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Institute of Actuarial and Financial Mathematics

Organisational unit: Institute

Type of address: Visitor addres
Welfengarten 1
30167
Hannover
1 - 146 out of 146Page size: 160
Order:

Publications

  1. 2024

  2. Published

    Sufficient convexity and best approximation

    Berger, J., Bridges, D. S. & Svindland, G., 26 Nov 2024, In: Documenta mathematica. 29, 6, p. 1269-1279 11 p.

    Research output: Contribution to journal › Article › Research › peer review

  3. Published

    Multinomial backtesting of distortion risk measures

    Bettels, S., Kim, S. & Weber, S., Nov 2024, In: Insurance: Mathematics and Economics. 119, p. 130-145 16 p.

    Research output: Contribution to journal › Article › Research › peer review

  4. Published

    Building resilience in cybersecurity: An artificial lab approach

    Awiszus, K., Bell, Y., Lüttringhaus, J., Svindland, G., Voß, A. & Weber, S., 20 Aug 2024, In: Journal of Risk and Insurance. 91, 3, p. 753-800 48 p.

    Research output: Contribution to journal › Article › Research › peer review

  5. Published

    Discrete mixture representations of spherical distributions

    Baringhaus, L. & Grübel, R., Apr 2024, In: Statistical papers. 65, 2, p. 557-596 40 p.

    Research output: Contribution to journal › Article › Research › peer review

  6. Published

    Cyber Insurance: Models and Methods and the Use of AI : ENISA Research and Innovation Brief

    Weber, S., Scherer, M., Pascu, C. & Lourenco, M. B., 21 Feb 2024

    Research output: Book/Report › Monograph › Research

  7. Published

    Ranks, copulas, and permutons

    Grübel, R., Feb 2024, In: METRIKA. 87, 2, p. 155-182 28 p.

    Research output: Contribution to journal › Article › Research › peer review

  8. Published

    Microscopic traffic models, accidents, and insurance losses

    Kim, S., Kleiber, M. & Weber, S., Jan 2024, In: ASTIN Bulletin. 54, 1

    Research output: Contribution to journal › Article › Research › peer review

  9. Published

    Actuarial Insights on Cyber Risk: Challenges and Opportunities for Today’s Economy

    Knispel, T., Scherer, M., Weber, S. & Zeller, G., 2024, In: DAV Journal. 2024, 2

    Research output: Contribution to journal › Article › Research

  10. E-pub ahead of print

    An Integrated Approach to Importance Sampling and Machine Learning for Efficient Monte Carlo Estimation of Distortion Risk Measures in Black Box Models

    Bettels, S. & Weber, S., 2024, (E-pub ahead of print).

    Research output: Working paper/Preprint › Working paper/Discussion paper

  11. E-pub ahead of print

    Decision-Making Frameworks for Network Resilience -- Managing and Mitigating Systemic (Cyber) Risk

    Svindland, G. & Voß, A., 2024, (E-pub ahead of print).

    Research output: Working paper/Preprint › Working paper/Discussion paper

  12. Published

    Random permutations generated by delay models and estimation of delay distributions

    Baringhaus, L. & Grübel, R., 2024, In: Electronic journal of statistics. 18, 1, p. 167-190 24 p.

    Research output: Contribution to journal › Article › Research › peer review

  13. Published

    Robust Portfolio Selection under Recovery Average Value at Risk

    Munari, C., Pluckebaum, J. & Weber, S., 2024, In: SIAM Journal on Financial Mathematics. 15, 1, p. 295-314 20 p.

    Research output: Contribution to journal › Article › Research › peer review

  14. 2023

  15. Published

    Modeling and pricing cyber insurance: Idiosyncratic, systematic, and systemic risks

    Awiszus, K., Knispel, T., Penner, I., Svindland, G., Voß, A. & Weber, S., Jun 2023, In: European Actuarial Journal. 13, 1, p. 1-53 53 p.

    Research output: Contribution to journal › Article › Research › peer review

  16. Published

    A note on limits of sequences of binary trees

    Grübel, R., 30 May 2023, In: Discrete Mathematics & Theoretical Computer Science. 25, 1, 15 p.

    Research output: Contribution to journal › Article › Research › peer review

  17. Published

    Capital requirements and claims recovery: A new perspective on solvency regulation

    Munari, C., Weber, S. & Wilhelmy, L., 12 May 2023, In: Journal of Risk and Insurance. 90, 2, p. 329-380 52 p.

    Research output: Contribution to journal › Article › Research › peer review

  18. Published

    A goodness-of-fit test for the compound Poisson exponential model

    Baringhaus, L. & Gaigall, D., May 2023, In: Journal of multivariate analysis. 195, 105154.

    Research output: Contribution to journal › Article › Research › peer review

  19. Published

    Constructive Convex Optimisation

    Berger, J. & Svindland, G., May 2023, Handbook of Constructive Mathematics. p. 286 - 301 53 p.

