Fahrenwaldt, Matthias – House of Insurance – Leibniz Universität Hannover

Expected utility approximation and portfolio optimisation
(with C. Sun)
To appear in: Insurance: Mathematics and Economics
Nonrecursive Separation of Risk and Time Preferences
(with N. R. Jensen and M. Steffensen)
Revised version submitted to Journal of Mathematical Economics
Heat kernel asymptotics of subordinators and subordinate Brownian motion
Journal of Evolution Equations, 19, 33–70, 2019
Pricing of cyber insurance contracts in a network model
(with S. Weber and K. Weske)
ASTIN Bulletin, 48(3), 1175–1218, 2018
GAUSS-Prize and Best Paper Award at ICA 2018
Complex powers of abstract pseudodifferential operators
Methods of Functional Analysis and Topology, 24(4), 305–338, 2018
Off-diagonal heat kernel asymptotics of pseudodifferential operators on closed
manifolds and subordinate Brownian motion
Integral Equations and Operator Theory, 87, 327–347, 2017
Option prices under liquidity risk as weak solutions of semilinear
diffusion equations
(with A. F. Roch)
Nonlinear Differential Equations and Applications, 24(12), 1–32, 2017
Spectral functions of subordinate Brownian motion on closed manifolds
Journal of the London Mathematical Society, 93(2), 703–720, 2016
Heat trace asymptotics of subordinate Brownian motion on Euclidean space
Potential Analysis, 44, 331–354, 2016
Short-time asymptotics of semilinear evolution equations
Proceedings of the Royal Society of Edinburgh A (Mathematics), 146A, 141–167, 2016
Dynamics of solvency risk in life insurance liabilities
(with M.C. Christiansen)
Scandinavian Actuarial Journal, 2016(9), 763–792, 2016
Sensitivity of life insurance reserves via Markov semigroups
Scandinavian Actuarial Journal, 2015(2) 124–140, 2015
Best Paper Award at ICA 2014

Dr. Matthias Fahrenwaldt