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20072026
most citedGeometry of Distribution-Constrained Optimal Stopping Problems

4 citations · 4 across the 5 of their papers we have counts for

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Showing 2016 · q-fin.RMShow all

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q-fin.RM2016

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…