3 papers
math.NA2021
Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics
Rüdiger Frey, Verena Köck
In recent years a large literature on deep learning based methods for the numerical solution partial differential equations has emerged; results for integro-differential equations…
q-fin.PR2020
How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models
Rüdiger Frey, Kevin Kurt, Camilla Damian
Several proposals for the reform of the euro area advocate the creation of a market in synthetic securities backed by portfolios of sovereign bonds. Most debated are the so-called…
q-fin.RM2019
Value adjustments and dynamic hedging of reinsurance counterparty risk
Claudia Ceci, Katia Colaneri, Rdiger Frey +1
Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations towards the cedi…