3 citations · 4 across the 2 of their papers we have counts for
4 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…