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review

  20. Published

    A Constructive Version of Carathéodory's Convexity Theorem

    Berger, J. & Svindland, G., Apr 2023, Mathematics For Computation: (M4C). World Scientific Publishing Co. Pte Ltd, p. 133-142 10 p.

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review

  21. E-pub ahead of print

    Acceptable Designs of Traffic Networks: Stochastic Cell Transmission Models of Traffic Networks

    Feinstein, Z., Kleiber, M. & Weber, S., 2023, (E-pub ahead of print).

    Research output: Working paper/Preprint › Preprint

  22. Published

    On selected problems in multivariate analysis

    Gaigall, D., 2023, Hannover. 17 p.

    Research output: Thesis › Habilitation treatise

  23. Published

    Risk in traffic systems

    Kleiber, M., 2023, Hannover. 235 p.

    Research output: Thesis › Doctoral thesis

  24. E-pub ahead of print

    Uniform Rotundity and Separation

    Svindland, G., Berger, J. & Bridges, D. S., 2023, (E-pub ahead of print).

    Research output: Working paper/Preprint › Working paper/Discussion paper

  25. 2022

  26. Published

    Testing marginal homogeneity in Hilbert spaces with applications to stock market returns

    Ditzhaus, M. & Gaigall, D., Sept 2022, In: TEST. 31, 3, p. 749-770 22 p.

    Research output: Contribution to journal › Article › Research › peer review

  27. E-pub ahead of print

    Disentangling distortion risk measures and the Expected Shortfall

    Amarante, M. & Liebrich, F., 20 Jul 2022, (E-pub ahead of print) 27 p.

    Research output: Working paper/Preprint › Working paper/Discussion paper

  28. Published

    Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity

    Liebrich, F. & Munari, C., Jul 2022, In: Mathematics and Financial Economics. 16, 3, p. 447-480 34 p.

    Research output: Contribution to journal › Article › Research › peer review

  29. Published

    Empirical process of concomitants for partly categorial data and applications in statistics

    Gaigall, D., Gerstenberg, J. G. & Trinh, T. T. H., May 2022, In: Bernoulli. 28, 2, p. 803-829 27 p.

    Research output: Contribution to journal › Article › Research › peer review

  30. Published

    The quarter median

    Baringhaus, L. & Grübel, R., May 2022, In: METRIKA. 85, 4, p. 419-458 40 p.

    Research output: Contribution to journal › Article › Research › peer review

  31. Published

    Simulation methods for robust risk assessment and the distorted mix approach

    Kim, S. & Weber, S., 1 Apr 2022, In: European Journal of Operational Research. 298, 1, p. 380-398 19 p.

    Research output: Contribution to journal › Article › Research › peer review

  32. Published

    Market Efficient Portfolios in a Systemic Economy

    Awiszus, K., Capponi, A. & Weber, S., Mar 2022, In: Operations Research. 70, 2, p. 715-728 14 p.

    Research output: Contribution to journal › Article › Research › peer review

  33. Published

    On Farkas' lemma and related propositions in BISH

    Berger, J. & Svindland, G., Feb 2022, In: Annals of pure and applied logic. 173, 2, 103059.

    Research output: Contribution to journal › Article › Research › peer review

  34. E-pub ahead of print

    Bipolar Theorems for Sets of Non-negative Random Variables

    Svindland, G. & Langner, J., 2022, (E-pub ahead of print).

    Research output: Working paper/Preprint › Working paper/Discussion paper

  35. Published

    Hoeffding-Blum-Kiefer-Rosenblatt independence test statistic on partly not identically distributed data

    Gaigall, D., 2022, In: Communications in Statistics - Theory and Methods. 51, 12, p. 4006-4028 23 p.

    Research output: Contribution to journal › Article › Research › peer review

  36. Published

    Model Uncertainty: A Reverse Approach

    Liebrich, F. B., Maggis, M. & Svindland, G., 2022, In: SIAM Journal on Financial Mathematics. 13, 3, p. 1230-1269 40 p.

    Research output: Contribution to journal › Article › Research › peer review

  37. 2021

  38. E-pub ahead of print

    Risk sharing under heterogeneous beliefs without convexity

    Liebrich, F., 12 Aug 2021, (E-pub ahead of print).

    Research output: Working paper/Preprint › Preprint

  39. Published

    Test for changes in the modeled solvency capital requirement of an internal risk model

    Gaigall, D., 6 Aug 2021, In: Astin bulletin. 51, 3, p. 813-837 25 p.

    Research output: Contribution to journal › Article › Research › peer review

  40. Published

    Law-invariant functionals that collapse to the mean

    Bellini, F., Koch-Medina, P., Munari, C. & Svindland, G., May 2021, In: Insurance: Mathematics and Economics. 98, p. 83-91 9 p.

