5 citations · 14 across the 9 of their papers we have counts for
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stat.ML2022★ 4 cited
Detection of Interacting Variables for Generalized Linear Models via Neural Networks
Yevhen Havrylenko, Julia Heger
The quality of generalized linear models (GLMs), frequently used by insurance companies, depends on the choice of interacting variables. The search for interactions is time-consumi…
q-fin.PM2022
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
Marcos Escobar-Anel, Yevhen Havrylenko, Rudi Zagst
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To…
q-fin.RM2022★ 5 cited
Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
Yevhen Havrylenko, Maria Hinken, Rudi Zagst
We study the optimal investment-reinsurance problem in the context of equity-linked insurance products. Such products often have a capital guarantee, which can motivate insurers to…