Dai and Singleton (2000) study a class of term structure models for interest rates that specify the instantaneous interest rate as an affine combination of the components of an N-dimensional affine diffusion process. Observable quantities of such models are invariant under regular affine...

Can the usage of a risky numeraire with a greater than risk free expected return reduce the capital requirements in a solvency test? I will show that this is not the case. In fact, under a reasonable technical condition, there exists no optimal numeraire which yields smaller capital requirements...

We extend the standard specification of the market price of risk for affine yield models of the term structure of interest rates, and estimate several models using the extended specification. For most models, the extended specification fits US data better than standard specifications, often with...

In this paper we elaborate on Swiss Solvency Test (SST) consistent group diversification effects via optimizing the web of capital and risk transfer (CRT) instruments between the legal entities. A group level SST principle states that subsidiaries can be sold by the parent company at their...

We present and compare two dierent approaches to conditional risk measures. One approach draws from convex analysis in vector spaces and presents risk measures as functions on Lp spaces, while the other approach utilizes module-based convex analysis where conditional risk measures are dened on...

This paper provides sufficient and necessary conditions for the existence of equilibrium pricing rules for monetary utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully fungible numeraire asset ("cash"). Each agent's...

We study dynamic monetary risk measures thatdepend on bounded discrete-time processesdescribing the evolution of financial values. The time horizoncan be finite or infinite. We call a dynamic risk measuretime-consistent if it assigns to a process of financialvalues the same risk irrespective of...