11 citations · 13 across the 5 of their papers we have counts for
Showing 2018Show all
2 papers · 1 filter
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…