摘要翻译：
利率风险是财产保险公司资本的一个关键因素。P&C公司往往杠杆率很高，持有的债券远远大于资本。对于公认会计原则资本，债券是按市场计价的，但负债不是，因此收益率曲线的移动会对资本产生重大影响。收益率曲线情景生成器是量化这种风险的一种方法。它们产生了许多未来收益率曲线的模拟演变，可以用来量化各种期限组合策略所导致的债券价值变化的概率。其中一些生成器是以黑盒模型的形式提供的，在黑盒模型中，用户只获得投影场景。本文的一个重点是提供一种方法，通过与已知的收益率曲线的分布特性进行比较，来检验从这些模型生成的情景。P&C保险公司持有债券至到期，并通过匹配资产和负债流量来管理现金流风险。在相关的时间范围内，衍生品定价和随机波动性几乎不受关注。这需要不同于在更广泛的金融市场中常见的模型和模型测试。让事情变得更加复杂的是，过去十年的利率并没有遵循二战后六十年的模式。我们现在走出了非常低的利率时期，但仍然没有回到在此之前被认为是正常的状态。当新的模式出现时，建模和模型测试处于不断发展的状态。我们的分析首先回顾了利率模型检验的文献，重点是P&C检验，并对当前市场行为的检验进行了更新。然后我们讨论了模型，并用它们来说明拟合和测试方法。测试讨论不需要模型构建部分。
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英文标题：
《Building and Testing Yield Curve Generators for P&C Insurance》
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作者：
Gary Venter and Kailan Shang
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最新提交年份：
2019
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
  Interest-rate risk is a key factor for property-casualty insurer capital. P&C companies tend to be highly leveraged, with bond holdings much greater than capital. For GAAP capital, bonds are marked to market but liabilities are not, so shifts in the yield curve can have a significant impact on capital. Yield-curve scenario generators are one approach to quantifying this risk. They produce many future simulated evolutions of the yield curve, which can be used to quantify the probabilities of bond-value changes that would result from various maturity-mix strategies. Some of these generators are provided as black-box models where the user gets only the projected scenarios. One focus of this paper is to provide methods for testing generated scenarios from such models by comparing to known distributional properties of yield curves.   P&C insurers hold bonds to maturity and manage cash-flow risk by matching asset and liability flows. Derivative pricing and stochastic volatility are of little concern over the relevant time frames. This requires different models and model testing than what is common in the broader financial markets.   To complicate things further, interest rates for the last decade have not been following the patterns established in the sixty years following WWII. We are now coming out of the period of very low rates, yet are still not returning to what had been thought of as normal before that. Modeling and model testing are in an evolving state while new patterns emerge.   Our analysis starts with a review of the literature on interest-rate model testing, with a P&C focus, and an update of the tests for current market behavior. We then discuss models, and use them to illustrate the fitting and testing methods. The testing discussion does not require the model-building section.
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PDF链接：
https://arxiv.org/pdf/1912.10526