Jörg Wenzel

Fraunhofer ITWM

Fraunhofer-Platz 1

Kaiserslautern, 67663

Germany

http://https://www.itwm.fraunhofer.de/de/abteilungen/fm.html

SCHOLARLY PAPERS

4

DOWNLOADS

214

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Severity Modeling of Extreme Insurance Claims for Tariffication

Number of pages: 33 Posted: 10 May 2018 Last Revised: 17 May 2019
Fraunhofer ITWM - Department Financial Mathematics, Johannes Kepler University Linz and Fraunhofer ITWM
Downloads 156 (229,446)
Citation 1

Abstract:

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extreme claims, generalized linear model, truncated gamma distribution, extreme value theory, peaks-over-threshold, generalized Pareto distribution

2.

On the Valuation of Discrete Asian Options in High Volatility Environments

Number of pages: 24 Posted: 13 Jan 2021 Last Revised: 06 May 2021
Sascha Desmettre and Jörg Wenzel
Johannes Kepler University Linz and Fraunhofer ITWM
Downloads 38 (517,331)

Abstract:

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Asset Price Convergence, High Volatility, CIR Process, Convergence Rates, Heston Model, Option Pricing, Asian Options, Monte-Carlo Valuation

3.

Combining multi-asset and intrinsic risk measures

Number of pages: 37 Posted: 06 May 2021
Christian Laudagé, Jörn Sass and Jörg Wenzel
Fraunhofer ITWM - Department Financial Mathematics, University of Kaiserslautern - Department of Mathematics and Fraunhofer ITWM
Downloads 20 (622,883)

Abstract:

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Intrinsic risk measure, multi-asset risk measure, multiple eligible assets, diversification, Value-at-Risk, Expected Shortfall, Solvency II

4.

A Unified Approach to Credit Default Swaption and Constant Maturity Credit Default Swap Valuation

ITWM Reports No. 96
Posted: 25 Oct 2006
Martin Krekel and Jörg Wenzel
UniCredit Bank AG and Fraunhofer ITWM

Abstract:

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LIBOR market model, credit risk, Credit Default Swaption, Constant Maturity Credit Default Swap