10 citations · 10 across the 4 of their papers we have counts for
8 papers
Unifying the theory of storage and the risk premium by an unobservable intrinsic electricity price
Wieger Hinderks, Ralf Korn, Andreas Wagner
In this paper we introduce a new concept for modelling electricity prices through the introduction of an unobservable intrinsic electricity price . We use it to connect the c…
A lower bound for the ELBO of the Bernoulli Variational Autoencoder
Robert Sicks, Ralf Korn, Stefanie Schwaar
We consider a variational autoencoder (VAE) for binary data. Our main innovations are an interpretable lower bound for its training objective, a modified initialization and archite…
Transforming public pensions: A mixed scheme with a credit granted by the state
M. Carmen Boado-Penas, Julia Eisenberg, Ralf Korn
Birth rates have dramatically decreased and, with continuous improvements in life expectancy, pension expenditure is on an irreversibly increasing path. This will raise serious con…
Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies
Anne-Sophie Krah, Zoran Nikolić, Ralf Korn
Under the Solvency II regime, life insurance companies are asked to derive their solvency capital requirements from the full loss distributions over the coming year. Since the indu…
Copula & Marginal Flows: Disentangling the Marginal from its Joint
Magnus Wiese, Robert Knobloch, Ralf Korn
Deep generative networks such as GANs and normalizing flows flourish in the context of high-dimensional tasks such as image generation. However, so far exact modeling or extrapolat…
Quant GANs: Deep Generation of Financial Time Series
Magnus Wiese, Robert Knobloch, Ralf Korn +1
Modeling financial time series by stochastic processes is a challenging task and a central area of research in financial mathematics. As an alternative, we introduce Quant GANs, a…