9 citations · 11 across the 10 of their papers we have counts for
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q-fin.MF2023
Axiomatic characterization of pointwise Shapley decompositions
Marcus C Christiansen
A common problem in various applications is the additive decomposition of the output of a function with respect to its input variables. Functions with binary arguments can be axiom…
q-fin.MF2022
Profit and loss decomposition in continuous time and approximations
Gero Junike, Hauke Stier, Marcus C. Christiansen
Financial institutions and insurance companies that analyze the evolution and sources of profits and losses often look at risk factors only at discrete reporting dates, ignoring th…
q-fin.MF2019★ 9 cited
Nonlinear reserving and multiple contract modifications in life insurance
Marcus C. Christiansen, Boualem Djehiche
Life insurance cash flows become reserve dependent when contract conditions are modified during the contract term on condition that actuarial equivalence is maintained. As a result…