67 citations · 296 across the 28 of their papers we have counts for
4 papers · 1 filter
Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient
Gunther Leobacher, Michaela Szölgyenyi
We prove strong convergence of order for arbitrarily small of the Euler-Maruyama method for multidimensional stochastic differential equations (SDEs) with discontinuo…
On the optimal order of integration in Hermite spaces with finite smoothness
Josef Dick, Christian Irrgeher, Gunther Leobacher +1
We study the numerical approximation of integrals over with respect to the standard Gaussian measure for integrands which lie in certain Hermite spaces of functions.…
Utility Indifference Pricing of Insurance Catastrophe Derivatives
Andreas Eichler, Gunther Leobacher, Michaela Szölgyenyi
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary…
Bayesian Dividend Optimization and Finite Time Ruin Probabilities
Gunther Leobacher, Michaela Szölgyenyi, Stefan Thonhauser
We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm valu…