    Research output: Contribution to journal › Article › Research › peer review

  41. Published

    Law-invariant functionals on general spaces of random variables

    Bellini, F., Koch-Medina, P., Munari, C. & Svindland, G., 4 Mar 2021, In: SIAM Journal on Financial Mathematics. 12, 1, p. 318-341 24 p.

    Research output: Contribution to journal › Article › Research › peer review

  42. Published

    Traffic Dynamics at Intersections Subject to Random Misperception

    Berkhahn, V., Kleiber, M., Langner, J., Timmermann, C. & Weber, S., 1 Jan 2021, In: IEEE Transactions on Intelligent Transportation Systems. 23, 5, p. 4501-4511 11 p.

    Research output: Contribution to journal › Article › Research › peer review

  43. Published

    Discrete mixture representations of parametric distribution families: Geometry and statistics

    Baringhaus, L. & Grübel, R., 2021, In: Electronic journal of statistics. 15, 1, p. 37-70 34 p.

    Research output: Contribution to journal › Article › Research › peer review

  44. 2020

  45. E-pub ahead of print

    Separability vs. robustness of Orlicz spaces: financial and economic perspectives

    Liebrich, F. & Nendel, M., 18 Sept 2020, (E-pub ahead of print).

    Research output: Working paper/Preprint › Preprint

  46. Published

    Optimal risk sharing in insurance networks: An application to asset–liability management

    Hamm, A., Knispel, T. & Weber, S., Jun 2020, In: European Actuarial Journal. 10, 1, p. 203-234 32 p.

    Research output: Contribution to journal › Article › Research › peer review

  47. Published

    Resilience decision-making for complex systems

    Salomon, J., Broggi, M., Kruse, S., Weber, S. & Beer, M., Jun 2020, In: ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part B: Mechanical Engineering. 6, 2, 11 p., 020901.

    Research output: Contribution to journal › Article › Research › peer review

  48. Published

    Testing marginal homogeneity of a continuous bivariate distribution with possibly incomplete paired data

    Gaigall, D., May 2020, In: Metrika. 83, 4, p. 437 - 465 29 p.

    Research output: Contribution to journal › Article › Research

  49. Published

    Robust quantile estimation under bivariate extreme value models

    Kim, S., Rye, H. & Kim, K., Mar 2020, In: Extremes. 23, 1, p. 55 - 83 29 p.

    Research output: Contribution to journal › Article › Research

  50. Published

    Rothman–Woodroofe symmetry test statistic revisited

    Gaigall, D., Feb 2020, In: Computational Statistics and Data Analysis. 142, 142, 106837.

    Research output: Contribution to journal › Article › Research

  51. Published

    Actuarial and Financial Risk Management in Networks

    Awiszus, K., 2020, Hannover. 165 p.

    Research output: Thesis › Doctoral thesis

  52. Published

    Fallstudien zur Mortalität in der SARS-CoV-2-Pandemie

    Awiszus, K. & Weber, S., 2020, In: Der Aktuar. 26, 02, p. 78-82

    Research output: Contribution to journal › Article › Research

  53. Published

    Multidimensional resilience decision-making on a multistage high-speed axial compressor

    Salomon, J., Behrensdorf, J., Broggi, M., Weber, S. & Beer, M., 2020, Proceedings of the 29th European Safety and Reliability Conference, ESREL 2019. Beer, M. & Zio, E. (eds.). p. 1357-1364 8 p.

    Research output: Chapter in book/report/conference proceeding › Conference contribution › Research › peer review

  54. 2019

  55. Published

    On an asymptotic relative efficiency concept based on expected volumes of confidence regions

    Gaigall, D. & Baringhaus, L., 5 Nov 2019, In: Statistics. 53, 6, p. 1396 - 1436 41 p.

    Research output: Contribution to journal › Article › Research

  56. Published

    On a new approach to the multi-sample goodness-of-fit problem

    Gaigall, D., 22 May 2019, In: Communications in Statistics Part B: Simulation and Computation. 50, 10, p. 2971-2989 19 p.

    Research output: Contribution to journal › Article › Research

  57. 2018

  58. Published

    Statistical inference for L2-distances to uniformity

    Baringhaus, L., Gaigall, D. & Thiele, J. P., Dec 2018, In: Computational Statistics and Data Analysis. 33, 4, p. 1863 - 1896 34 p.

    Research output: Contribution to journal › Article › Research › peer review

  59. Published

    Efficiency comparison of the Wilcoxon tests in paired and independent survey samples

    Baringhaus, L. & Gaigall, D., Nov 2018, In: Metrika. 81, 8, p. 891 - 930 40 p.

    Research output: Contribution to journal › Article › Research

  60. Published

    Modeling Traffic Accidents Caused by Random Misperception

    Berkhahn, V., Kleiber, M., Schiermeyer, C. & Weber, S., Nov 2018, 7 p.

