30 citations · 44 across the 8 of their papers we have counts for
9 papers
Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims
Michael Schmutz, Eckhard Platen, Thorsten Schmidt
In this paper we study the pricing and hedging of nonreplicable contingent claims, such as long-term insurance contracts like variable annuities. Our approach is based on the bench…
Intragroup transfers, intragroup diversification and their risk assessment
Andreas Haier, Ilya Molchanov, Michael Schmutz
When assessing group solvency, an important question is to what extent intragroup transfers may be considered, as this determines to which extent diversification can be achieved. W…
Invariance properties of random vectors and stochastic processes based on the zonoid concept
Ilya Molchanov, Michael Schmutz, Kaspar Stucki
Two integrable random vectors and in are said to be zonoid equivalent if, for each , the scalar products and $\lan…
Self-dual continuous processes
Thorsten Rheinländer, Michael Schmutz
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes which is, for continuous semimartingales, related t…
Quasi self-dual exponential Lévy processes
Thorsten Rheinländer, Michael Schmutz
The important application of semi-static hedging in financial markets naturally leads to the notion of quasi self-dual processes. The focus of our study is to give new characteriza…
Static replications with traffic light options
Michael Schmutz, Thomas Zürcher
It is well known that any sufficiently regular one-dimensional payoff function has an explicit static hedge by bonds, forward contracts and lots of vanilla options. We show that th…