This paper applies structure preserving doubling methods to solve the matrix quadratic underlying the recursive solution of linear DSGE models. We present and compare two Structure-Preserving Doubling Algorithms (SDAs) to other competing methods - the QZ method, a Newton algorithm, and an...

We propose how deep neural networks can be used to calibrate the parameters of Stochastic-Volatility Jump-Diffusion (SVJD) models to historical asset return time series. 1-Dimensional Convolutional Neural Networks (1D-CNN) are used for that purpose. The accuracy of the deep learning approach is...

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...

We consider two possible approaches to the problem of incorporating explicit general (i.e., economic) inflation in the non-life claims reserve estimates and the corresponding reserve SCR, defined - as in Solvency II - under the one-year view. What we call the actuarial approach provides a...