题 目：Extrapolation of Long Term Structure of Interest Rate in China
内容摘要：IFRS and Solvency II require fair valuation, which is supposed to perform with a risk free term structure. Furthermore, cash flows or duration in the insurance field last for several decades, so it is necessary to extrapolate a risk-free term structure for long-term policy valuation, which can have a great impact on insurance. For the difficulty to estimate the volatility and how long it takes to reach such levels, the Smith-Wilson method suggested by QIS5 set a convergence parameter arbitrarily. This paper aimed to use a more objective approach ( TLMSV model) to determine the equilibrium volatility term structure. Furthermore, we use this model to estimate the leverage effects when financial crisis hits.
时 间：2014年12月24日 14：30—16：00
地 点：光华楼1911会议室
主办单位：金融安全协同创新中心
主讲人简介：
张勇，男，1980年生，保险学博士，毕业于南开大学，高级程序员。本科毕业后曾在上海盛大网络有限公司任职。2009年起，在西南财经大学保险学院任教。主要研究方向为保险精算、偿付能力监管，曾在《保险研究》等期刊上发表高水平论文。
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