17 citations · 37 across the 22 of their papers we have counts for
4 papers · 1 filter
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…
Infinite dimensional affine processes
Thorsten Schmidt, Stefan Tappe, Weijun Yu
The goal of this article is to investigate infinite dimensional affine diffusion processes on the canonical state space. This includes a derivation of the corresponding system of R…
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…
Fair Estimation of Capital Risk Allocation
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera +1
In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but trac…