Leibniz Universität Hannover Main Leibniz University Website
Contact
House of Insurance
About
About
go to overview
Executive Board
People
Partners
Advisory Council
Teaching
Teaching
go to overview
Courses
Master Degree
Actuary DAV
Research & Events
Research & Events
go to overview
Events
Publications
Videos & Slides
News, Jobs & PhD
News, Jobs & PhD
go to overview
News
Jobs
PhD
 
House of Insurance About People Penner, Irina
Publications
  • Modeling and Pricing Cyber Insurance  – Idiosyncratic, Systematic, and Systemic Risks
    (with K. Awiszus, T. Knispel, G. Svindland, A. Voß and S. Weber) 
    European Actuarial Journal, 13, 1-53, 2023
     
  • Characterization of max-continuous local martingales vanishing at infinity
    (with B. Acciaio)
    Electronic Communications in Probability, 21, 1-10, 2016
     
  • Consistent risk measures and a non-linear extension of backwards martingale convergence
    (with H. Föllmer)
    In: Chen, Z.-Q.,  Jacob, N., Takeda, M. and Uemura, T. (eds.); Festschrift Masatoshi Fukushima, World Scientific, Singapur, 183-202, 2015
     
  • Convex risk measures for processes and BSDEs
    (with Anthony Réveillac)
    Finance and Stochastics, 19(1), 23-66, 2015
     
  • Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
    (with B. Acciaio and H. Föllmer)
    Finance and Stochastics, 16(4), 669-709, 2012
     
  • Monetary valuation of cash flows under Knightian uncertainty
    (with H. Föllmer)
    International Journal of Theoretical and Applied Finance, 14, 1-15, 2011
     
  • Dynamic convex risk measures
    (with B. Acciaio)
    In: Di Nunno, G., Øksendal, B., (eds.); Advanced Mathematical Methods for Finance, Springer, Berlin Heidelberg, 1-34, 2011
     
  • Hedging of claims with physical delivery under convex transaction costs
    (with T. Pennanen)
    SIAM Journal on Financial Mathematics, 1, 158-178, 2010
     
  • Convex risk measures: Time consistency, prudence, and sustainability
    Doctoral thesis, Humboldt University of Berlin, 2008
     
  • Convex risk measures and the dynamics of their penalty functions
    (with H. Föllmer)
    Statistics and decisions, 24, 61-96, 2006

Last Change: 22.01.25 Print

Contact us
Contact
  • Contact
  • © 2025:  Leibniz Universität Hannover
  • Legal Information
  • Data Privacy
  • Accessibility Statement
  • Penner, Irina
  • General Overview Penner, Irina
  • Publications
  • Main Leibniz University Website
  • Contact