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Institut für Stochastik

Sekretariat
Kollegiengebäude Mathematik (20.30)
Zimmer 2.056 und 2.002

Adresse
Hausadresse:
Karlsruher Institut für Technologie (KIT)
Institut für Stochastik
Englerstr. 2
D-76131 Karlsruhe

Postadresse:
Karlsruher Institut für Technologie (KIT)
Institut für Stochastik
Postfach 6980
D-76049 Karlsruhe

Öffnungszeiten:

Tel.: 0721 608 43270/43265

Fax.: 0721 608 46066

Finance- and Insurance Mathematics

  1. (with Grether, S.) Complete markets do not allow free cash flow streams. Mathematical Methods of Operations Research 2015. pdf
  2. (with Jaskiewicz, A.) Risk-sensitive dividend problems. European Journal of Operational Research 2014+. arXiv
  3. (with Li, Z.) Optimal portfolios for financial markets with Wishart volatility. Journal of Applied Probability 50(4), 1025-1043, 2013. pdf
  4. (with Pfeiffer, R.) A joint stock and bond market based on the hyperbolic Gaussian model. European Actuarial Journal, 3(1), 229-248, 2013. pdf
  5. (with Schmock, U.) Dependence properties of dynamic credit risk models. Statistics and Risk Modeling 29, 243-269, 2012. pdf
  6. (with Urban, S. and Veraart, L.) The relaxed investor with partial information. SIAM Journal of Financial Mathematics 3, 304-327, 2012. pdf
  7. (with Albrecher, H. and Thonhauser, S.) Optimal dividend-payout in random discrete time. Statistics and Risk Modeling, 28, 251-276, 2011. pdf
  8. (with Blatter, A.) Optimal control and dependence modeling of insurance portfolios with Lévy dynamics. Insurance: Mathematics and Economics 48, 398-405, 2011. ScienceDirect
  9. (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
  10. (with Grübel, R.) Multivariate risk processes with interacting intensities. Advances in Applied Probability 40.2, 578-601, 2008.pdf
  11. (with Kötter, M.) The periodic risk model with investment. Insurance: Mathematics and Economics 42(3), 962-967, 2008. ScienceDirect
  12. (with Kötter, M.) The Markov-modulated risk model with investment. Operations Research Proceedings 2006, 575-580, Springer, Berlin, 2007.
  13. (with Kötter, M) Markov-modulated diffusion risk models. Scandinavian Actuarial Journal 1, 34-52, 2007. pdf
  14. (with Rieder, U.) Portfolio optimization with jumps and unobservable intensity process. Mathematical Finance 17(2), 205-224, 2007. pdf
  15. (with Grübel, R.) Multivariate counting processes: copulas and beyond. ASTIN Bulletin 35(2), 379-408, 2005. pdf
  16. Benchmark and Mean-Variance problems for insurers. Mathematical Methods of Operations Research 62(1), 159-165, 2005. pdf
  17. (with Rieder, U.) Portfolio optimization with unobservable Markov-modulated drift process. Journal of Applied Probability 42, 362-278, 2005. pdf
  18. (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
  19. Traditional versus non-traditional reinsurance in a dynamic setting. Scandinavian Actuarial Journal, 5, 355-371, 2004. pdf
  20. Approximation of optimal reinsurance and dividend pay-out policies. Mathematical Finance 14, 99-113, 2004. pdf
  21. Risk management in credit risk portfolios with correlated assets. Insurance: Mathematics and Economics 30, 187-198, 2002.
  22. Some results about the expected ruin time in Markov-modulated risk models. Insurance: Mathematics and Economics 18, 119-127, 1996.