(with Grether, S.) Complete markets do not allow free cash flow streams. Mathematical Methods of Operations Research 2015. pdf
(with Jaskiewicz, A.) Risk-sensitive dividend problems. European Journal of Operational Research 2014+. arXiv
(with Li, Z.) Optimal portfolios for financial markets with Wishart volatility. Journal of Applied Probability 50(4), 1025-1043, 2013. pdf
(with Pfeiffer, R.) A joint stock and bond market based on the hyperbolic Gaussian model. European Actuarial Journal, 3(1), 229-248, 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.
