APCI paper published in the British Actuarial Journal

The APCI model underlies the CMI's calibration of a projection spreadsheet that is in widespread use throughout the UK life & pensions industry.  The CMI's spreadsheet is a deterministic targetting model, while our paper shows how it can be implemented as a fully stochastic model for Solvency II and other purposes.  Our draft paper was presented to the Insitute and Faculty of Actuaries in 2017 and it has just been published in the British Actuarial Journal, Volume 24.  A PDF of the final published paper can be downloaded here.

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