolfgang, 2000. "Consistent fitting of one-factor models to interest rate data," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 45-63, August.

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