1 citations · 1 across the 4 of their papers we have counts for
Showing 2021Show all
2 papers · 1 filter
q-fin.PR2021★ 1 cited
Multiple-prior valuation of cash flows subject to capital requirements
Hampus Engsner, Filip Lindskog, Julie Thoegersen
We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal…
q-fin.CP2021
Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions
Hampus Engsner
In this paper we explore ways of numerically computing recursive dynamic monetary risk measures and utility functions. Computationally, this problem suffers from the curse of dimen…