- 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
