| Publication | Date of Publication | Type |
|---|
Multinomial backtesting of distortion risk measures
Insurance Mathematics & Economics | 2025-01-17 | Paper |
Robust portfolio selection under recovery average value at risk
SIAM Journal on Financial Mathematics | 2024-05-06 | Paper |
Microscopic traffic models, accidents, and insurance losses
ASTIN Bulletin | 2024-04-30 | Paper |
Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks
European Actuarial Journal | 2023-07-13 | Paper |
Building Resilience in Cybersecurity -- An Artificial Lab Approach
| 2022-11-09 | Paper |
High-order curvilinear finite element magneto-hydrodynamics. I: A conservative Lagrangian scheme
Journal of Computational Physics | 2022-06-13 | Paper |
Market efficient portfolios in a systemic economy
Operations Research | 2022-05-31 | Paper |
Implicit reduced Vlasov-Fokker-Planck-Maxwell model based on high-order mixed elements
Journal of Computational Physics | 2022-04-14 | Paper |
Simulation methods for robust risk assessment and the distorted mix approach
European Journal of Operational Research | 2022-02-22 | Paper |
Optimal risk sharing in insurance networks. An application to asset-liability management
European Actuarial Journal | 2020-11-04 | Paper |
The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Wave-based laser absorption method for high-order transport -- hydrodynamic codes
Advances in Computational Mathematics | 2019-10-10 | Paper |
The impact of insurance premium taxation
European Actuarial Journal | 2018-10-31 | Paper |
Solvency II, or how to sweep the downside risk under the carpet
Insurance Mathematics & Economics | 2018-10-19 | Paper |
Pricing of cyber insurance contracts in a network model
ASTIN Bulletin | 2018-10-19 | Paper |
Measures of systemic risk
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
Stochastic mortality models: an infinite-dimensional approach
Finance and Stochastics | 2014-11-14 | Paper |
Reliable quantification and efficient estimation of credit risk
EAA Series | 2013-07-30 | Paper |
Stochastic root finding and efficient estimation of convex risk measures
Operations Research | 2011-11-24 | Paper |
From the equivalence principle to market consistent valuation
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2011-10-25 | Paper |
Discrete tomography by convex-concave regularization using linear und quadratic optimization.
| 2010-08-23 | Paper |
Robust Preferences and Robust Portfolio Choice
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
Credit contagion and aggregate losses
Journal of Economic Dynamics and Control | 2008-11-25 | Paper |
Utility maximization under a shortfall risk constraint
Journal of Mathematical Economics | 2008-11-13 | Paper |
A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL
International Journal of Theoretical and Applied Finance | 2008-05-28 | Paper |
A Benchmark Evaluation of Large-Scale Optimization Approaches to Binary Tomography
Discrete Geometry for Computer Imagery | 2008-04-17 | Paper |
Distribution-Invariant Risk Measures, Entropy, and Large Deviations
Journal of Applied Probability | 2008-02-22 | Paper |
Robust utility maximization with limited downside risk in incomplete markets
Stochastic Processes and their Applications | 2007-12-17 | Paper |
Prior Learning and Convex-Concave Regularization of Binary Tomography
Electronic Notes in Discrete Mathematics | 2007-05-29 | Paper |
Adaptive Reconstruction of Discrete-Valued Objects from few Projections
Electronic Notes in Discrete Mathematics | 2007-05-29 | Paper |
A Linear Programming Relaxation for Binary Tomography with Smoothness Priors
Electronic Notes in Discrete Mathematics | 2007-05-29 | Paper |
scientific article; zbMATH DE number 5075960 (Why is no real title available?)
| 2006-11-23 | Paper |
DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
Mathematical Finance | 2006-09-25 | Paper |
Discrete tomography by convex--concave regularization and D.C. programming
Discrete Applied Mathematics | 2005-11-07 | Paper |
scientific article; zbMATH DE number 2222063 (Why is no real title available?)
| 2005-11-02 | Paper |
Combinatorial Image Analysis
Lecture Notes in Computer Science | 2005-08-12 | Paper |
Transonic flutter computations for the NLR 7301 supercritical airfoil
Aerospace Science and Technology | 2001-10-21 | Paper |
