| Publication | Date of Publication | Type |
|---|
| Valuation of mortgage pass-through securities with partial prepayment risk | 2022-08-01 | Paper |
| Pricing default risk in mortgage-backed securities under a regime-switching reduced-form model | 2022-05-23 | Paper |
| The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier | 2022-05-20 | Paper |
| Optimal asset allocation for participating contracts with mortality risk under minimum guarantee | 2022-05-18 | Paper |
| Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level | 2021-11-12 | Paper |
| Basket CDS pricing with default intensities using a regime-switching shot-noise model | 2021-10-01 | Paper |
| Optimal asset allocation for participating contracts under the VaR and PI constraint | 2020-02-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5213096 | 2020-01-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5198285 | 2019-10-02 | Paper |
| Correlated default models driven by a multivariate regime-switching shot noise process | 2019-09-25 | Paper |
| A reduced-form model with default intensities containing contagion and regime-switching Vasicek processes | 2018-10-04 | Paper |
| Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching | 2018-06-21 | Paper |
| Pricing catastrophe options with counterparty credit risk in a reduced form model | 2018-06-07 | Paper |
| Optimal reinsurance and investment problem in a defaultable market | 2018-06-01 | Paper |
| Regime-switching pure jump processes and applications in the valuation of mortality-linked products | 2018-04-11 | Paper |
| Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities | 2018-01-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5276449 | 2017-07-14 | Paper |
| The dependence of assets and default threshold with thinning-dependence structure | 2017-06-16 | Paper |
| Pricing credit derivatives under a correlated regime-switching hazard processes model | 2017-05-22 | Paper |
| On the expected discounted penalty function in a delayed-claims risk model | 2017-02-14 | Paper |
| A regime-switching model with jumps and its application to bond pricing and insurance | 2016-11-25 | Paper |
| On a multi-dimensional risk model with regime switching | 2016-10-06 | Paper |
| A reduced-form model for correlated defaults with regime-switching shot noise intensities | 2016-06-08 | Paper |
| A contagion model with Markov regime-switching intensities | 2015-02-27 | Paper |
| Bilateral counterparty risk valuation on a CDS with a common shock model | 2014-12-05 | Paper |
| On a reduced form credit risk model with common shock and regime switching | 2014-04-25 | Paper |
| Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model | 2013-11-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2860078 | 2013-11-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4927813 | 2013-06-20 | Paper |
| Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model | 2013-01-29 | Paper |
| A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives | 2013-01-25 | Paper |
| Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model | 2012-02-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3169953 | 2011-09-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3014850 | 2011-07-19 | Paper |
| Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps | 2011-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3071258 | 2011-02-05 | Paper |
| A Constant Interest Risk Model with Tax Payments | 2010-10-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3571651 | 2010-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3641935 | 2009-11-11 | Paper |
| On the renewal risk model under a threshold strategy | 2009-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3622118 | 2009-04-28 | Paper |
| On a compounding assets model with positive jumps | 2009-02-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3599778 | 2009-02-09 | Paper |
| The expected discounted penalty function for the perturbed compound Poisson risk process with constant interest | 2008-08-22 | Paper |
| Some Ruin Problems for a Risk Process with Stochastic Interest | 2008-08-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3500601 | 2008-06-03 | Paper |
| On a joint distribution for the risk process with constant interest force | 2007-05-24 | Paper |
| On a correlated aggregate claims model with thinning-dependence structure | 2007-05-24 | Paper |
| The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier | 2007-02-19 | Paper |
| On the renewal risk process with stochastic interest | 2006-12-07 | Paper |
| Ruin probability for renewal risk model with negative risk sums | 2006-07-14 | Paper |
| Ruin probabilities for a~risk process with stochastic return on investments. | 2005-11-29 | Paper |
| Distributions for the risk process with a stochastic return on investments. | 2005-02-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4651064 | 2005-02-21 | Paper |
| Distribution of deficit at ruin for a PDMP insurance risk model | 2004-06-22 | Paper |
| Joint distributions of some actuarial random vectors containing the time of ruin | 2003-11-16 | Paper |
| The joint density function of three characteristics on jump-diffusion risk process. | 2003-11-16 | Paper |
| Ruin theory for the risk process described by PDMPs | 2003-11-16 | Paper |
| Some results for classical risk process with stochastic return on investments | 2003-09-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4709525 | 2003-09-23 | Paper |
| Ruin problem for a class of risk processes perturbed by diffusion | 2003-07-29 | Paper |
| A decomposition of the ruin probability for the risk process perturbed by diffusion | 2002-09-24 | Paper |
| Some distributions for classical risk process that is perturbed by diffusion | 2001-05-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4509327 | 2001-01-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4516744 | 2000-11-28 | Paper |
| A generalization of risk model perturbed by diffusion | 2000-10-15 | Paper |
