2 citations · 2 across the 1 of their papers we have counts for
3 papers
math.OC2020★ 2 cited
New Algorithms And Fast Implementations To Approximate Stochastic Processes
Kipngeno Benard Kirui, Georg Ch. Pflug, Alois Pichler
We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop f…
q-fin.RM2018
The distortion principle for insurance pricing: properties, identification and robustness
Daniela Escobar, Georg Pflug
Distortion (Denneberg 1990) is a well known premium calculation principle for insurance contracts. In this paper, we study sensitivity properties of distortion functionals w.r.t. t…
math.OC2018
Projected Stochastic Gradients for Convex Constrained Problems in Hilbert Spaces
Caroline Geiersbach, Georg Pflug
Convergence of a projected stochastic gradient algorithm is demonstrated for convex objective functionals with convex constraint sets in Hilbert spaces. In the convex case, the seq…