    Research output: Other contribution › Other publication › Research › peer review

  61. Published

    Pricing of cyber insurance contracts in a network model

    Fahrenwaldt, M. A., Weber, S. & Weske, K., Sept 2018, In: ASTIN Bulletin. 48, 3, p. 1175-1218 44 p.

    Research output: Contribution to journal › Article › Research › peer review

  62. Published

    Solvency II, or how to sweep the downside risk under the carpet

    Weber, S., Sept 2018, In: Insurance: Mathematics and Economics. 82, p. 191-200 10 p.

    Research output: Contribution to journal › Article › Research › peer review

  63. Published

    Strongly consistent multivariate conditional risk measures

    Hoffmann, H., Meyer-Brandis, T. & Svindland, G., 1 Jun 2018, In: Mathematics and Financial Economics. 12, 3, p. 413-444 32 p.

    Research output: Contribution to journal › Article › Research › peer review

  64. Published

    The impact of insurance premium taxation

    Degelmann, M., Hamm, A. & Weber, S., 1 Jun 2018, In: European Actuarial Journal. 8, 1, p. 127-167 41 p.

    Research output: Contribution to journal › Article › Research › peer review

  65. Published

    A consistent goodness-of-fit test for huge dimensional and functional data

    Gaigall, D. & Ditzhaus, M., 2018, In: Journal of Nonparametric Statistics. 30, 4, p. 834 - 859 26 p.

    Research output: Contribution to journal › Article › Research

  66. Published

    Austauschbarkeit in Diskreten Strukturen: Simplizes und Filtrationen

    Gerstenberg, J., 2018, Hannover. 169 p.

    Research output: Thesis › Doctoral thesis

  67. Published

    Decision-Making for Resilience-Enhancing Endowments in Complex Systems Using Principles of Risk Measures

    Salomon, J., Kruse, S., Broggi, M., Weber, S. & Beer, M., 2018, Proceedings of the 6th International Symposium on Reliability Engineering and Risk Management.

    Research output: Chapter in book/report/conference proceeding › Conference contribution › Research › peer review

  68. 2017

  69. Published

    Edgeworth expansions for profiles of lattice branching random walks

    Grübel, R. & Kabluchko, Z., Nov 2017, In: Annales de l'institut Henri Poincare (B) Probability and Statistics. 53, 4, p. 2103-2134 32 p.

    Research output: Contribution to journal › Article › Research › peer review

  70. Published

    The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks

    Weber, S. & Weske, K., Jun 2017, In: Probability, Uncertainty and Quantitative Risk. 2, 9.

    Research output: Contribution to journal › Article › Research › peer review

  71. Published

    Doob-Martin boundary of Rémy's tree growth chain

    Evans, S. N., Grübel, R. & Wakolbinger, A., Jan 2017, In: Annals of Probability. 45, 1, p. 225-277 53 p.

    Research output: Contribution to journal › Article › Research › peer review

  72. Published

    Measures of Systemic Risk

    Feinstein, Z., Rudloff, B. & Weber, S., Jan 2017, In: SIAM Journal on Financial Mathematics. 8, 1, p. 672-708 37 p.

    Research output: Contribution to journal › Article › Research › peer review

  73. Published

    Hotelling’s T2 test in a special paired sample case

    Baringhaus, L. & Gaigall, D., 2017, In: Communications in Statistics - Theory and Methods. 2017, 144, p. 1 - 11

    Research output: Contribution to journal › Article › Research

  74. Published

    Hotelling’s T² tests in paired and independent survey samples: An efficiency comparison

    Baringhaus, L. & Gaigall, D., 2017, In: Journal of Multivariate Analysis. 2017, 144, p. 177 - 198

    Research output: Contribution to journal › Article › Research

  75. 2016

  76. Published

    A functional central limit theorem for branching random walks, almost sure weak convergence and applications to random trees

    Grübel, R. & Kabluchko, Z., Dec 2016, In: Annals of Applied Probability. 26, 6, p. 3659-3698 40 p.

    Research output: Contribution to journal › Article › Research › peer review

  77. Published

    Vergleich von statistischen Tests im verbundenen und unabhängigen Stichprobenfall

    Gaigall, D., 2016

    Research output: Thesis › Doctoral thesis

  78. 2015

  79. Published

    The Axiomatic Approach to Risk Measures for Capital Determination

    Föllmer, H. & Weber, S., 7 Dec 2015, In: Annual Review of Financial Economics. 7, p. 301-337 37 p.

    Research output: Contribution to journal › Review article › Research › peer review

  80. Published

    On an independence test approach to the goodness-of-fit problem

    Baringhaus, L. & Gaigall, D., 2015, In: Journal of Multivariate Analysis. 2015, 140, p. 193 - 208

    Research output: Contribution to journal › Article › Research

  81. Published

    Random recursive trees: a boundary theory approach

    Grübel, R. & Michailow, I., 2015, In: Electronic journal of probability. 20, p. 1-22 22 p., 37.

