36 citations · 126 across the 37 of their papers we have counts for
3 papers · 1 filter
A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula
Aurélien Alfonsi, Adel Cherchali, Jose Arturo Infante Acevedo
The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to a…
A generic construction for high order approximation schemes of semigroups using random grids
Aurélien Alfonsi, Vlad Bally
Our aim is to construct high order approximation schemes for general semigroups of linear operators . In order to do it, we fix a time horizon and the discretiz…
Approximation of Optimal Transport problems with marginal moments constraints
Aurélien Alfonsi, Rafaël Coyaud, Virginie Ehrlacher +1
Optimal Transport (OT) problems arise in a wide range of applications, from physics to economics. Getting numerical approximate solution of these problems is a challenging issue of…