3 papers
stat.ME2026
Continuous-time modeling and bootstrap for Schnieper's reserving
Nicolas Baradel
We revisit Schnieper's model, which decomposes incurred but not reported (IBNR) reserves into two components: reserves for newly reported claims (true IBNR) and reserves for change…
math.OC2025
Optimal control under unknown intensity with Bayesian learning
Nicolas Baradel, Quentin Cormier
We investigate an optimal control problem motivated by neuroscience, where the dynamics is driven by a Poisson process with a controlled stochastic intensity and an unknown paramet…
q-fin.CP2025
Constrained deep learning for pricing and hedging european options in incomplete markets
Nicolas Baradel
In incomplete financial markets, pricing and hedging European options lack a unique no-arbitrage solution due to unhedgeable risks. This paper introduces a constrained deep learnin…