5 papers
Monte Carlo on a single sample
Nils Detering, Nicole Hufnagel, Paul Krühner
In this paper, we consider a Monte Carlo simulation method (MinMC) that approximates prices and risk measures for a range of model parameters at once. The simulation method tha…
Stochastic Volterra integral equations and a class of first order stochastic partial differential equations
Fred Espen Benth, Nils Detering, Paul Kruehner
We investigate stochastic Volterra equations and their limiting laws. The stochastic Volterra equations we consider are driven by a Hilbert space valued \Levy noise and integration…
Dynamic trading under integer constraints
Stefan Gerhold, Paul Krühner
In this paper we investigate discrete time trading under integer constraints, that is, we assume that the offered goods or shares are traded in integer quantities instead of the us…
The Impact of Negative Interest Rates on Optimal Capital Injections
Julia Eisenberg, Paul Krühner
In the present paper, we investigate the optimal capital injection behaviour of an insurance company if the interest rate is allowed to become negative. The surplus process of the…
A Note on the Optimal Dividends Paid in a Foreign Currency
Julia Eisenberg, Paul Krühner
We consider an insurance entity endowed with an initial capital and a surplus process modelled as a Brownian motion with drift. It is assumed that the company seeks to maximise the…