3 papers in the archive (2024–2025), average empirical rigor 2.5/10, average math complexity 7.8/10. Quadrant mix: Lab Rats ×3.
Works mostly in Stochastic Control & Optimal Stopping, Portfolio Optimization, Insurance & Actuarial Risk.
Frequent co-authors: Luca De Gennaro Aquino (2), Sascha Desmettre (2), Yevhen Havrylenko (2), Benjamin Avanzi (1), Debbie Kusch Falden (1).
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%).
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an Itô diffusion process. Since risk attitudes at the end of the investment horizon are uncertain, terminal wealth is evaluated under a set of u
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated, leads to dynamically inconsistent preferences. We address thi
In high-risk environments, traditional indemnity insurance is often unaffordable or ineffective, despite its well-known optimality under expected utility. We compare excess-of-loss indemnity insurance with parametric insurance within a common mean-variance framework, allowing for fixed costs, hetero