17 citations · 37 across the 22 of their papers we have counts for
34 papers
Arbitrage in Estimate Nothing: an example
Johannes Brutsche, Julian Sester, Thorsten Schmidt
We give a two-period counterexample to the absence of arbitrage for the posterior-weighted pricing rule in Estimate nothing by Duembgen and Rogers. Both physical models have strict…
Robust asymptotic insurance-finance arbitrage
Katharina Oberpriller, Moritz Ritter, Thorsten Schmidt
In most cases, insurance contracts are linked to the financial markets, such as through interest rates or equity-linked insurance products. To motivate an evaluation rule in these…
Estimating value at risk: LSTM vs. GARCH
Weronika Ormaniec, Marcin Pitera, Sajad Safarveisi +1
Estimating value-at-risk on time series data with possibly heteroscedastic dynamics is a highly challenging task. Typically, we face a small data problem in combination with a high…
Affine models with path-dependence under parameter uncertainty and their application in finance
Benedikt Geuchen, Katharina Oberpriller, Thorsten Schmidt
In this work we consider one-dimensional generalized affine processes under the paradigm of Knightian uncertainty (so-called non-linear generalized affine models). This extends and…
Term structure modelling with overnight rates beyond stochastic continuity
Claudio Fontana, Zorana Grbac, Thorsten Schmidt
Overnight rates, such as the SOFR (Secured Overnight Financing Rate) in the US, are central to the current reform of interest rate benchmarks. A striking feature of overnight rates…
Estimating and backtesting risk under heavy tails
Marcin Pitera, Thorsten Schmidt
While the estimation of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias. T…