69 citations · 120 across the 9 of their papers we have counts for
9 papers
Quantifying Life Insurance Risk using Least-Squares Monte Carlo
Claus Baumgart, Johannes Krebs, Robert Lempertseder +1
This article presents a stochastic framework to quantify the biometric risk of an insurance portfolio in solvency regimes such as Solvency II or the Swiss Solvency Test (SST). The…
On the spectral norm of large heavy-tailed random matrices with strongly dependent rows and columns
Oliver Pfaffel
We study a new random matrix ensemble which is constructed by an application of a two dimensional linear filter to a matrix of iid random variables with infinite fourth moments…
Eigenvalues of sample covariance matrices of non-linear processes with infinite variance
Richard A. Davis, Oliver Pfaffel
We study the -largest eigenvalues of heavy-tailed sample covariance matrices of the form $\bX\bX^\T$ in an asymptotic framework, where the dimension of the data and the sample s…
Limiting spectral distribution of a new random matrix model with dependence across rows and columns
Oliver Pfaffel, Eckhard Schlemm
We introduce a random matrix model where the entries are dependent across both rows and columns. More precisely, we investigate matrices of the form $\X=(X_{(i-1)n+t})_{it}\in\R^{p…
Eigenvalue distribution of large sample covariance matrices of linear processes
Oliver Pfaffel, Eckhard Schlemm
We derive the distribution of the eigenvalues of a large sample covariance matrix when the data is dependent in time. More precisely, the dependence for each variable i…
Wishart Processes
Oliver Pfaffel
Based on a student research project this article gives a short review on Wishart processes. A Wishart procces is a matrix valued continuous time stochastic process with a marginal…