3 papers
math.PR2017
Integral equations, quasi-Monte Carlo methods and risk modelling
Michael Preischl, Stefan Thonhauser, Robert F. Tichy
We survey a QMC approach to integral equations and develop some new applications to risk modeling. In particular, a rigorous error bound derived from Koksma-Hlawka type inequalitie…
q-fin.MF2016
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…
math.OC2015
Distribution functions, extremal limits and optimal transport
Maria Rita Iacò, Stefan Thonhauser, Robert F. Tichy
Encouraged by the study of extremal limits for sums of the form with uniformly distributed sequences th…