3 papers
q-fin.RM2026
Approximation of stochastic insurer balance-sheet results using signatures of economic scenarios
Hervé Andrès, Alexandre Boumezoued, Arthur Bourdon +1
In the insurance industry, Asset and Liability Management (ALM) models are key tools for numerous applications, including Solvency Capital Requirement (SCR) computation and asset a…
math.PR2026
Moments in Rough Bergomi and Boundary Attainment in Rough Heston
Arthur Bourdon, Thibault Jeannin
We study two probabilistic questions for stochastic Volterra equations arising in rough volatility. These equations underlie some of the most popular non-Markovian stochastic volat…
math.PR2026
Linear independence properties of the signature components of time-augmented stochastic processes
Arthur Bourdon, Benjamin Jourdain, Hervé Andrès
Adding the time as a component of a stochastic process before computing its signature terminal value ensures injectivity and supports universal approximation results, but it induce…