Purpose – The purpose of this research is to develop and test a mathematical method of deriving zero yield curve from market prices of government bonds. Design/methodology/approach – The method is based on a forward curve approximated by a linear (or piecewise constant) spline and should be...

Purpose – The purpose of this research is to develop and test a mathematical method of deriving zero yield curve from market prices of government bonds. Design/methodology/approach – The method is based on a forward curve approximated by a linear (or piecewise constant) spline and should be...

Recent developments in the insurance regulation emphasize risk management. The European regulators are going to implement the new capital requirements that are directly based on the risk taken by insurance companies. This framework is called Solvency II and it is expected to be implemented in...