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q-fin.MF2022★ 1 cited
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…
q-fin.RM2022
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…