| Publication | Date of Publication | Type |
|---|
| Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps | 2024-11-18 | Paper |
| Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation | 2024-09-03 | Paper |
| Flexible Weather Index Insurance Design with Penalized Splines | 2024-06-03 | Paper |
| An insurer's optimal strategy towards a new independent business | 2024-02-26 | Paper |
| Trade-off Between Validity and Efficiency of Merging P-Values Under Arbitrary Dependence | 2023-11-09 | Paper |
| Empirical tail risk management with model-based annealing random search | 2023-04-20 | Paper |
| Annuity and insurance choice under habit formation | 2022-07-15 | Paper |
| Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu | 2022-02-11 | Paper |
| Pricing Annuity Guarantees Under a Regime-Switching Model | 2022-02-11 | Paper |
| VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance | 2022-02-11 | Paper |
| Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty | 2022-01-19 | Paper |
| Threshold Life Tables and Their Applications | 2022-01-19 | Paper |
| Reply to Hans U. Gerber and Elias S. W. Shiu on Their Discussion on Our Paper Entitled "Agricultural Insurance Ratemaking: Development of a New Premium Principle" | 2021-12-18 | Paper |
| Reply to Abylay Zhexembay on the Discussion on Our Paper Entitled "Agricultural Insurance Ratemaking: Development of a New Premium Principle" | 2021-12-18 | Paper |
| Demand for non-life insurance under habit formation | 2021-11-19 | Paper |
| Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability | 2021-11-19 | Paper |
| Optimal dynamic longevity hedge with basis risk | 2021-11-09 | Paper |
| OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK | 2021-09-24 | Paper |
| Gompertz law revisited: forecasting mortality with a multi-factor exponential model | 2021-07-06 | Paper |
| Improved index insurance design and yield estimation using a dynamic factor forecasting approach | 2021-03-17 | Paper |
| The Design of Weather Index Insurance Using Principal Component Regression and Partial Least Squares Regression: The Case of Forage Crops | 2020-12-13 | Paper |
| A Bowley solution with limited ceded risk for a monopolistic reinsurer | 2020-03-20 | Paper |
| Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle | 2020-01-08 | Paper |
| Agricultural Insurance Ratemaking: Development of a New Premium Principle | 2019-12-18 | Paper |
| A Relational Data Matching Model for Enhancing Individual Loss Experience: An Example from Crop Insurance | 2019-12-18 | Paper |
| INDEX INSURANCE DESIGN | 2019-05-29 | Paper |
| Empirical Approach for Optimal Reinsurance Design | 2019-05-28 | Paper |
| Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle | 2019-05-28 | Paper |
| Response to Hans U. Gerber on His Comments on Our Paper Entitled ”Empirical Approach for Optimal Reinsurance Design” | 2019-05-28 | Paper |
| Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk | 2019-05-15 | Paper |
| Modeling Period Effects in Multi-Population Mortality Models: Applications to Solvency II | 2019-05-15 | Paper |
| Optimal insurance in the presence of reinsurance | 2018-07-17 | Paper |
| SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH | 2018-06-06 | Paper |
| PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS | 2018-06-04 | Paper |
| THE DESIGN OF AN OPTIMAL RETROSPECTIVE RATING PLAN | 2018-06-04 | Paper |
| Vine copula models with GLM and sparsity | 2017-08-23 | Paper |
| Optimal hedging with basis risk under mean-variance criterion | 2017-07-17 | Paper |
| The role of a representative reinsurer in optimal reinsurance | 2016-12-13 | Paper |
| Optimal VaR-based risk management with reinsurance | 2016-05-19 | Paper |
| Marginal indemnification function formulation for optimal reinsurance | 2016-05-12 | Paper |
| Pricing Derivative Securities Using Integrated Quasi--Monte Carlo Methods with Dimension Reduction and Discontinuity Realignment | 2015-01-23 | Paper |
| Optimal reinsurance with general premium principles | 2014-04-03 | Paper |
| VAR-BASED OPTIMAL PARTIAL HEDGING | 2014-02-27 | Paper |
| Pricing Bermudan options using low-discrepancy mesh methods | 2014-02-20 | Paper |
| Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications | 2013-09-20 | Paper |
| Optimal reinsurance under VaR and CVaR risk measures a simplified approach | 2012-06-11 | Paper |
| How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? | 2012-05-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3107551 | 2011-12-24 | Paper |
| Optimality of general reinsurance contracts under CTE risk measure | 2011-08-02 | Paper |
| Ruin probabilities in a discrete time risk model with dependent risks of heavy tail | 2011-02-22 | Paper |
| Uncertainty in Mortality Forecasting: An Extension to the Classical Lee-Carter Approach | 2011-01-20 | Paper |
| An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process | 2010-06-10 | Paper |
| Optimal investment with noise trading risk | 2009-10-15 | Paper |
| Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures | 2009-06-15 | Paper |
| Computation of optimal portfolios using simulation-based dimension reduction | 2009-01-16 | Paper |
| Optimal reinsurance under VaR and CTE risk measures | 2008-08-18 | Paper |
| Pricing Options Using Lattice Rules | 2008-08-12 | Paper |
| OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION | 2006-09-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3371139 | 2006-02-21 | Paper |
| Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products | 2006-01-13 | Paper |
| Volatility Risk For Regime-Switching Models | 2006-01-06 | Paper |
| Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates | 2006-01-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4453513 | 2004-03-07 | Paper |
| An improved simulation method for pricing high-dimensional American derivatives. | 2003-05-19 | Paper |
| Calibrating the Black-Derman-Toy model: some theoretical results | 2002-09-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4549498 | 2002-08-28 | Paper |
| Applications of randomized low discrepancy sequences to the valuation of complex securities | 2000-10-26 | Paper |
| Quasi-Monte Carlo Methods in Numerical Finance | 1997-11-12 | Paper |
