4 citations · 4 across the 5 of their papers we have counts for
7 papers
Algorithmic trading and stochastic integration
Aleksandar Arandjelovic, Uwe Schmock
We study simple predictable processes whose coefficients are represented by neural networks. On finite measure spaces, we establish density results for neural networks in Orlicz sp…
Geometry of Distribution-Constrained Optimal Stopping Problems
Mathias Beiglboeck, Manu Eder, Christiane Elgert +1
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the…
Crunching Mortality and Life Insurance Portfolios with extended CreditRisk+
Jonas Hirz, Uwe Schmock, Pavel V. Shevchenko
Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, for…
Forecasting Leading Death Causes in Australia using Extended CreditRisk
Pavel V. Shevchenko, Jonas Hirz, Uwe Schmock
Recently we developed a new framework in Hirz et al (2015) to model stochastic mortality using extended CreditRisk methodology which is very different from traditional time ser…
Itô's formula for finite variation Lévy processes: The case of non-smooth functions
Ramin Okhrati, Uwe Schmock
Extending Itô's formula to non-smooth functions is important both in theory and applications. One of the fairly general extensions of the formula, known as Meyer-Itô, applies to on…
Actuarial Applications and Estimation of Extended~CreditRisk
Jonas Hirz, Uwe Schmock, Pavel V. Shevchenko
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen f…
Non-monotone convergence in the quadratic Wasserstein distance
Walter Schachermayer, Uwe Schmock, Josef Teichmann
We give an easy counter-example to Problem 7.20 from C. Villani's book on mass transport: in general, the quadratic Wasserstein distance between -fold normalized convolutions of…