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AboutPeopleWeber, Stefan
Publications
  • Market Efficient Portfolios in a Systemic Economy
    (with K. Awiszus and A. Capponi)
    Operations Research, 70(2), 715-728, 2022
     
  • Robust Portfolio Selection Under Recovery Average Value at Risk
    (with C. Munari and J. Plückebaum)
     
  • Building Resilience in Cybersecurity – An Artificial Lab Approach
    (with K. Awiszus, Y. Bell, J. Lüttringhaus, G. Svindland and A. Voß)
     
  • Microscopic Traffic Models, Accidents, and Insurance Losses
    (with S. Kim and M. Kleiber) 
     
  • Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation
    (with C. Munari and L. Wilhelmy) 
    To appear in Journal of Risk and Insurance
     
  • Multinomial Backtesting of Distortion Risk Measures
    (with S. Bettels and S. Kim)
     
  • Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach
    (with S. Kim)
    European Journal of Operational Research, 298(1), 380-398, 2022
      
  • Modeling and Pricing Cyber Insurance  – Idiosyncratic, Systematic, and Systemic Risks
    (with K. Awiszus, T. Knispel, I. Penner, G. Svindland and A. Voß)   
    To appear in European Actuarial Journal
     
  • Traffic Dynamics at Intersections Subject to Random Misperception
    (with V. Berkhahn et al.)
    IEEE Transactions on Intelligent Transportation Systems, 23(6), 4501-4511, 2021
     
  • Fallstudien zur Mortalität in der SARS-CoV-2-Pandemie
    (with K. Awiszus)
    Der Aktuar, 26(2), 78-82, 2020  
     
  • Resilience Decision-Making For Complex Systems
    (with J. Salomon et al.)
    ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems Part B, 6(2), 020901, 2020
     
  • Optimal Risk Sharing in Insurance Networks
    (with A. Hamm and T. Knispel)
    European Actuarial Journal, 10(1), 203-234, 2020  
     
  • Modeling Traffic Accidents Caused By Random Misperception
    (with V. Berkhahn, M. Kleiber and C. Schiermeyer)
    IEEE - 2018 21st ITSC, 2018
     
  • Pricing of Cyber Insurance Contracts in a Network Model 
    (with M. Fahrenwaldt and K. Weske)
    ASTIN Bulletin, 48(3), 1175-1218, 2018
     
  • The Impact of Insurance Premium Taxation
    (with M. Degelmann and A. Hamm)
    European Actuarial Journal, 8(1), 127-167, 2018
     
  • Solvency II, or How to Sweep the Downside Risk Under the Carpet
    Insurance: Mathematics and Economics, 82, 191-200, 2018
     
  • Decision-Making for Resilience-Enhancing Endowments
    (with M. Beer, M. Broggi, S. Kruse and J. Salomon)
    Proceedings of 6th International Symposium on Reliability Engineering and Risk Management, 2018
     
  • Measures of Systemic Risk
    (with Z. Feinstein and B. Rudloff)
    SIAM Journal on Financial Mathematics, 8(1), 672-708, 2017
     
  • The Joint Impact of Bankruptcy Costs, Cross-Holdings and Fire Sales on Systemic Risk in Financial Networks
    (with K. Weske)
    Probability, Uncertainty and Quantitative Risk, 2(9), 1-38, 2017
     
  • The Axiomatic Approach to Risk Measures for Capital Determination
    (with H. Föllmer)
    Annual Review of Financial Economics, 7, 2015
     
  • Stochastic Mortality Models: An Infinite-Dimensional Approach
    (with S. Tappe)
    Finance and Stochastics, 18(1), 209-248, 2014
     
  • Market Consistent Embedded Value
    (with T. Becker et al.)
    Der Aktuar, 1, 4-8, 2014
     
  • Operations Research Proceedings 2012
    (with S. Helber et al., Editors)
    Springer Operations Research Proceedings, Cham, 2014
     
