A paper by AKIYAMA Shinobu, a second-year doctoral student in the Mathematical Sciences Program at the Graduate School of Advanced Mathematical Sciences, and Professor MATSUYAMA Naoki was published in the International Actuarial Association’s ASTIN Bulletin, a leading journal in the field of actuarial mathematics.
The paper was highly regarded for introducing the world's first machine learning approach to the yield curve extrapolation model, which is an important issue in the internal model of economic value-based solvency regulations to be introduced in various countries around the world starting in 2025, and succeeding in ensuring high generalization performance and consistency with hedging instruments not found in conventional models.
Akiyama S, Matsuyama N. Yield curve extrapolation with machine learning.
ASTIN Bulletin. Published online 2024:1-21.
Article：Yield Curve Extrapolation with Machine Learning
doi:
10.1017/asb.2024.27
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Japanese version≫
