4 papers
A weak transport approach to the Schrödinger-Bass bridge
Manuel Hasenbichler, Gudmund Pammer, Stefan Thonhauser
We study the Schrödinger-Bass problem, a one-parameter family of semimartingale optimal transport problems indexed by , whose limiting regimes interpolate between the classica…
To report or not to report: Optimal claim reporting in a bonus-malus system
Lea Enzi, Stefan Thonhauser
We study an optimal claim reporting problem in a bonus-malus setting. We assume, that the insurance contract consists of two regimes, where reporting a claim leads to a transition…
Optimal reinsurance in a competitive market
Lea Enzi, Stefan Thonhauser
We study a stochastic differential game in a ruin theoretic environment. In our setting two insurers compete for market share, which is represented by a joint performance functiona…
The Mean Field Market Model Revisited
Manuel Hasenbichler, Wolfgang Müller, Stefan Thonhauser
In this paper, we present an alternative perspective on the mean-field LIBOR market model introduced by Desmettre et al. in arXiv:2109.10779. Our novel approach embeds the mean-fie…