  • Stochastic Root Finding for Optimized Certainty Equivalents
    (with A. Hamm and T. Salfeld)
    IEEE- Proceedings of the 2013 Winter Simulation Conference, 2013
     
  • Liquidity-Adjusted Risk Measures
    (with W. Anderson, A. Hamm, T. Knispel, M. Liese and T. Salfeld)
    Mathematics and Financial Economics, 7(1), 69-91, 2013
     
  • Reliable Quantification and Efficient Estimation of Credit Risk
    (with J. Dunkel)
    Risk Measures and Attitudes, LMUexcellent Symposium, EAA Series, 2013
     
  • Improving risk assessment for biodiversity conservation
    (with J. Dunkel)
    PNAS, 109(35), E2304, 2012
     
  • Black-Scholes, marktkonsistente Bewertung und Risikomaße
    German version of From the equivalence principle to market consistent valuation
    (with T. Knispel and G. Stahl)
    Schriftenreihe des Kompetenzzentrums Versicherungswissenschaften, 12, 2012
     
  • From the equivalence principle to market consistent valuation
    (with T. Knispel and G. Stahl)
    Jahresbericht der Deutschen Mathematiker-Vereinigung, 113(3), 139-172, 2011
     
  • Stochastic Root Finding and Efficient Estimation of Convex Risk Measures
    (with J. Dunkel) 
    Operations Research, 58(5), 1505-1521, 2010
     
  • Robust Preferences and Robust Portfolio Choice
    (with H. Föllmer and A. Schied) 
    In: Bensoussan & Zhang (eds.); Handbook of Numerical Analysis, XV, Mathematical Modeling and Numerical Methods in Finance, 29-89, 2009
     
  • Time Parameters and Lorentz Transformations of Relativistic Stochastic Processes 
    (with J. Dunkel and P. Hänggi) 
    Physical Review E, 79(1): 010101(R), 2009
     
  • Utility Maximization Under a Shortfall Risk Constraint
    (with A. Gundel) 
    Journal of Mathematical Economics, 44, 1126-1151, 2008
     
  • Measuring the Risk of Large Losses
    (with K. Giesecke and T. Schmidt) 
    Journal of Investment Management, 6(4), 1-15, 2008
     
  • An Approximation for Credit Portfolio Losses
    (with R. Frey and M. Popp) 
    The Journal of Credit Risk, 4(1), 3-20, 2008
     
  • Efficient Monte Carlo Methods for Convex Risk Measures
    (with J. Dunkel)
    IEEE - Proceedings of the 2007 Winter Simulation Conference, 958-966, 2007
     
  • Robust Utility Maximization with Limited Downside Risk in Incomplete Markets
    (with A. Gundel)
    Stochastic Processes and their Applications, 117(11), 1663-1688, 2007
     
  • A Continuous Time Limit of an Evolutionary Stock Market
    (with B. Buchmann) 
    International Journal of Theoretical and Applied Finance, 10(7), 1229-1253, 2007
     
  • Importance Sampling Methods for Estimating Convex Risk Measures
    (with J. Dunkel)
     
  • Distribution-Invariant Risk Measures, Entropy, and Large Deviations
    Journal of Applied Probability, 44, 16-40, 2007
     
  • Credit Contagion and Aggregate Losses
    (with K. Giesecke) 
    Journal of Economic Dynamics and Control, 30(5), 741-767, 2006
     
  • Distribution-Invariant Risk Measures, Information, and Dynamic Consistency 
    Mathematical Finance, 16(2), 419-442, 2006
     
  • Alternativen zu Value at Risk 
    (with T. Schmidt)
    Zeitschrift für die gesamte Versicherungswissenschaft, 4, 669-690, 2005
     
  • Cyclical Correlations, Credit Contagion, and Portfolio Losses 
    (with K. Giesecke) 
    Journal of Banking and Finance, 28(12), 3009-3036, 2004
     

Last Change: 03.03.23 Print

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