Publikationen

REFERRED PUBLICATIONS:

"Pension benefit security: A comparison of solvency requirements, a pension guarantee fund and sponsor support" (2011), with Dirk Broeders; Accepted by Journal of Risk and Insurance. (Available at SSRN).
"A Risk-based Model for the Valuation of Pension Insurance" (2011); Accepted by Insurance: Mathematics and Economics.
" Modeling non-monotone risk aversion using SAHARA utility functions" (2011), with Antoon Pelsser and Michel Vellekoop. Journal of Economic Theory, 146(5), 2075-2092.
"A utility-based comparison of pension funds and life insurance companies under regulatory constraints" (2011), with Dirk Broeders and Birgit Koos. Insurance: Mathematics and Economics, 49(1), 1-10.
"Parisian exchange option" (2011), with Michael Suchanecki. Quantitative Finance 11(8), 1207-1220.
"Pension regulation and the market value of pension liabilities - a contingent claims analysis using Parisian options" (2010), with Dirk Broeders. Journal of Banking and Finance 34(6), 1201-1214.
"On the regulator-insurer-interaction in a structural model" (2009), with Carole Bernard. Journal of Computational and Applied Mathematics 233, 3-15.
"Knightian uncertainty and optimal regulation decisions" (2009), with Xia Su. Decisions in Economics and Finance 32, 13-33.
"On the cost of regulation under Solvency II" (2008), with Carole Bernard and Antoon Pelsser. Life and Pensions 4(6), 36-40.
"Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies" (2008). Insurance: Mathematics and Economics 42, 1035-1049.
"Endowment assurance products-effectiveness of risk-minimizing strategies under Model Risk" (2008), with Antje B. Mahayni. Asia-Pacific Journal of Risk and Insurance 2(2) , 47-74.
"Default risk, bankruptcy procedures and the market value of life insurance liabilities" (2007), with Michael Suchanecki. Insurance: Mathematics and
Economics 40(2), 231-255.

OTHER PUBLICATIONS:

"Regulators under uncertainty: the impact of model uncertainty and information
asymmetry'' (2010), with Xia Su. Book chapter in Risk Books and Journals.
"Hedging guarantees under interest rate and mortality risk" (2007), with Antje B. Mahayni. Proceedings of 5th Actuarial and Financial Mathematics Day, February 9, 2007, Royal Flemish Academy of Belgium for Science and the Arts, Brussels, 2007, 43-54.

WORKING PAPERS:

"Optimal casualty insurance and repair in the presence of a security market", with Philip H. Dybvig; preprint. download datei
"In Arrear Term Structure Products: No Arbitrage Pricing Bounds and The Convexity Adjustments ", with Klaus Sandmann; preprint. Download Datei
"New performance-vested stock option schemes", with Markus Pelger and Klaus Sandmann; preprint. download datei
"Optimal payoff schemes for managers: comparing the welfare implications for different executive stock options", with Markus Pelger; preprint. download datei
"Rainbow over Paris", with Evangelia Petrou and Michael Suchanecki. Preprint.
"Valuation of hybrid pension liabilities", with Dirk Broeders and David Rijsbergen. Preprint, available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1927935.
"A utility-based comparison of pension security mechanisms", with Dirk Broeders and Birgit Koos. Preprint, available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1978583.
"A risk-based premium: What does it mean for DB plan sponsors?", with Filip Uzelac. Preprint, available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2020994.
"Mergers and Acquisitions - Collar Contracts", with Christian Hilpert. Preprint, availabe at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2025854.

CONFERENCE PRESENTATIONS:

15th International Congress on Insurance, Mathematics and Economics (2011), Triest, Italy.
60th Annual Meeting of Midwest Finance Association (2011), Chicago, USA.
Capital Markets/Corporate Finance Program Meetings (2010), Shanghai, China.
6th World Congress of the Bachelier Finance Society (2010), Toronto, Canada.
36th Annual Meeting of European Finance Association (2009), Bergen, Norway.
13th International Congress on Insurance, Mathematics and Economics (2009), Istanbul, Turkey.
58th Annual Meeting of Midwest Finance Association (2009), Chicago, USA.
15th Annual Meeting of German Finance Association (DGF) (2008), Muenster, Germany.
5th World Congress of the Bachelier Finance Society (2008), London, UK.
12th International Congress on Insurance, Mathematics and Economics (2008), Dalian, China.
31st Annual EAA Congress (2008), Rotterdam, The Netherlands.
Workshop on Finance, Insurance and Stochastics (2008), Bonn, Germany.
Actuarial and Financial Mathematics Conference (2008), Brussels, Belgium
Internal Models in Risk Management Seminar (2007), Amsterdam, The Netherlands.
Netspar Pension Day (2007), Tilburg, The Netherlands.
Workshop on Default Risk and Financial Distress (2007), Rennes, France.
11th Annual APRIA Conference (2007), Taipei, Taiwan.
11th International Congress on Insurance: Mathematics & Economics (2007), Piraeus, Greece.
16th International AFIR Colloquium (2007), Stockholm, Sweden.
1st IAA Life Colloquium (2007), Stockholm, Sweden.
Radon Workshop on Financial and Actuarial Mathematics for Young Researchers (2007), Linz, Austria.
International Actuarial Meeting on Risk Measures and Solvency (2007), Antalya, Turkey.
5th Actuarial and Financial Mathematics Day (2007), Brussels, Belgium.
4th World Congress of the Bachelier Finance Society (2006), Tokyo, Japan.
L'Association Francaise de Finance (AFFI) (2006), Poitiers, France.
International Symposium on Insurance and Finance (2006), Bergen, Norway.
12. Annual Meeting of German Finance Association (DGF) (2005), Augsburg, Germany.

INVITED TALKS:

Seminar at HVB-Stifungsinstitut für Finanzmathematik, Technical University of Munich, Munich, Germany, January 27, 2011.
Seminar at Institute of Financial Studies, Southwestern University of Finance and Economics, Chengdu, China, July 26, 2010.
Economic Theory Seminar at the University of Washington in St. Louis, St. Louis, USA, March 23, 2010.
Seminar at Fraunhofer Institut (ITWM), Kaiserslautern, Germany, January 29, 2010.
Seminar at Faculty of Actuarial Science and Insurance, Cass Business School, London, UK, November 25, 2009.
Seminar at Department of Finance, Southwestern University of Finance and
Economics, Chengdu, China, March 13, 2009.
Seminar at Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada, January 12, 2009.
Seminar at Warren Center for Actuarial Studies and Research, University of Manitoba, Winnipeg, Canada, January 8, 2009.
Seminar at Department of Accounting, Finance, Insurance, and International Finance of Catholic University of Leuven, December 10, 2008
Seminar at Dutch Central Bank (DNB), the Netherlands, June 12, 2008.
Seminar in Applied Mathematics, University of Trieste, Trieste, Italy, 7 and 12 May, 2008.
39e Journée de séminaires actuariels, Lausanne, Switzerland, 10 March 2008.
7th Winter School on Mathematical Finance, January 21-23 2008, Lunteren, The Netherlands.
Research seminars - Finance Research Group, Aarhus School of Business,
University of Aarhus, May 16, 2007.
Finance Group, University of Amsterdam, October 4, 2006.

Sektionen

Publikationen