Μεταβλητά επιτόκια και ληξιπρόθεσμες ράντες πληρωμών
Calculation of annuities with time variable interest via piecewise linear regression
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Μεταβλητά επιτόκιαAbstract
In this work an appropriate piecewise linear regression model for discrete
varying linear data is studied. Our regression model was applied for the
calculation of present value of annuities due to time variable interest rate. In
order to calculate the present values, two different approaches were presented:
the yield curve method and the portfolio method. These two methods represent
distinct perspectives on interest rate modeling: the yield curve method
incorporates market-based expectations of future interest rates, while the
portfolio method relies on predefined return ratios based on a given investment
strategy. A comparative analysis of the two approaches highlights the practical
implications of choosing an appropriate model, especially in financial
environments where interest rates exhibit dynamic behavior.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διαχείριση ΚινδύνωνDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
76Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα