9 citations · 11 across the 10 of their papers we have counts for
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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.GN2022★ 1 cited
Two-dimensional forward and backward transition rates
Theis Bathke, Marcus Christiansen
Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, rec…