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Institute of Actuarial and Financial Mathematics

Organisational unit: Institute

Type of address: Visitor address.
Welfengarten 1
30167
Hannover
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101 - 120 out of 146Page size: 20

Publications

  1. 2009
  2. 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

  3. 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

  4. 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

  5. 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

  6. 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

  7. Published

    Robust Preferences and Robust Portfolio Choice

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

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

  8. 2008
  9. 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

  10. 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

  11. 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

  12. 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

  13. 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

  14. 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

  15. 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

  16. 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

  17. 2007
  18. 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

  19. 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

  20. 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

  21. 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

  22. 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

  23. 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

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