3 papers in the archive (2023–2025), average empirical rigor 3.2/10, average math complexity 8.3/10. Quadrant mix: Lab Rats ×3.
Works mostly in Portfolio Optimization, Stochastic Control & Optimal Stopping, Options & Derivatives Pricing, Insurance & Actuarial Risk.
Frequent co-authors: Mitja Stadje (3).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
This paper studies the equity holders’ mean-variance optimal portfolio choice problem for (non-)protected participating life insurance contracts. We derive explicit formulas for the optimal terminal wealth and the optimal strategy in the multi-dimensional Black-Scholes model, showing the existence o
We adapt Leland’s dynamic capital structure model to the context of an insurance company selling participating life insurance contracts explaining the existence of life insurance contracts which provide both a guaranteed payment and surplus participation to the policyholders. Our derivation of the o
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i) law-invariant, ii) cash- or shift-invariant, and iii) positively homogene