TY - JOUR A1 - Dierkes, Thomas A1 - Ortmann, Karl Michael T1 - On the efficient utilisation of duration JF - Insurance: Mathematics and Economics N2 - In this article we present a new approach to estimate the change of the present value of a given cashflow pattern caused by an interest rate shift. Our approximation is based on analysing the evolution of the present value function through a linear differential equation. The outcome is far more accurate than the standard approach achieved by a Taylor expansion. Furthermore, we derive an approximation formula of second order that produces nearly accurate results. In particular, we prove that our method is superior to any known alternative approximation formula based on duration. In order to demonstrate the power of this improved approximation we apply it to coupon bonds, level annuities, and level perpetuities. We finally generalise the approach to a non-flat term structure. As for applications in insurance, we estimate the change of the discounted value of future liabilities due to a proportional shift in the set of capital accumulation factors. These findings are of particular importance to capital adequacy calculations with respect to interest rate stress scenarios that are part of regulatory solvency requirements. Y1 - 2015 U6 - https://doi.org/10.1016/j.insmatheco.2014.11.002 VL - 60 SP - 29 EP - 37 ER - TY - GEN A1 - Dierkes, Thomas T1 - Construction of ODE systems from time series data by a highly flexible modelling approach N2 - In this paper, a down-to-earth approach to purely data-based modelling of unknown dynamical systems is presented. Starting from a classical, explicit ODE formulation y=f(t,y) of a dynamical system, a method determining the unknown right-hand side f(t,y) from some trajectory data y_k(t_j), possibly very sparse, is given. As illustrative examples, a semi-standard predator-prey model is reconstructed from a data set describing the population numbers of hares and lynxes over a period of twenty years [1], and a simple damped pendulum system with a highly non-linear right-hand side is recovered from some artificial but very sparse data [2]. T3 - ZIB-Report - 15-59 Y1 - 2015 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-56768 SN - 1438-0064 ER - TY - JOUR A1 - Dierkes, Thomas T1 - Construction of ODE systems from time series data by a highly flexible modelling approach JF - ArXiv e-prints N2 - In this paper, a down-to-earth approach to purely data-based modelling of unknown dynamical systems is presented. Starting from a classical, explicit ODE formulation y=f(t,y) of a dynamical system, a method determining the unknown right-hand side f(t,y) from some trajectory data y_k(t_j), possibly very sparse, is given. As illustrative examples, a semi-standard predator-prey model is reconstructed from a data set describing the population numbers of hares and lynxes over a period of twenty years, and a simple damped pendulum system with a highly non-linear right-hand side is recovered from some artificial but very sparse data. Y1 - 2015 VL - math.NA 1512.03357 ER - TY - GEN A1 - Ehrig, Rainald A1 - Dierkes, Thomas A1 - Schäfer, Stefan A1 - Röblitz, Susanna A1 - Tronci, Enrico A1 - Mancini, Toni A1 - Salvo, Ivano A1 - Alimguzhin, Vadim A1 - Mari, Federico A1 - Melatti, Igor A1 - Massini, Annalisa A1 - Krüger, Tillmann H. C. A1 - Egli, Marcel A1 - Ille, Fabian A1 - Leeners, Brigitte T1 - An Integrative Approach for Model Driven Computation of Treatments in Reproductive Medicine N2 - We present an overview of the current status of the European collaborative project PAEON. The challenge of PAEON is to provide specialists in reproduc- tive medicine with a computerised model of the menstrual cycle under normal and various pathological conditions, which will allow them to get further in- sight in fertility dynamics. This model also enables the simulation of treatment protocols, which were used within in vitro fertilization. By the definition of virtual patients through biologically admissible parametrizations our approach allows not only the evaluation of a given treatment strategy in silico, but also the design and optimization of such protocols. Once a protocol is formalized in the virtual hospital, the success can be controlled by a treatment execution monitor, which works then as a clinical decision support system. All these tools will be combined in a virtual hospital environment, enabling the access to the PAEON services through the web. T3 - ZIB-Report - 16-04 Y1 - 2016 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-57103 SN - 1438-0064 ER -