267 citations · 286 across the 12 of their papers we have counts for
5 papers · 1 filter
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…
Optimal inflow control penalizing undersupply in transport systems with uncertain demands
Simone Göttlich, Ralf Korn, Kerstin Lux
We are concerned with optimal control strategies subject to uncertain demands. An Ornstein-Uhlenbeck process describes the uncertain demand. The transport within the supply system…