3 papers
q-fin.RM2026
Approximation of stochastic insurer balance-sheet results using signatures of economic scenarios
Hervé Andrès, Alexandre Boumezoued, Arthur Bourdon +1
In the insurance industry, Asset and Liability Management (ALM) models are key tools for numerous applications, including Solvency Capital Requirement (SCR) computation and asset a…
math.PR2026
Linear independence properties of the signature components of time-augmented stochastic processes
Arthur Bourdon, Benjamin Jourdain, Hervé Andrès
Adding the time as a component of a stochastic process before computing its signature terminal value ensures injectivity and supports universal approximation results, but it induce…
q-fin.CP2024
Existence, uniqueness and positivity of solutions to the Guyon-Lekeufack path-dependent volatility model with general kernels
Hervé Andrès, Benjamin Jourdain
We show the existence and uniqueness of a continuous solution to a path-dependent volatility model introduced by Guyon and Lekeufack (2023) to model the price of an equity index an…