The impact of the discrepancies in the yield curve on actuarial forecasting

Both academics and practitioners don't seem to pay too much attention to the databases of zero-coupon rates that they employ in their research and the implementation of models for valuation or risk measuring purposes. However, in this paper we show that significant differences may arise when using alternative popular and usually accepted interest rates databases. In particular, we show that these differences are relevant when calibrating well known interest rates models (Vasicek and Cox,Ingersoll and Ross) and also when valuing some insurance contracts such as temporary life annuities.