Long-Term Yield Rates for Actuarial Valuations |
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Authors: | Jacques F Carriere ASA PhD |
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Institution: | Mathematical Sciences , University of Alberta , Edmonton AB, Canada T6G 2G1 E-mail: jcarrier@vega.math.ualberta.ca |
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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. |
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