Speaker(s): Ralf Korn (Technische Universität Kaiserslautern), Franziska Diez (Fraunhofer ITWM)
While in simple one-factor models the evolution of the yield curve in time is totally determined by the evolution of the short rate, this is not the case in Hull-White-type multi-factor models. Reasons for this are in particular the initial market forward rate curve as non-controllable input and the multi-factor framework where the current values of the factors are not uniquely determined by the current value of the short rate.
We consider the particular case of the 2-factor-Hull-White model. This is used by the Produktinformationsstelle Altersvorsorge in Germany as the basic ingredient for classifying state-subsidized private pension products in different chance and risk classes. It is thus of particular importance for life insurers when designing products with the aim to belong to a given chance and risk class.
Our main contributions are
in the 2-factor-Hull-White model.