5 citations · 10 across the 4 of their papers we have counts for
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q-fin.RM2023★ 1 cited
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…
q-fin.RM2018★ 5 cited
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…