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A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics

Kremsner, Stefan; Steinicke, Alexander; Szölgyenyi, … - In: Risks : open access journal 8 (2020) 4/136, pp. 1-18

In insurance mathematics, optimal control problems over an infinite time horizon arise when computing risk measures. An example of such a risk measure is the expected discounted future dividend payments. In models which take multiple economic factors into account, this problem is...

Persistent link: https://www.econbiz.de/10012391761

Evolution of multivariate copulas in continuous and discrete processes

Yoshizawa, Yasukazu; Ishimura, Naoyuki - In: Intelligent systems in accounting finance and … 25 (2018) 1, pp. 44-59

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Volatility risk structure for options depending on extrema

Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122

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A new nonlinear partial differential equation in finance and a method of its solution

Itkin, Andrey - In: The journal of computational finance 21 (2017/2018) 4, pp. 1-21

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Fractional Black-Scholes equation

Aghili, A. - In: International journal of financial engineering 4 (2017) 1, pp. 1-15

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A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus

Arai, Takuji; Imai, Yuto - In: Applied mathematical finance 25 (2018) 3/4, pp. 247-267

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Fair valuation of insurance liability cash-flow streams in continuous time : theory

Delong, Łukasz; Dhaene, Jan; Barigou, Karim - In: Insurance / Mathematics & economics 88 (2019), pp. 196-208

Persistent link: https://www.econbiz.de/10012105568

Fair valuation of insurance liability cash-flow streams in continuous time : applications

Delong, Łukasz; Dhaene, Jan; Barigou, Karim - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 299-333

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An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach

Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373

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Indifference fee rate for variable annuities

Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308

Persistent link: https://www.econbiz.de/10011704242