4 papers
Neural calibration of hidden inhomogeneous Markov chains -- Information decompression in life insurance
Mark Kiermayer, Christian Weiß
Markov chains play a key role in a vast number of areas, including life insurance mathematics. Standard actuarial quantities as the premium value can be interpreted as compressed,…
Grouping of Contracts in Insurance using Neural Networks
Mark Kiermayer, Christian Weiß
Despite the high importance of grouping in practice, there exists little research on the respective topic. The present work presents a complete framework for grouping and a novel m…
An Aspect of Optimal Regression Design for LSMC
Christian Weiß, Zoran Nikolić
Practitioners sometimes suggest to use a combination of Sobol sequences and orthonormal polynomials when applying an LSMC algorithm for evaluation of option prices or in the contex…
The Influence of Seed Selection on the Solvency II Ratio
Quinn Culver, Dennis Heitmann, Christian Weiß
This article contains the first published example of a real economic balance sheet where the Solvency II ratio substantially depends on the seed selected for the random number gene…