Tootfinder

Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims
Michael Schmutz, Eckhard Platen, Thorsten Schmidt
https://arxiv.org/abs/2506.19494

Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims
In this paper we study the pricing and hedging of nonreplicable contingent claims, such as long-term insurance contracts like variable annuities. Our approach is based on the benchmark-neutral pricing framework of Platen (2024), which differs from the classical benchmark approach by using the stock growth optimal portfolio as the numéraire. In typical settings, this choice leads to an equivalent martingale measure, the benchmark-neutral measure. The resulting prices can be significantly lower …

Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling
Hans Buehler, Blanka Horvath, Yannick Limmer, Thorsten Schmidt
https://arxiv.org/abs/2506.07299

Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling
This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating stochastic models from limited data. In practice, the unavailability of the true probability measure forces reliance on an empirical approximation, and even small misestimations can lead to significant deviations in decision quality. Building on the framework of Klibanoff et al. (2005), we enhance the conventional ob…