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math.PR2020
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…
q-fin.PR2020
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…