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Moment matching machine learning methods for risk management of large variable annuity portfolios
Xu, Wei; Chen, Yuehuan; Coleman, Conrad; Coleman, Thomas F. - In: Journal of economic dynamics & control 87 (2018), pp. 1-20
Persistent link: https://www.econbiz.de/10011973875
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Analysis of the SRISK measure and its application to the Canadian banking and insurance industries
Coleman, Thomas F.; LaPlante, Alex; Rubtsov, Alexey - In: Annals of finance 14 (2018) 4, pp. 547-570
Persistent link: https://www.econbiz.de/10012268325
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Correction to analysis of the SRISK measure and its application to the Canadian banking and insurance industries
Coleman, Thomas F.; LaPlante, Alex; Rubtsov, Alexey - In: Annals of finance 14 (2018) 4, pp. 571-572
Persistent link: https://www.econbiz.de/10012268339
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Optimal pricing of climate risk
Coleman, Thomas F.; Dumont, Nicole S.; Li, Wanqi; Liu, … - In: Computational economics 60 (2022) 3, pp. 1101-1134
Persistent link: https://www.econbiz.de/10013380876
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The efficient application of automatic differentiation for computing gradients in financial applications
Xu, Wei; Chen, Xi; Coleman, Thomas F. - In: The journal of computational finance 19 (2016) 3, pp. 71-96
Persistent link: https://www.econbiz.de/10011563485