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Institute of Actuarial and Financial Mathematics

Organisational unit: Institute

Type of address: Visitor addres
Welfengarten 1
30167
Hannover
1 - 40 out of 146Page size: 40
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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

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