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20152026
most citedExpressive Mortality Models through Gaussian Process Kernels

5 citations · 8 across the 7 of their papers we have counts for

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q-fin.RM2017★ 1 cited

Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement

Michael Ludkovski, James Risk

We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, th…