17 citations · 37 across the 22 of their papers we have counts for
5 papers · 1 filter
Ruin Probabilities for a Sparre Andersen Model with Investments
Ernst Eberlain, Yuri Kabanov, Thorsten Schmidt
We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested…
Deep dynamic modeling with just two time points: Can we still allow for individual trajectories?
Maren Hackenberg, Philipp Harms, Michelle Pfaffenlehner +4
Longitudinal biomedical data are often characterized by a sparse time grid and individual-specific development patterns. Specifically, in epidemiological cohort studies and clinica…
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.…
Insurance-Finance Arbitrage
Philippe Artzner, Karl-Theodor Eisele, Thorsten Schmidt
Most insurance contracts are inherently linked to financial markets, be it via interest rates, or -- as hybrid products like equity-linked life insurance and variable annuities --…
Machine learning for multiple yield curve markets: fast calibration in the Gaussian affine framework
Sandrine Gümbel, Thorsten Schmidt
Calibration is a highly challenging task, in particular in multiple yield curve markets. This paper is a first attempt to study the chances and challenges of the application of mac…