11 citations · 13 across the 5 of their papers we have counts for
5 papers
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…
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…
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…
Incorporating statistical model error into the calculation of acceptability prices of contingent claims
Martin Glanzer, Georg Ch. Pflug, Alois Pichler
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and…
An algorithm for calculating steady state probabilities of queueing systems
Stefan Hochrainer, Ronald Hochreiter, Georg Pflug
This paper presents a method for calculating steady state probabilities of queueing systems. The infinitesimal generator matrix is used to define all possible states in…