Estimation of interest rate risk in the insurance sector: Application of the Smith-Wilson model

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dc.contributor.affiliationArango M.A., Universidad Nacional de Colombia, Medellín, Colombia, Universidad de Medellín, Medellín, Colombia
dc.contributor.affiliationGómez L.M., Universidad de Medellín, Medellín, Colombia
dc.contributor.affiliationDuque A.F., SURA, Medellín, Colombia
dc.contributor.affiliationCastaño H.F., Universidad de Medellín, Medellín, Colombia
dc.contributor.authorArango M.A.
dc.contributor.authorGómez L.M.
dc.contributor.authorDuque A.F.
dc.contributor.authorCastaño H.F.
dc.date.accessioned2025-09-08T14:23:50Z
dc.date.available2025-09-08T14:23:50Z
dc.date.issued2025
dc.descriptionInsurance companies are exposed to interest rate risk, as there may be a difference between the returns on investments and the rates at which financial obligations to clients are valued. The Smith-Wilson methodology allows for the determination of rates at which, in the unmatched segment, surplus liquidity from economic agents can be invested in the future. In the case study, the nominal and real rate curves are estimated, enabling the determination of provisions so that insurers can optimize their asset and liability management, particularly in the context of annuities. © (2024), (Universidad Nacional de Colombia). All Rights Reserved.
dc.identifier.doi10.15446/cuad.econ.v44n94.105879
dc.identifier.instnameinstname:Universidad de Medellínspa
dc.identifier.issn1214772
dc.identifier.reponamereponame:Repositorio Institucional Universidad de Medellínspa
dc.identifier.repourlrepourl:https://repository.udem.edu.co/
dc.identifier.urihttp://hdl.handle.net/11407/9112
dc.language.isoeng
dc.publisher.facultyFacultad de Ingenieríasspa
dc.publisher.programIngeniería Financieraspa
dc.relation.citationendpage477
dc.relation.citationissue94
dc.relation.citationstartpage457
dc.relation.citationvolume44
dc.relation.isversionofhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-105004398015&doi=10.15446%2fcuad.econ.v44n94.105879&partnerID=40&md5=c66bb0166204d3c9bdcb43eea8d23542
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dc.rights.accesoRestricted access
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.sourceCuadernos de Economia (Colombia)
dc.sourceCuad. Econ.
dc.sourceScopus
dc.subjectInsurance
dc.subjectInterest rates
dc.subjectLife products
dc.subjectMathematical reserve
dc.subjectSmith Wilson Model
dc.titleEstimation of interest rate risk in the insurance sector: Application of the Smith-Wilson model
dc.titleEstimación del riesgo de tasa de interés en el sector asegurador: aplicación del modelo Smith-Wilson
dc.typeArticle
dc.type.localArtículospa
dc.type.versioninfo:eu-repo/semantics/publishedVersion

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