2 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.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…