    Research output: Contribution to journal › Article › Research › peer review

  82. 2014

  83. Published

    Search trees: Metric aspects and strong limit theorems

    Grübel, R., Jun 2014, In: Annals of Applied Probability. 24, 3, p. 1269-1297 29 p.

    Research output: Contribution to journal › Article › Research › peer review

  84. Published

    Comonotone Pareto optimal allocations for law invariant robust utilities on L<sup>1</sup>

    Ravanelli, C. & Svindland, G., 2014, In: Finance and stochastics.

    Research output: Contribution to journal › Article › Research › peer review

  85. Published

    Dilatation monotonicity and convex order

    Svindland, G., 2014, In: Mathematics and Financial Economics.

    Research output: Contribution to journal › Article › Research › peer review

  86. Published

    Market Consistent Embedded Value – eine praxisorientierte Einführung

    Weber, S., Becker, T., Fahrenwaldt, M. A., Cottin, C., Hamm, A. & Nörtemann, S., 2014, In: Der Aktuar.

    Research output: Contribution to journal › Article › Research

  87. Published

    On the lower arbitrage bound of american contingent claims

    Acciaio, B. & Svindland, G., 2014, In: Mathematical finance.

    Research output: Contribution to journal › Article › Research › peer review

  88. Published

    Operations Research Proceedings 2012: Selected Papers of the International Annual Conference of the German Operations Research Society (GOR), Leibniz University of Hannover, Germany, September 5-7, 2012

    Helber, S. (Editor), Breitner, M. H. (Editor), Rösch, D. (Editor), Schön, C. (Editor), Schulenburg, J. G. V. D. (Editor), Sibbertsen, P. (Editor), Steinbach, M. C. (Editor), Weber, S. (Editor) & Wolter, A. (Editor), 2014, (Operations Research Proceedings)

    Research output: Book/Report › Conference proceeding › Research

  89. Published

    Stochastic mortality models: an infinite-dimensional approach

    Tappe, S. & Weber, S., 2014, In: Finance and stochastics.

    Research output: Contribution to journal › Article › Research › peer review

  90. Published

    The mathematical concept of measuring risk

    Biagini, F., Meyer-Brandis, T. & Svindland, G., 2014, Risk - A Multidisciplinary Introduction.

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review

  91. 2013

  92. Published

    Pruned discrete random samples

    Grübel, R. & Hitczenko, P., 5 Nov 2013, In: Electronic Notes in Discrete Mathematics. 44, p. 321-326 6 p.

    Research output: Contribution to journal › Article › Research › peer review

  93. Published

    Kombinatorische Markov-Ketten

    Grübel, R., Oct 2013, In: Mathematische Semesterberichte. 60, 2, p. 185-216 32 p.

    Research output: Contribution to journal › Article › Research › peer review

  94. Published

    Liquidity-Adjusted Risk Measures

    Weber, S., Anderson, W., Hamm, A., Knispel, T., Liese, M. & Salfeld, T., Jan 2013, In: Mathematics and Financial Economics. 7, p. 69–91

    Research output: Contribution to journal › Article › Research › peer review

  95. Published

    Are law-invariant risk functions concave on distributions?

    Acciaio, B. & Svindland, G., 2013, In: Dependence Modeling.

    Research output: Contribution to journal › Article › Research › peer review

  96. Published

    Convex Risk Measures: Basic Facts, Law-invariance and beyond, Asymptotics for Large Portfolios

    Knispel, T. & Föllmer, H., 2013, Handbook of the Fundamentals of Financial Decision Making, Part II. World Scientific

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review

  97. Published

    Reliable Quantification and Efficient Estimation of Credit Risk

    Dunkel, J. & Weber, S., 2013

    Research output: Other contribution › Other publication › Research

  98. Published

    Stochastic root finding for optimized certainty equivalents

    Hamm, A., Salfeld, T. & Weber, S., 2013, Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013. (Winter Simulation Conference proceedings).

    Research output: Chapter in book/report/conference proceeding › Conference contribution › Research › peer review

  99. 2012

  100. Published

    Improving risk assessment for biodiversity conservation

    Dunkel, J. & Weber, S., Jul 2012, In: Proceedings of the National Academy of Sciences of the United States of America.

    Research output: Contribution to journal › Article › Research › peer review

  101. Published

    Asymptotics of robust utility maximization

    Knispel, T., 2012, In: Annals of Applied Probability. 2012, 22(1), p. 172-212

    Research output: Contribution to journal › Article › Research › peer review

  102. Published

    Black-Scholes, marktkonsistente Bewertung und Risikomaße

    Weber, S., Knispel, T. & Stahl, G., 2012, Schriftenreihe des Kompetenzzentrums Versicherungswissenschaften. Vol. 12.

