| Publication | Date of Publication | Type |
|---|
| Egalitarian pooling and sharing of longevity risk a.k.a. \textit{can an administrator help skin the tontine cat?} | 2025-01-17 | Paper |
| On the causality-preservation capabilities of generative modelling | 2024-12-16 | Paper |
| Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables | 2023-04-18 | Paper |
| Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables | 2023-02-01 | Paper |
| Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages | 2022-08-12 | Paper |
| Systemic risk: conditional distortion risk measures | 2022-03-10 | Paper |
| A Robustification of the Chain-Ladder Method | 2022-02-11 | Paper |
| Fair dynamic valuation of insurance liabilities via convex hedging | 2021-06-21 | Paper |
| Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach | 2020-12-16 | Paper |
| Comonotonic asset prices in arbitrage-free markets | 2019-12-16 | Paper |
| Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency | 2019-09-19 | Paper |
| Fair valuation of insurance liability cash-flow streams in continuous time: theory | 2019-09-19 | Paper |
| Measuring medical inflation for health insurance portfolios in Belgium | 2019-09-03 | Paper |
| FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS | 2019-05-29 | Paper |
| A dynamic equivalence principle for systematic longevity risk management | 2019-05-23 | Paper |
| Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting | 2019-05-10 | Paper |
| Tail mutual exclusivity and Tail-VaR lower bounds | 2018-07-13 | Paper |
| Ordered random vectors and equality in distribution | 2018-07-10 | Paper |
| LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION | 2018-06-04 | Paper |
| An approximation method for risk aggregations and capital allocation rules based on additive risk factor models | 2018-04-12 | Paper |
| Updating mechanism for lifelong insurance contracts subject to medical inflation | 2018-04-03 | Paper |
| Probabilistic solutions for a class of deterministic optimal allocation problems | 2018-02-14 | Paper |
| Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency | 2017-09-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2968268 | 2017-03-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2968270 | 2017-03-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2968298 | 2017-03-13 | Paper |
| Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior | 2016-12-28 | Paper |
| Optimal allocation of policy deductibles for exchangeable risks | 2016-12-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2801339 | 2016-04-07 | Paper |
| The minimal entropy martingale measure in a market of traded financial and actuarial risks | 2015-02-18 | Paper |
| Reserve-dependent benefits and costs in life and health insurance contracts | 2015-01-28 | Paper |
| On an optimization problem related to static super-replicating strategies | 2014-11-27 | Paper |
| The multivariate Black & Scholes market: conditions for completeness and no-arbitrage | 2014-10-15 | Paper |
| FIX: The Fear Index—Measuring Market Fear | 2014-09-29 | Paper |
| A multivariate dependence measure for aggregating risks | 2014-07-17 | Paper |
| Reducing risk by merging counter-monotonic risks | 2014-06-23 | Paper |
| Convex order approximations in the case of cash flows of mixed signs | 2014-04-14 | Paper |
| Convex order and comonotonic conditional mean risk sharing | 2014-04-14 | Paper |
| Tail variance premiums for log-elliptical distributions | 2014-04-04 | Paper |
| On the (in-)dependence between financial and actuarial risks | 2014-04-04 | Paper |
| Risk measures and dependencies of risks | 2013-09-16 | Paper |
| Remarks on quantiles and distortion risk measures | 2013-02-05 | Paper |
| The herd behavior index: a new measure for the implied degree of co-movement in stock markets | 2012-05-11 | Paper |
| Correlation order, merging and diversification | 2012-02-10 | Paper |
| Optimal portfolio selection for general provisioning and terminal wealth problems | 2012-02-10 | Paper |
| Inequalities for the De Pril approximation to the distribution of the number of policies with claims | 2011-11-26 | Paper |
| An Overview of Comonotonicity and Its Applications in Finance and Insurance | 2011-08-08 | Paper |
| A recursive approach to mortality-linked derivative pricing | 2011-08-02 | Paper |
| Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables | 2011-07-02 | Paper |
| Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection | 2011-04-13 | Paper |
| Some new classes of consistent risk measures | 2010-06-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3566016 | 2010-06-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3562639 | 2010-05-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3562643 | 2010-05-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3562645 | 2010-05-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3562647 | 2010-05-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3647072 | 2009-11-27 | Paper |
| Bounds and approximations for sums of dependent log-elliptical random variables | 2009-06-10 | Paper |
| Some results on the CTE-based capital allocation rule | 2009-01-28 | Paper |
| Optimal approximations for risk measures of sums of lognormals based on conditional expectations | 2008-10-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3523756 | 2008-09-05 | Paper |
| Static super-replicating strategies for a class of exotic options | 2008-06-25 | Paper |
| Analytic bounds and approximations for annuities and Asian options | 2008-06-25 | Paper |
| On the distribution of discounted loss reserves using generalized linear models | 2007-12-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5430685 | 2007-12-16 | Paper |
| Bonus-Malus scales using exponential loss functions | 2007-10-30 | Paper |
| Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection | 2007-04-11 | Paper |
| Risk Measures and Comonotonicity: A Review | 2007-02-15 | Paper |
| Risk measurement with equivalent utility principles | 2007-01-30 | Paper |
| Recursions for the individual risk model | 2007-01-29 | Paper |
| Economic Capital Allocation Derived from Risk Measures | 2006-01-05 | Paper |
| Stable Laws and the Present Value of Fixed Cash Flows | 2006-01-05 | Paper |
| Bounds for the price of discrete arithmetic Asian options | 2005-10-26 | Paper |
| Bounds for the price of a European-style Asian option in a binary tree model | 2005-10-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5461830 | 2005-07-27 | Paper |
| A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum | 2005-03-30 | Paper |
| A Unified Approach to Generate Risk Measures | 2005-03-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4817773 | 2004-09-21 | Paper |
| Confidence bounds for discounted loss reserves. | 2004-02-14 | Paper |
| The hurdle-race problem. | 2004-02-14 | Paper |
| Does positive dependence between individual risks increase stop-loss premiums? | 2003-11-16 | Paper |
| The concept of comonotonicity in actuarial science and finance: applications. | 2003-11-16 | Paper |
| The concept of comonotonicity in actuarial science and finance: theory. | 2003-06-25 | Paper |
| Bounds for present value functions with stochastic interest rates and stochastic volatility. | 2003-06-25 | Paper |
| Upper and lower bounds for sums of random variables | 2001-12-03 | Paper |
| Convex upper and lower bounds for present value functions | 2001-09-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4221327 | 2001-05-02 | Paper |
| Supermodular ordering and stochastic annuities | 2000-08-16 | Paper |
| The safest dependence structure among risks. | 2000-03-30 | Paper |
| On the dependency of risks in the individual life model | 2000-02-20 | Paper |
| Recursions for Distribution Functions and Stop-Loss Transforms | 1999-09-14 | Paper |
| Comonotonicity, correlation order and premium principles | 1999-04-08 | Paper |
| On approximating distributions by approximating their De Pril transforms | 1999-03-25 | Paper |
| Some results on moments and cumulants | 1999-03-25 | Paper |
| A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate | 1998-05-04 | Paper |
| The compound Poisson approximation for a portfolio of dependent risks | 1997-01-09 | Paper |
| Recursions for the individual model | 1996-01-07 | Paper |
| On a class of approximative computation methods in the individual risk model | 1995-01-25 | Paper |
| Optimal Premium Control in a Non-life Insurance Business | 1990-01-01 | Paper |
