- Modeling and Pricing Cyber Insurance – Idiosyncratic, Systematic, and Systemic Risks
(with K. Awiszus, T. Knispel, G. Svindland, A. Voß and S. Weber)
To appear in European Actuarial Journal
- 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
