We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions...

The cost of operational risk refers to the capital needed to afford the loss generated by ordinary activities of a firm. In this work we demonstrate how allocation principles can be used to the subdivision of the aggregate capital so that the firm can distribute this cost across its various...

Property and casualty actuaries are professional experts in the economic assessment of uncertain events related to non–life insurance products (eg fire, liability or motor insurance). For the construction of a fair and reasonable tariff associated with the risks in their portfolio, actuaries...