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The new normal: Using the right volatility quote in times of low interest rates for Solvency II risk factor modelling15 September 2015 - By Daniel Hohmann and Florian Ketterer and Karl Murray and Mario Hoerig and Russell Ward - Article

This paper analyses and explains the challenges facing the Black model in the current interest rate environment and introduces an alternative model to address them.

Replicating portfolios revisited08 October 2014 - By Alexander Tazov and Alexey Botvinnik and Florian Ketterer and and Mario Hoerig - Article

An examination of two different methods that allow for a robust and reliable calibration of replicating portfolios.

Using leakage as a control variate09 December 2013 - By Andreas Meister and Marcel Ambrus and Mario Hoerig and Tigran Kalberer and Urs Burri - Article

A new control variate approach that works within existing simulation frameworks to reduce the variance in valuations of insurance liabilities.

An application of Monte Carlo proxy techniques to variable annuity business: A case study06 November 2013 - By Eamonn Phelan and Karl Murray and Mario Hoerig and Michael Leitschkis - Article

This proxy modeling technique is well suited for variable annuity business.

Least Squares Monte Carlo for fast and robust capital projections05 February 2013 - By Christian Bettels and Florian Ketterer and Mario Hoerig and - Article
Least Squares Monte Carlo approach offers advantages for Solvency II coverage ratio projections.Solvency II proxy modelling via Least Squares Monte Carlo10 January 2012 - By and Mario Hoerig - Article
The LSMC method requires much less manual intervention than some alternatives and can give valuable economic insights about the interplay of different risk drivers.
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