This article studies four transform pricing methods in the context of general equilbrium (GE) framework. The four methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular among actuarial literature and practice. The transform...

In this paper, we compare two one-factor short rate models: the Hull White model and the Black-Karasinski model. Despite their inherent shortcomings the short rate models are being used quite extensively by the practitioners for risk-management purposes. The research, as part of students'...

In the context of Merton [1974] and Vasicek [1987, 2002] Gaussian single-factor credit risk models, the authors examine the impact of neglected non-normality of the underlying asset return process on the shape of the derived credit loss distribution and the resulting Basel capital requirements....

The purpose of this paper is to apply a belief rule-based (BRB) system to solve the multi-asset class portfolio optimisation problems. The BRB system, was developed on the basis of the concept of belief structures and the evidential reasoning (ER) approach, is a generic non-linear modelling and...

Wegeneralize existing structural credit riskmodels that account for contagion effects across economic sectors, to capture the impact of neglected skewness and excess kurtosis in the asset return process, on the shape of the credit loss distribution. We specify Skew-Normal and Skew-Student t...

This paper implements a simple and transparent procedure for setting loan-to-value (LTV) ratio based on the market risk of the underlying collateralized portfolio. The loan hair cut (i.e. 1-LTV) is closely related to value-at-risk (VaR) which is very sensitive to model assumptions and...