High-dimensional parameter calibration of interest rate model for the Korean insurance capital standard

Seung Min Baik, Changhui Choi and Bong-Gyu Jang

Journal of Derivatives and Quantitative Studies: 선물연구, 2025, vol. 33, issue 1, 23-44

Abstract: Keywords: Calibration, Interest rate, Insurance capital standard, Bayesian optimization, Swaption, C02, G12

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jdqspp:jdqs-07-2024-0031

DOI: 10.1108/JDQS-07-2024-0031

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