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research

  103. Published

    Convex Capital Requirements for Large Portfolios

    Knispel, T. & Föllmer, H., 2012, Stochastic Analysis and its Applications to Mathematical Finance, Essays in Honor of Jia-an Yan. World Scientific

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review

  104. Published

    The canonical model space for law-invariant convex risk measures is l <sup>1</sup>

    Filipović, D. & Svindland, G., 2012, In: Mathematical finance.

    Research output: Contribution to journal › Article › Research › peer review

  105. Published

    Trickle-down processes and their boundaries

    Evans, S. N., Grübel, R. & Wakolbinger, A., 2012, In: Electronic journal of probability. 17, p. 1-58 58 p.

    Research output: Contribution to journal › Article › Research › peer review

  106. 2011

  107. Published

    From the Equivalence Principle to Market Consistent Valuation

    Knispel, T., Stahl, G. & Weber, S., May 2011, In: Jahresbericht der Deutschen Mathematiker-Vereinigung.

    Research output: Contribution to journal › Article › Research › peer review

  108. Published

    Matchmaking and testing for exponentiality in the M/G/ ∞ queue

    Grübel, R. & Wegener, H., Mar 2011, In: Journal of applied probability. 48, 1, p. 131-144 14 p.

    Research output: Contribution to journal › Article › Research › peer review

  109. Published

    Dual representation of monotone convex functions on L<sup>0</sup>

    Kupper, M. & Svindland, G., 2011, In: Proceedings of the American Mathematical Society.

    Research output: Contribution to journal › Article › Research › peer review

  110. Published

    Entropic risk measures: coherence vs. convexity, model ambiguity, and robust large deviations

    Knispel, T. & Föllmer, H., 2011, In: Stochastics and Dynamics. 2011, 11(2-3), p. 333-351

    Research output: Contribution to journal › Article › Research › peer review

  111. 2010

  112. Published

    Stochastic root finding and efficient estimation of convex risk measures

    Dunkel, J. & Weber, S., Sept 2010, In: Operations research. 58, 5, p. 1505-1521 17 p.

    Research output: Contribution to journal › Article › Research › peer review

  113. Published

    On the subtree size profile of binary search trees

    Dennert, F. & Grübel, R., 4 Jul 2010, In: Combinatorics Probability and Computing. 19, 4, p. 561-578 18 p.

    Research output: Contribution to journal › Article › Research › peer review

  114. Published

    Continuity properties of law-invariant (quasi-)convex risk functions on L<sup>∞</sup>

    Svindland, G., 2010, In: Mathematics and Financial Economics.

    Research output: Contribution to journal › Article › Research › peer review

  115. 2009

  116. Published

    Gaps in discrete random samples: extended abstract

    Grübel, R. & Hitczenko, P., Dec 2009, In: Electronic Notes in Discrete Mathematics. 35, C, p. 97-102 6 p.

    Research output: Contribution to journal › Article › Research › peer review

  117. Published

    Gaps in Discrete Random Samples

    Grübel, R. & Hitczenko, P., Dec 2009, In: Journal of applied probability. 46, 4, p. 1038-1051 14 p.

    Research output: Contribution to journal › Article › Research › peer review

  118. Published

    On the silhouette of binary search trees

    Grübel, R., Oct 2009, In: Annals of Applied Probability. 19, 5, p. 1781-1802 22 p.

    Research output: Contribution to journal › Article › Research › peer review

  119. Published

    Nonparametric two-sample tests for increasing convex order

    Baringhaus, L. & Grübel, R., Feb 2009, In: BERNOULLI. 15, 1, p. 99-123 25 p.

    Research output: Contribution to journal › Article › Research › peer review

  120. Published

    Subgradients of law-invariant convex risk measures on L1

    Svindland, G., Jan 2009, In: Statistics & Decisions.

    Research output: Contribution to journal › Article › Research › peer review

  121. Published

    Optimal risk sharing with different reference probabilities

    Acciaio, B. & Svindland, G., 2009, In: Insurance: Mathematics and Economics.

    Research output: Contribution to journal › Article › Research › peer review

  122. Published

    Robust Preferences and Robust Portfolio Choice

    Schied, A., Föllmer, H. & Weber, S., 2009

    Research output: Other contribution › Other publication › Research › peer review

  123. 2008

  124. Published

    Optimal capital and risk allocations for law- and cash-invariant convex functions

    Svindland, G. & Filipović, D., Jul 2008, In: Finance and stochastics.

    Research output: Contribution to journal › Article › Research › peer review

  125. Published

    Multivariate risk processes with interacting intensities

    Bäuerle, N. & Grübel, R., Jun 2008, In: Advances in applied probability. 40, 2, p. 578-601 24 p.

