4 citations · 4 across the 5 of their papers we have counts for
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math.PR2016★ 4 cited
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…
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…