16 citations · 69 across the 19 of their papers we have counts for
20 papers
On the asymptotic shape of quantile surfaces
Florian Gach, Simon Hochgerner
This article is concerned with the asymptotic shape of quantile surfaces, defined as the set of quantiles at a given level generated by a controlled one-dimensional distributio…
On the market-consistent valuation of health insurance liabilities
Simon Hochgerner, Jonas Ingmanns, Nicole Kastanek
We are concerned with the market-consistent valuation of lifelong health insurance products, which are subject to adjustments derived from the actuarial equivalence principle and d…
Mean-field Libor market model and valuation of long term guarantees
Florian Gach, Simon Hochgerner, Eva Kienbacher +1
Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability…
Nonlinear feedback, double bracket dissipation and port control of Lie-Poisson systems
Simon Hochgerner
Methods from controlled Lagrangians, double bracket dissipation and interconnection and damping assignment -- passivity based control (IDA-PBC) are used to construct nonlinear feed…
A mean-field extension of the LIBOR market model
Sascha Desmettre, Simon Hochgerner, Sanela Omerovic +1
We introduce a mean-field extension of the LIBOR market model (LMM) which preserves the basic features of the original model. Among others, these features are the martingale proper…
Estimation of future discretionary benefits in traditional life insurance
Florian Gach, Simon Hochgerner
In the context of life insurance with profit participation, the future discretionary benefits (), which are a central item for Solvency~II reporting, are generally calculated…