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Document type:
Masterarbeit
Author(s):
Hötzelsperger, Michael
Title:
Kalibrierung und Validierung eines 2-Faktor-Hull-White Modellsin einem Economic Scenario Generator unter Solvency II
Translated title:
Calibration and validation of a 2-factor Hull-White modelin an Economic Scenario Generator under Solvency II
Abstract:
This master's thesis which was written in cooperation with the insurance group die Bayerische deals with interest rate models in an economic scenario generator for the valuation of technical provisions under Solvency II. Die Bayerische has used so far among many other insurance companies a scenario generator that applies the 1-factor Hull-White interest rate model. Since this does not reflect adequately the interest rate structures, a 2-factor Hull-White model or the equivalent G2++ model is to...     »
Supervisor:
Prof. Dr. Rudi Zagst
Advisor:
Prof. Dr. Rudi Zagst, Patrick Morales
Cooperation:
die Bayerische
Year:
2020
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
TUM Institution:
Lehrstuhl für Finanzmathematik
Commencing Date:
15.05.2020
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