8 papers
How the interpolation of life tables affects the decomposition of life insurance surplus
Mintodê Nicodème Atchadé, Marcus C. Christiansen, Friedrich Hubalek +1
The surplus of a life insurance policy depends on both systematic changes in mortality risk and financial changes. We propose to decompose the surplus by the axiomatically justifie…
From characteristic functions to multivariate distribution functions and European option prices by the damped COS method
Gero Junike, Hauke Stier
We provide a unified framework to obtain numerically certain quantities, such as the distribution function, absolute moments and prices of financial options, from the characteristi…
Accuracy estimation of neural networks by extreme value theory
Gero Junike, Marco Oesting
Neural networks are able to approximate any continuous function on a compact set. However, it is not obvious how to quantify the error of the neural network, i.e., the remaining bi…
Batch normalization does not improve initialization
Joris Dannemann, Gero Junike
Batch normalization is one of the most important regularization techniques for neural networks, significantly improving training by centering the layers of the neural network. Ther…
Precise quantile function estimation from the characteristic function
Gero Junike
We provide theoretical error bounds for the accurate numerical computation of the quantile function given the characteristic function of a continuous random variable. We show theor…
Profit and loss decomposition in continuous time and approximations
Gero Junike, Hauke Stier, Marcus C. Christiansen
Financial institutions and insurance companies that analyze the evolution and sources of profits and losses often look at risk factors only at discrete reporting dates, ignoring th…