The objective of this thesis is to provide a life insurance company with a stochastic model for the term structure of interest rates. The term structure of interest rates affects the structure of an optimal portfolio and the calculation of risk measures. Therefore, the term structure of interest rates for the DEM/Euro market is analyzed. On the basis of the theory of affine term structure model...

By mid 2004, the Basel Committee on Banking Supervision (BCBS) is expected to launch its final recommendations on minimum capital requirements in the banking industry. Although there is the intention to arrive at capital charges which concur with economic intuition, the risk weight formulas proposed by the committee will lack an adequate treatment of concentration risks in credit portfolios. Th...

We consider a savings plan, where the paid capital is guaranteed at time of retirement, in the German market available as Riester-Rente and supported by federal cash payments and tax benefits. We generalize several capital guarantee mechanisms to payment plans and compare their distribution: the return distribution of a classical insurance strategy with investments in the actuarial reserve fund...

In this paper, we apply the meshfree radial basis function (RBF) interpolation to numerically approximate zero-coupon bond prices and survival probabilities in order to price credit default swap (CDS) contracts. We assume that the interest rate follows a Cox-Ingersoll-Ross process while the default intensity is described by the Exponential-Vasicek model. Several numerical experiments are conduc...

Analysis of traffic flow signals plays an important role in prediction and management. As intrinsic property, the singular point a signal labels new nonsteady status. Therefore, detecting is effective approach to determine moment prediction. In this paper, improved wavelet transform proposed detect points real-time signals. The number detected output via heuristic selection multiple scales. The...