4 papers
Estimation of Lévy-driven CARMA models under renewal sampling
Frank Bosserhoff, Giacomo Francisci, Robert Stelzer
Continuous-time autoregressive and moving average (CARMA) models are extensively used to model high-frequency and irregularly sampled data. We study Whittle estimation for the mode…
On the Investment Strategies in Occupational Pension Plans
Frank Bosserhoff, An Chen, Nils Sorensen +1
Demographic changes increase the necessity to base the pension system more and more on the second and the third pillar, namely the occupational and private pension plans; this pape…
Robustness of Delta Hedging in a Jump-Diffusion Model
Frank Bosserhoff, Mitja Stadje
Suppose an investor aims at Delta hedging a European contingent claim in a jump-diffusion model, but incorrectly specifies the stock price's volatility and jump sensitivi…
Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model
Frank Bosserhoff, Mitja Stadje
We consider a time-consistent mean-variance portfolio selection problem of an insurer and allow for the incorporation of basis (mortality) risk. The optimal solution is identified…