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
| Author(s) | Title |
| 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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