保险精算建模

WHENWhen implementing the Smith-Wilson calibration vector calculation

ACTIONCompute calibration vector b using EIOPA paragraph 149 specification with matrix inverse of (Q' * H * Q)

CONSEQUENCEIncorrect calibration vector causes interpolated/extrapolated rates to deviate from EIOPA-compliant values, invalidating downstream insurance reserve calculations

WHENWhen implementing the Wilson heart function for matrix operations

ACTIONCalculate H matrix using formula: 0.5 * (α*(u+v) + exp(-α*(u+v)) - α*|u-v| - exp(-α*|u-v|)) per EIOPA paragraph 132

CONSEQUENCEIncorrect Wilson heart function causes wrong H matrix values, propagating errors through all calibration and extrapolation calculations

WHENWhen implementing rate to price conversion for zero-coupon bonds

ACTIONTransform observed rates to ZCB prices using p = (1+r)^(-M) formula before calibration

CONSEQUENCEIncorrect rate-to-price conversion produces wrong bond prices, causing calibration vector b to be miscalculated and invalidating all derived rates