    Research output: Contribution to journal › Article › Research › peer review

  126. Published

    Cumulative record times in a Poisson process

    Goldie, C. M. & Grübel, R., 1 Apr 2008, In: STOCHASTICS. 80, 2-3, p. 157-174 18 p.

    Research output: Contribution to journal › Article › Research › peer review

  127. Published

    Bootstrap: Oder die Kunst, sich selbst aus dem Sumpf zu ziehen

    Engel, J. & Grübel, R., 11 Mar 2008, In: Mathematische Semesterberichte. 55, 2, p. 113-130 18 p.

    Research output: Contribution to journal › Article › Research › peer review

  128. Published

    An approximation for credit portfolio losses

    Frey, R., Popp, M. & Weber, S., Mar 2008, In: The journal of credit risk.

    Research output: Contribution to journal › Article › Research › peer review

  129. Published

    A note on natural risk statistics

    Filipović, D., Svindland, G. & Ahmed, S., 2008, In: Operations research letters.

    Research output: Contribution to journal › Article › Research › peer review

  130. Published

    Measuring the Risk of Large Losses

    Weber, S., Giesecke, K. & Schemidt, T., 2008, In: Journal of Investment Management . 6, 4

    Research output: Contribution to journal › Article › Research › peer review

  131. Published

    Utility maximization under a shortfall risk constraint

    Gundel, A. & Weber, S., 2008, In: Journal of mathematical economics.

    Research output: Contribution to journal › Article › Research › peer review

  132. 2007

  133. Published

    Renewals for exponentially increasing lifetimes, with an application to digital search trees

    Dennert, F. & Grübel, R., Apr 2007, In: Annals of Applied Probability. 17, 2, p. 676-687 12 p.

    Research output: Contribution to journal › Article › Research › peer review

  134. Published

    A continuous time approximation of an evolutionary stock market model

    Buchmann, B. & Weber, S., 2007, In: International Journal of Theoretical and Applied Finance.

    Research output: Contribution to journal › Article › Research › peer review

  135. Published

    Distribution-invariant risk measures, entropy, and large deviations

    Weber, S., 2007, In: Journal of applied probability.

    Research output: Contribution to journal › Article › Research › peer review

  136. Published

    Efficient Monte Carlo methods for convex risk measures in portfolio credit risk models

    Dunkel, J. & Weber, S., 2007, Proceedings - Winter Simulation Conference.

    Research output: Chapter in book/report/conference proceeding › Conference contribution › Research › peer review

  137. Published

    Potentials of a Markov Process are Expected Suprema

    Knispel, T. & Föllmer, H., 2007, In: ESAIM-PROBAB STAT. 2007, 11, p. 89 - 101

    Research output: Contribution to journal › Article › Research › peer review

  138. Published

    Robust utility maximization with limited downside risk in incomplete markets

    Gundel, A. & Weber, S., 2007, In: Stochastic Processes and their Applications.

    Research output: Contribution to journal › Article › Research › peer review

  139. 2006

  140. Published

    Zufällige Binäre Bäume: Von der Average-case Analyse zur Verteilungsasymptotik

    Grübel, R., Oct 2006, In: Mathematische Semesterberichte. 53, 2, p. 210-230 21 p.

    Research output: Contribution to journal › Article › Research › peer review

  141. Published

    Credit contagion and aggregate losses

    Giesecke, K. & Weber, S., 2006, In: Journal of Economic Dynamics and Control.

    Research output: Contribution to journal › Article › Research › peer review

  142. Published

    DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

    Weber, S., 2006, In: Mathematical Finance.

    Research output: Contribution to journal › Article › Research › peer review

  143. Published

    Monte Carlo Algorithms for Finding the Maximum of a Random Walk with Negative Drift

    Baringhaus, L. & Grübel, R., 2006, In: Journal of Applied Probability. 43, 1, p. 74-86 13 p.

    Research output: Contribution to journal › Article › Research › peer review

  144. 2005

  145. Published

    Multivariate Counting Processes: Copulas and Beyond

    Bäuerle, N. & Grübel, R., Nov 2005, In: Astin bulletin. 35, 2, p. 379-408 30 p.

    Research output: Contribution to journal › Article › Research › peer review

  146. Published

    Rarity and exponentiality: An extension of Keilson's theorem, with applications

    Grübel, R. & Reich, M., Jun 2005, In: Journal of applied probability. 42, 2, p. 393-406 14 p.

    Research output: Contribution to journal › Article › Research › peer review

  147. Published

    Mixed Poisson approximation of node depth distributions in random binary search trees

    Grübel, R. & Stefanoski, N., Feb 2005, In: Annals of Applied Probability. 15, 1 A, p. 279-297 19 p.

    Research output: Contribution to journal › Article › Research › peer review

  148. Published

    Alternativen zu Value at Risk

    Weber, S. & Schmidt, T., 2005, In: Zeitschrift fur die gesamte Versicherungswissenschaft.

