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20092019
most citedOption Pricing in Multivariate Stochastic Volatility Models of OU Type

69 citations · 120 across the 9 of their papers we have counts for

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q-fin.RM2019

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…