1 citations · 1 across the 4 of their papers we have counts for
6 papers · 1 filter
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…
Defaultable term structures driven by semimartingales
Sandrine Gümbel, Thorsten Schmidt
We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the ran…
Generalized statistical arbitrage concepts and related gain strategies
Christian Rein, Ludger Rüschendorf, Thorsten Schmidt
Generalized statistical arbitrage concepts are introduced corresponding to trading strategies which yield positive gains on average in a class of scenarios rather than almost surel…
Variable annuities in a Lévy-based hybrid model with surrender risk
Laura Ballotta, Ernst Eberlein, Thorsten Schmidt +1
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The s…
Term structure modeling for multiple curves with stochastic discontinuities
Claudio Fontana, Zorana Grbac, Sandrine Gümbel +1
We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as f…