Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: The Gauss2++ Model -- A Comparison of Different Measure Change
  Specifications for a Consistent Risk Neutral and Real World Calibration   Especially in the insurance industry interest rate models play a crucial role
e.g. to calculate the insurance company's liabilities, performance scenarios or
risk measures. A prominant candidate is the 2-Additive-Factor Gaussian Model
(Gauss2++) - in a different representation also known as the 2-Factor
Hull-White model. In this paper, we propose a framework to estimate the model
such that it can be applied under the risk neutral and the real world measure
in a consistent manner. We first show that any progressive and
square-integrable function can be used to specify the change of measure without
loosing the analytic tractability of e.g. zero-coupon bond prices in both
worlds. We further propose two time dependent candidates, which are easy to
calibrate: a step and a linear function. They represent two variants of our
framework and distinguish between a short and a long term risk premium, which
allows to regularize the interest rates in the long horizon. We apply both
variants to historical data and show that they indeed produce realistic and
much more stable long term interest rate forecast than the usage of a constant
function. This stability over time would translate to performance scenarios of
e.g. interest rate sensitive fonds and risk measures.

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The categories of this paper are: cs
8
The categories of this paper are: hep-ex
31
The categories of this paper are: ao-sci
23
The categories of this paper are: solv-int
5
The categories of this paper are: gr-qc
18
The categories of this paper are: econ
0
The categories of this paper are: hep-ph
14
The categories of this paper are: math-ph
9
The categories of this paper are: nlin
12
The categories of this paper are: nucl-th
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The categories of this paper are: chao-dyn
29
The categories of this paper are: funct-an
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The categories of this paper are: comp-gas
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The categories of this paper are: supr-con
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The categories of this paper are: patt-sol
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The categories of this paper are: hep-lat