5 citations · 10 across the 4 of their papers we have counts for
6 papers
On the asymptotic shape of quantile surfaces
Florian Gach, Simon Hochgerner
This article is concerned with the asymptotic shape of quantile surfaces, defined as the set of quantiles at a given level generated by a controlled one-dimensional distributio…
Mean-field Libor market model and valuation of long term guarantees
Florian Gach, Simon Hochgerner, Eva Kienbacher +1
Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability…
Estimation of future discretionary benefits in traditional life insurance
Florian Gach, Simon Hochgerner
In the context of life insurance with profit participation, the future discretionary benefits (), which are a central item for Solvency~II reporting, are generally calculated…
Analytical Validation Formulas for Best Estimate Calculation in Traditional Life Insurance
Simon Hochgerner, Florian Gach
Within the context of traditional life insurance, a model-independent relationship about how the market value of assets is attributed to the best estimate, the value of in-force bu…
Spatially Adaptive Density Estimation by Localised Haar Projections
Florian Gach, Richard Nickl, Vladimir Spokoiny
Given a random sample from some unknown density we devise Haar wavelet estimators for with variable resolution levels constructed from locali…
Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators
Florian Gach, Benedikt M. Pötscher
Indirect inference estimators (i.e., simulation-based minimum distance estimators) in a parametric model that are based on auxiliary non-parametric maximum likelihood density estim…