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In this article we present a new approach to estimate the change of the present value of a given cashflow pattern caused by an interest rate shift. Our approximation is based on analysing the evolution of the present value function through a linear differential equation. The outcome is far more accurate than the standard approach achieved by a Taylor expansion. Furthermore, we derive an approximation formula of second order that produces nearly accurate results. In particular, we prove that our method is superior to any known alternative approximation formula based on duration. In order to demonstrate the power of this improved approximation we apply it to coupon bonds, level annuities, and level perpetuities. We finally generalise the approach to a non-flat term structure. As for applications in insurance, we estimate the change of the discounted value of future liabilities due to a proportional shift in the set of capital accumulation factors. These findings are of particular importance to capital adequacy calculations with respect to interest rate stress scenarios that are part of regulatory solvency requirements.
Questionnaire for effective exchange of bibliographic metadata – current status of publishing houses
(2016)
The project DeepGreen aims to realise better usage of green open access publication rights with regard to Alliance Licenses in Germany (https://www.nationallizenzen.de/open-access). Together with publishers who offer Alliance Licenses and authorized libraries, the project group intends to develop a prototype of a nearly fully automated workflow that covers the delivery of data from the publishers, including the article full texts, as well as the process of loading data into the institutional repositories of licensees. Further information about the project can be found within ZIB-Report 15-58, urn:nbn:de:0297-zib-56799.
In order to become acquainted with publishers’ processes for exchanging documents and metadata, the project group developed a questionnaire for an online survey. The publishing of this questionnaire is intended to demonstrate relevant aspects of the issue (e. g. methods of data exchange, protocols and interfaces) and to foster reuse of valuable questionnaire elements. The XML-file can be reused as a template, the PDF-file reproduces the original survey layout.