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House of Insurance About People Svindland, Gregor
Publications
  • Pricing and exercising American options in a market-consistent way
    (with P. Koch-Medina, C. Munari)
     
  • Decision-Making Frameworks for Network Resilience - Managing and Mitigating Systemic (Cyber) Risk
    (with A. Voß)
     
  • Sufficient Convexity and Best Approximation
    (with J. Berger, D. S. Bridges)
    Documenta Mathematica, 29(6), 1269-1279, 2024
     
  • Constructive Convex Optimisation
    (with J. Berger)
    In: Bridges, D., Ishihara, H., Rathjen, M., Schwichtenberg, H. (eds); Handbook of Constructive Mathematics 185 (Encyclopedia of Mathematics and its Applications), Cambridge University Press, 286-301, 2023
     
  • A Constructive Version of Carathéodory’s Convexity Theorem
    (with J. Berger)
    Mathematics for Computation (M4C), 133-142, 2023
     
  • Modeling and Pricing Cyber Insurance  – Idiosyncratic, Systematic, and Systemic Risks
    (with K. Awiszus, T. Knispel, I. Penner, A. Voß, S. Weber) 
    European Actuarial Journal, 13, 1-53, 2023
     
  • Bipolar Theorems for Sets of Non-negative Random Variables
    (with J. Langner)
    To appear in: Finance and Stochastics
     
  • On Farkas' Lemma and Related Propositions in BISH
    (with J. Berger)
    Annals of Pure and Applied Logic, 173(2), 2022 
     
  • Model uncertainty: A reverse approach  
    (with F. B. Liebrich and M. Maggis)
    SIAM Journal on Financial Mathematics, 13(3), 380-398, 2022
     
  • Law-invariant functionals that collapse to the mean
    (with F. Bellini, P. Koch-Medina and C. Munari)
    Insurance: Mathematics and Economics, 98, 83-91, 2021
     
  • Law-invariant functionals on general spaces of random variables
    (with F. Bellini, P. Koch-Medina and C. Munari)
    SIAM Journal on Financial Mathematics, 12(1), 318-341, 2021
     
  • Constructive proofs of negated statements
    (with J. Berger)
    In: Mathesis Universalis, Computability and Proof, Springer, 2019
     
  • Efficient allocations under law-invariance: a unifying approach
    (with F. B. Liebrich)
    Journal of Mathematical Economics, 84, 28-45, 2019
     
  • Risk sharing for capital requirements with multidimensional security markets   
    (with F. B. Liebrich)
    Finance and Stochastics, 23, 925-973, 2019
     
  • Convexity and unique minimum points
    (with J. Berger)
    Archive for Mathematical Logic, 58(1-2), 27-34, 2019
     
  • Ambiguity sensitive preferences in Ellsberg Frameworks
    (with C. Ravanelli)
    Economic Theory, 67(1), 53-89, 2019
     
  • Brouwer's fan theorem and convexity
    (with J. Berger)
    Journal of Symbolic Logic, 83(4), 1363-1375, 2018
     
  • Which eligible assets are compatible with comonotonic capital requirements?
    (with P. Koch-Medina and C. Munari)
    Insurance: Mathematics and Economics, 81, 18-26, 2018
     
  • Fatou closedness under model uncertainty
    (with M. Maggis and T. Meyer-Brandis)
    Positivity, 22(5), 1325-1343, 2018   
     
  • Constructive convex programming
    (with J. Berger)
    In: Proof and Computation: Digitalization in Mathematics, Computer Science, and Philosophy, World Scientific Publishing Co. Pte. Ltd., 2018
     
  • Strongly consistent multivariate conditional risk measures
    (with H. Hoffmann and T. Meyer-Brandis)
    Mathematics and Financial Economics, 12(3), 413-444, 2017
     
  • Model spaces for risk measures
    (with F. B. Liebrich)
    Insurance: Mathematics and Economics, 77, 150-165, 2017
     
  • Robust optimal risk sharing and risk premia in expanding pools
    (with T. Knispel and R. J. Laeven)
    Insurance: Mathematics and Economics, 70, 182-195, 2016
     
  • A separating hyperplane theorem, the fundamental theorem of asset pricing, and Markov’s principle
    (with J. Berger)
    Annals of Pure and Applied Logic, 167(11), 1161-1170, 2016
     
  • Convexity and constructive infima
    (with J. Berger)
    Archive for Mathematical Logic, 55(7-8), 873-881, 2016
     
  • Risk-consistent conditional systemic risk measures
    (with H. Hoffmann and T. Meyer-Brandis)
    Stochastic Processes and their Applications, 126(7), 2014-2037, 2016
     
  • The mathematical concept of measuring risk
    (with F. Biagini and T. Meyer-Brandis)
    In: Risk - A Multidisciplinary Introduction, Springer, 2014
     
  • Comonotone Pareto optimal allocations for law invariant robust utilities on L^1 (extended working paper version)
    (with C. Ravanelli)
    Finance and Stochastics, 18(1), 249-269, 2014
     
  • Dilatation monotonicity and convex order
    Mathematics and Financial Economics, 8(3), 241-247, 2014
     
  • On the lower arbitrage bound of american contingent claims
    (with B. Acciaio)
    Mathematical Finance, 24(1), 147-155, 2014
     
  • Are law-invariant risk functions concave on distributions?
    (with B. Acciaio)
    Dependence Modeling, 1, 54-64, 2013
     
  • The canonical model space of law invariant risk measures is L^1
    (with D. Filipovic)
    Mathematical Finance, 22(3), 585-589, 2012
     
  • Dual representation of monotone convex functions on L^0 
    (with M. Kupper)
    Proceedings of the AMS, 139(11), 4073-4086, 2011
     
  • Continuity properties of law-invariant (quasi-)convex risk functions on L^\infty
    Mathematics and Financial Economics, 3(1), 39-43, 2010
     
  • Subgradients of law-invariant convex risk measures on L^1 
    Statistics & Decisions, 27(2), 169-199, 2010
     
  • Optimal risk sharing with different reference probabilities 
    (with B. Acciaio)
    Insurance: Mathematics and Economics, 44(3), 426-433, 2009
     
  • A note on natural risk statistics
    (with S. Ahmed and D. Filipovic)
    Operations Research Letters, 36(6), 662-664, 2008
     
  • Optimal capital and risk allocations for law- and cash-invariant convex functions
    (with D. Filipovic)
    Finance and Stochastics, 12(3), 423-439, 2008

     

Last Change: 10.04.25 Print

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