- 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
