1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.MF2022★ 1 cited
Robust asymptotic insurance-finance arbitrage
Katharina Oberpriller, Moritz Ritter, Thorsten Schmidt
In most cases, insurance contracts are linked to the financial markets, such as through interest rates or equity-linked insurance products. To motivate an evaluation rule in these…
q-fin.MF2022
Affine models with path-dependence under parameter uncertainty and their application in finance
Benedikt Geuchen, Katharina Oberpriller, Thorsten Schmidt
In this work we consider one-dimensional generalized affine processes under the paradigm of Knightian uncertainty (so-called non-linear generalized affine models). This extends and…