F03: Efficient curve fitting techniques

Document description

The use of internal models under Solvency II has led to the development of techniques such as replicating formulae in order to evaluate liabilities under many thousands of scenarios.  We introduce a theorem that solves the problem of how to identify the optimum fitting points and points of maximum approximation error with minimal analysis and without performing hundreds of accurate liability calculations thus leading to the potential saving of many hundreds of hour’s effort.