SIAS Meeting: Dimension Reduction Techniques and Forecasting Interest Rates
Techniques such as principal component analysis are widely used by actuaries, perhaps most frequently in the modelling of interest rate term structures. But are they being fully understood?
Shaun Lazzari, Deloitte will:
- Give an overview of the various methods available and their possible uses
- Highlight the relative importance of the many assumptions and choices to be made by the modeller
- Discuss how a business’s assets and liabilities should be considered when constructing an interest rate model
- Place such issues in the context of a Solvency II internal model, touching on issues relating to curve fitting and tail behaviour.
There is no need to register in advance for this event. Following the event there will be a free drink and buffet at a nearby pub. See the SIAS website for details.