    Research output: Contribution to journal › Article › Research › peer review

  149. 2004

  150. Published

    Cyclical Correlations, Credit Contagion, and Portfolio Losses

    Giesecke, K. & Weber, S., Dec 2004, In: Journal of Banking and Finance. 28, 12, p. 3009-3036

    Research output: Contribution to journal › Article › Research › peer review

  151. Published

    Decompounding poisson random sums: Recursively truncated estimates in the discrete case

    Buchmann, B. & Grübel, R., Dec 2004, In: Annals of the Institute of Statistical Mathematics. 56, 4, p. 743-756 14 p.

    Research output: Contribution to journal › Article › Research › peer review

  152. Published

    Measures and Models of Financial Risk

    Weber, S., 2004

    Research output: Other contribution › Other publication › Research

  153. 2003

  154. Published

    On the multiplicity of the maximum in a discrete random sample

    Bruss, F. T. & Grübel, R., Nov 2003, In: Annals of Applied Probability. 13, 4, p. 1252-1263 12 p.

    Research output: Contribution to journal › Article › Research › peer review

  155. Published

    Decompounding: An estimation problem for Poisson random sums

    Buchmann, B. & Grübel, R., Aug 2003, In: Annals of Statistics. 31, 4, p. 1054-1074 21 p.

    Research output: Contribution to journal › Article › Research › peer review

  156. 2002

  157. Published

    From matchbox to bottle: A storage problem

    Baringhaus, L. & Grübel, R., Sept 2002, In: Journal of applied probability. 39, 3, p. 650-656 7 p.

    Research output: Contribution to journal › Article › Research › peer review

  158. 2001

  159. Published

    On the total time spent in records by a discrete uniform sequence

    Grübel, R. & Reimers, A., Sept 2001, In: Journal of applied probability. 38, 3, p. 768-775 8 p.

    Research output: Contribution to journal › Article › Research › peer review

  160. Published

    Tail expansions for random record distributions

    Grübel, R. & Von Öhsen, N., Mar 2001, In: Mathematical Proceedings of the Cambridge Philosophical Society. 130, 2, p. 365-382 18 p.

    Research output: Contribution to journal › Article › Research › peer review

  161. 2000

  162. Published

    Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation

    Grübel, R. & Hermesmeier, R., Nov 2000, In: Astin bulletin. 30, 2, p. 309-331 23 p.

    Research output: Contribution to journal › Article › Research › peer review

  163. Published

    Statistical Aspects of Perpetuities

    Grübel, R. & Pitts, S. M., Oct 2000, In: Journal of Multivariate Analysis. 75, 1, p. 143-162 20 p.

    Research output: Contribution to journal › Article › Research › peer review

  164. 1999

  165. Published

    On the median-of-k version of Hoare's selection algorithm

    Grübel, R., Mar 1999, In: Theoretical Informatics and Applications. 33, 2, p. 177-192 16 p.

    Research output: Contribution to journal › Article › Research › peer review

  166. Published

    Computation of compound distributions i: Aliasing errors and exponential tilting

    Grübel, R. & Hermesmeier, R., 1999, In: Astin bulletin. 29, 2, p. 197-214 18 p.

    Research output: Contribution to journal › Article › Research › peer review

  167. 1998

  168. Published

    Hoare's Selection Algorithm: A Markov Chain Approach

    Grübel, R., 1 Jan 1998, In: Journal of applied probability. 35, 1, p. 36-45 10 p.

    Research output: Contribution to journal › Article › Research › peer review

  169. 1997

  170. Published

    On a class of characterization problems for random convex combinations

    Baringhaus, L. & Grübel, R., Sept 1997, In: Annals of the Institute of Statistical Mathematics. 49, 3, p. 555-567 13 p.

    Research output: Contribution to journal › Article › Research › peer review

  171. 1996

  172. Published

    Confidence bounds for the adjustment coefficient

    Pitts, S. M., Grübel, R. & Embrechts, P., Sept 1996, In: Advances in applied probability. 28, 3, p. 802-827 26 p.

    Research output: Contribution to journal › Article › Research › peer review

  173. Published

    Orthogonalization of multivariate location estimators: The orthomedian

    Grübel, R., Aug 1996, In: Annals of Statistics. 24, 4, p. 1457-1473 17 p.

    Research output: Contribution to journal › Article › Research › peer review

  174. Published

    Perpetuities with thin tails

    Goldie, C. M. & Grübel, R., Jun 1996, In: Advances in applied probability. 28, 2, p. 463-480 18 p.

    Research output: Contribution to journal › Article › Research › peer review

  175. Published

    Asymptotic distribution theory for Hoare's selection algorithm

    Grübel, R. & Rösler, U., Mar 1996, In: Advances in applied probability. 28, 1, p. 252-269 18 p.

    Research output: Contribution to journal › Article › Research › peer review