Finance- and Insurance Mathematics

(with Li, Z.) Optimal portfolios for financial markets with Wishart volatility. Journal of Applied Probability, 2013. pdf
(with Pfeiffer, R.) A joint stock and bond market based on the hyperbolic Gaussian model. European Actuarial Journal, 2013. pdf
(with Schmock, U.) Dependence properties of dynamic credit risk models. Statistics and Risk Modeling 29, 243-269, 2012. pdf
(with Urban, S. and Veraart, L.) The relaxed investor with partial information. SIAM Journal of Financial Mathematics 3, 304-327, 2012. pdf
(with Albrecher, H. and Thonhauser, S.) Optimal dividend-payout in random discrete time. Statistics and Risk Modeling, 28, 251-276, 2011. pdf
(with Blatter, A.) Optimal control and dependence modeling of insurance portfolios with Lévy dynamics. Insurance: Mathematics and Economics 48, 398-405, 2011. ScienceDirect
(with Pfeiffer, R., Bierbaum, J., Kunze, M. and Quapp, N.) Zinsmodelle für Versicherungen - Diskussion der Anforderungen und Vergleich der Modelle von Hull-White und Cairns. Blätter DGVFM 31, 261-290, 2010. pdf
(with Grübel, R.) Multivariate risk processes with interacting intensities. Advances in Applied Probability 40.2, 578-601, 2008.pdf
(with Kötter, M.) The periodic risk model with investment. Insurance: Mathematics and Economics 42(3), 962-967, 2008. ScienceDirect
(with Kötter, M.) The Markov-modulated risk model with investment. Operations Research Proceedings 2006, 575-580, Springer, Berlin, 2007.
(with Kötter, M) Markov-modulated diffusion risk models. Scandinavian Actuarial Journal 1, 34-52, 2007. pdf
(with Rieder, U.) Portfolio optimization with jumps and unobservable intensity process. Mathematical Finance 17(2), 205-224, 2007. pdf
(with Grübel, R.) Multivariate counting processes: copulas and beyond. ASTIN Bulletin 35(2), 379-408, 2005. pdf
Benchmark and Mean-Variance problems for insurers. Mathematical Methods of Operations Research 62(1), 159-165, 2005. pdf
(with Rieder, U.) Portfolio optimization with unobservable Markov-modulated drift process. Journal of Applied Probability 42, 362-278, 2005. pdf
(with Rieder, U.) Portfolio optimization with Markov-modulated stock prices and interest rates. IEEE Transactions on Automatic control. Special issue on stochastic control methods in financial engineering 49, 442-447, 2004. pdf
Traditional versus non-traditional reinsurance in a dynamic setting. Scandinavian Actuarial Journal, 5, 355-371, 2004. pdf
Approximation of optimal reinsurance and dividend pay-out policies. Mathematical Finance 14, 99-113, 2004. pdf
Risk management in credit risk portfolios with correlated assets. Insurance: Mathematics and Economics 30, 187-198, 2002.
Some results about the expected ruin time in Markov-modulated risk models. Insurance: Mathematics and Economics 18, 119-127, 1996.