170 citations · 224 across the 6 of their papers we have counts for
7 papers
Ruin Probabilities for a Sparre Andersen Model with Investments
Ernst Eberlain, Yuri Kabanov, Thorsten Schmidt
We study a Sparre Andersen model in which the business activity of the company is described by a compound renewal process with drift assuming that the capital reserves are invested…
Variable annuities in a Lévy-based hybrid model with surrender risk
Laura Ballotta, Ernst Eberlein, Thorsten Schmidt +1
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The s…
Multiple curve Lévy forward price model allowing for negative interest rates
Ernst Eberlein, Christoph Gerhart, Zorana Grbac
In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in pa…
Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes
Ernst Eberlein, Zorana Grbac, Thorsten Schmidt
The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous Lévy proce…
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon
This paper considers the valuation of exotic path-dependent options in Lévy models, in particular options on the supremum and the infimum of the asset price process. Using the Wien…
Analysis of Fourier transform valuation formulas and applications
Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon
The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option…