Nematrian Reference Library

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Set out below are suggested references for the Page you have come from. Alternatively, select category and sub-category to see a table of references, i.e. external material referred to by Nematrian website, relating to your choice (and in some cases hyperlinks to and/or abstracts or summaries of these references)

References and other external resources for: DiscountRatesFrameworkRefs

Anderson, N., Breedon, F., Deacon, M., Derry, A. and Murphy, M. (1996)Estimating and interpreting the yield curve
CEIOPS (2010b)Report of the Task Force on the Illiquidity Premium. March 2010
Chapman, R.J., Gordon, T.J. and Speed, C.A. (2001)Pensions, Funding and Risk
CRO Forum and CFO Forum (2010)QIS 5 Technical Specification, Risk-free interest rates
Dimson, E., Marsh, P. and Staunton, M. (2002)Triumph of the Optimists: 101 Years of Global Investment Returns
Dimson, E., Marsh, P. and Staunton, M. (2002)Triumph of the Optimists: 101 Years of Global Investment Returns
Dufresne, D. (1990)The distribution of a perpetuity, with applications to risk theory and pension funding
European Central Bank (2004 onwards)Daily EUR yield curves
Exley C. J., Mehta, S. J. B. and Smith, A. D. (1997)The Financial Theory of Defined Benefit Schemes
Ford, A., Benjamin, S., Gillespie, R.G., Hager, D.P., Loades, D.H., Rowe, B.N., Ryan, J.P., Smith, P., & Wilkie, A.D. (1980)Report of the Maturity Guarantees Working Party
Hancock, J., Huber, P. and Koch, P. (2001)The economics of insurance: How insurers create value for shareholders
Kemp, M.H.D. and Varnell, E. (2010)Regulatory frameworks - lessons learned and potential implications of the Credit Crisis
Kemp, M.H.D. (2009)Market consistency: Model calibration in imperfect markets
Kemp, M.H.D. (2010)Extreme Events. Robust Portfolio Construction in the Presence of Fat Tails
Patel, C. and Daykin, C. (2010)Actuaries and Discount Rates
Patel, C. and Daykin, C. (2010)Actuaries and Discount Rates
Salmon, I. L. and Fine, A.E.M. (1991)Reflections on a takeover of a United Kingdom insurer: a case study
Sponsor Covenant Working Party (2005)Allowing for the Sponsor Covenant in Actuarial Advice
Wilkie, A.D., Waters, H.R. and Yang, S. (2003)Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options

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See here to choose a new Category/Sub-Category or here for a list of all references held by the Nematrian website. Please contact us if any of the above material is inaccurate or if there are references you think should be included that we have excluded or vice-versa.
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