{"id":4062,"date":"2021-03-01T11:45:20","date_gmt":"2021-03-01T11:45:20","guid":{"rendered":"https:\/\/detralytics.com\/?p=4062"},"modified":"2026-08-21T13:31:30","modified_gmt":"2026-08-21T13:31:30","slug":"a-heath-jarrow-morton-model-compliant-with-solvency-ii-promises-and-pitfalls","status":"publish","type":"post","link":"https:\/\/detralytics.com\/fr\/publication\/a-heath-jarrow-morton-model-compliant-with-solvency-ii-promises-and-pitfalls\/","title":{"rendered":"A Heath-Jarrow-Morton model compliant with Solvency II? Promises and pitfalls"},"content":{"rendered":"
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A health-jarrow-morton model compliant with solvency iI? promises and pitfalls<\/h1>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t
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DetraNote 2021-1<\/h3>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t
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Introduction<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t
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In this working paper, we adapt the Heath-Jarrow Morton (HJM) framework by considering a constraint of convergence of future forward rates toward a constant exogeneous rate set e.g. by a regulator. This limit rate, called \u201cultimate forward risk\u201d or UFR, was introduced by the EIOPA in 2015 to extrapolate the initial yield curve for maturities beyond the last liquid point. We show that adding a constraint of convergence in the HJM model impacts not only the term structure of interest rates but also the future variance of zero-coupon bonds.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t

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Secteur : <\/b>Assurance<\/p>\n

Auteurs :<\/b> Simon Boigelot &<\/span>
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Donatien Hainaut<\/p>\n

\u00c9diteur :<\/b> Detralytics<\/p>\n

Date:<\/b> March 2021<\/p>\n

Langue :<\/b> Anglais<\/p>\n

Pages:<\/b> 25<\/p>\n

R\u00e9f\u00e9rence :<\/b> Detra Note 2021-1<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t

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\u00c0 propos des auteurs<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t
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Simon Boigelot<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t
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Simon is a TCP Actuarial Consultant and Sales Lead at Detralytics. Prior to joining the company, Simon worked at Belfius Bank as a Senior Quantitative Risk Analyst. His tasks ranged from pricing of financial products to Risk Management. Before that, Simon did two internships, at WTW and Deloitte.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t

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\n\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t\"Donatien\t\t\t\t\t\t\t\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t
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Donatien Hainaut<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t
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Donatien Hainaut est Conseiller Scientifique chez Detralytics et Professeur \u00e0 l\u2019UCLouvain (Belgique), o\u00f9 il dirige le Master en Data Science \u00e0 orientation statistique. Auparavant, il a occup\u00e9 plusieurs postes acad\u00e9miques, notamment en tant que Professeur Associ\u00e9 \u00e0 la Rennes School of Business et \u00e0 l\u2019ENSAE \u00e0 Paris. Il poss\u00e8de \u00e9galement une solide exp\u00e9rience en entreprise, ayant travaill\u00e9 comme Risk Officer, Quantitative Analyst et ALM Officer.<\/p>\n

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Actuaire qualifi\u00e9 et titulaire d\u2019un doctorat en Asset and Liability Management, ses recherches actuelles portent sur les m\u00e9canismes de contagion dans les processus stochastiques ainsi que sur les applications des r\u00e9seaux de neurones en assurance.<\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t

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We adapt the Heath-Jarrow Morton (HJM) framework by considering a constraint of convergence of future forward rates toward a constant exogeneous rate set e.g. by a regulator.<\/p>","protected":false},"author":1,"featured_media":2167,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[133],"tags":[],"class_list":["post-4062","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-publication"],"yoast_head":"\nDetra Note : A Heath-Jarrow-Morton model compliant with Solvency II?<\/title>\n<meta name=\"description\" content=\"In this working paper, we adapt the Heath-Jarrow Morton (HJM) framework by considering a constraint of convergence of future forward rates toward a constant exogeneous rate set e.g. by a regulator.\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/detralytics.com\/fr\/publication\/a-heath-jarrow-morton-model-compliant-with-solvency-ii-promises-and-pitfalls\/\" \/>\n<meta property=\"og:locale\" content=\"fr_FR\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Detra Note : A Heath-Jarrow-Morton model compliant with Solvency II?\" \/>\n<meta property=\"og:description\" content=\"In this working paper, we adapt the Heath-Jarrow Morton (HJM) framework by considering a constraint of convergence of future forward rates toward a constant exogeneous rate set e.g. by a regulator.\" \/>\n<meta property=\"og:url\" content=\"https:\/\/detralytics.com\/fr\/publication\/a-heath-jarrow-morton-model-compliant-with-solvency-ii-promises-and-pitfalls\/\" \/>\n<meta property=\"og:site_name\" content=\"detralytics.com\" \/>\n<meta property=\"article:published_time\" content=\"2021-03-01T11:45:20+00:00\" \/>\n<meta property=\"article:modified_time\" content=\"2026-08-21T13:31:30+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/detralytics.com\/wp-content\/uploads\/2021\/03\/DETRAnote_simon.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"794\" \/>\n\t<meta property=\"og:image:height\" content=\"1123\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"author\" content=\"Detralytics\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"\u00c9crit par\" \/>\n\t<meta name=\"twitter:data1\" content=\"Detralytics\" \/>\n\t<meta name=\"twitter:label2\" content=\"Dur\u00e9e de lecture estim\u00e9e\" \/>\n\t<meta name=\"twitter:data2\" content=\"2 minutes\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\\\/\\\/detralytics.com\\\/publication\\\/a-heath-jarrow-morton-model-compliant-with-solvency-ii-promises-and-pitfalls\\\/#article\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/detralytics.com\\\/publication\\\/a-heath-jarrow-morton-model-compliant-with-solvency-ii-promises-and-pitfalls\\\/\"},\"author\":{\"name\":\"Detralytics\",\"@id\":\"https:\\\/\\\/detralytics.com\\\/#\\\/schema\\\/person\\\/afceedbd1f9efae3aff3db243bb1890d\"},\"headline\":\"A Heath-Jarrow-Morton model compliant with Solvency II? 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