In this paper equilibrium short-rate models are compared against no-arbitrage models. This article is composed of the introduction to literature and a review, followed by numerical examples one-factor models; Cox-Ingersoll-Ross (CIR) model Vasicek model. No-arbitrage were presented through Hull-White (HW) model, Binomial lattice for bond pricing interest rate modelling, Black-Karasinski (BK) He...

This paper mainly discusses the pricing of credit default swap (CDS) in the fractional dimension environment. We assume that the default intensity of a firm depends on the default states of counterparty firms and the term structure of interest rates, but the contagious impact of the counterparty firm is decreasing over time, until disappears. The interest rate risk is reflected by the fractiona...

Determining reserve for life insurance contributions has factors that influence it, such as developed by participants and operational costs. Based on the financial services authority Number 71 of 2016, related to company's health, one which is sharia companies can make contributions. In this study, we discuss calculation contribution initial value return investment sensitive different calculati...

We provide a full classification of all attainable term structure shapes in the two-factor Vasicek model interest rates. In particular, we show that normal, inverse, humped, dipped and hump-dip are always attainable. certain parameter regimes, up to four additional can be produced. Our results apply both forward yield curves correlation difference mean-reversion speeds two factor processes play...

This Online Appendix describes additional empirical and theoretical results on foreign bond returns in U.S. dollars. Section A reports additional results on portfolios of countries sorted by the short-term interest rates. Section B reports similar results for portfolios of countries sorted by the slope of the yield curves. Section C reports additional results obtained with zero-coupon bonds. Se...

An accurate calculation of premium reserves will ensure that the insurance company can pay claims. Premium are funds collected by companies which difference between sum insured and value payments during period prepared for claim payments. There several methods calculating reserves, but focus this study Zillmer method Sufficiency method, extensions prospective method. This aims to compare two us...