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Research Interest

Applied Probability Theory, Mathematical Finance, and Insurance Mathematics: 

  • Portfolio optimization with long term horizon
  • Robust utility maximization
  • Market-consistent actuarial valuation
  • Credit risk models
  • Large deviations
  • Potential theory
     

Publications and Preprints

Theses

  • Optimal Long Term Investment Under Model Ambiguity
    Ph.D. thesis, 2009
    Humboldt-Universität zu Berlin

  • Eine nichtlineare Riesz-Darstellung bezüglich additiver Funktionale im potential-
    theoretischen Kontext
    Diploma thesis, 2004
    Humboldt-Universität zu Berlin