Publikationen 2011

  • Michael Kochanski und Bertel Karnarski:
    Solvency capital requirement for hybrid products. Journal Name: European Actuarial Journal Vol.1, 2 (2011) 173-198, Doi: 10.1007/s13385-011-0040-2
  • Stefanie Eckel, Gunter Löffler, Alina Maurer und Volker Schmidt:
    Measuring the effects of geographical distance on stock market correlation. Journal of Empirical Finance (2011) 18, 237-247
  • Sebastian Kestler:
    A special multiwavelet basis for unbounded product domains, 2012. Accepted for publication in ENUMATH Proceedings 2011
  • Stefan Kassberger und Thomas Liebmann:
    Minimal q-entropy martingale measures for exponential time-changed Lévy processes.
    Finance and Stochastics 15, no. 1, 117–140, (2011)
    DOI: 10.1007/s00780-010-0133-9
  • Stefan Kassberger und Thomas Liebmann:
    When are path-dependent payoffs subobtimal?
    Journal of Banking and Finance, (2011)
    DOI: 10.1016/j.jbankfin.2011.11.017.
  • N.Zhu und Daniel Bauer:
    Applications of Forward Mortality Factor Models in Life Insurance Practice. Geneva Papers on Risk and Insurance – Issues and Practice 36 (Special Issue Longevity Six): 567-594 (2011)
  • Daniel Bauer und G. Zanjani:
    Capital Allocation and its Discontents. To be resubmitted to the to the Handbook of Insurance Economics (G. Dionne Ed.) (2011)
  • N. Zhu und Daniel Bauer:
    Coherent Pricing of Life Settlements Under Asymmetric Information. Submitted to the Journal of Risk and Insurance (Special Issue Longevity Seven) (2011)
  • Delaigle, A. und Meister, A.: Nonparametric function estimation under Fourier oscillating noise. Statist. Sinica, 21 (3) 1065-1092 (2011) .
  • Delaigle, A. und Meister, A.: Nonparametric regression analysis for group testing data. J. Amer. Statist. Assoc., 106 (494) 640-650 (2011).
  • Delaigle, A. und Meister, A.: Rate-optimal nonparametric extimation in classical and Berkson errors-in-variables problems. J. Statist. Plann. Inference, 141 (1) 102-114 (2011).
  • Hellmich, M. und Kassberger, S.M.: Efficient and robust portfolio optimization in the multivariate generalized hyperbolic framework. Quant. Finance, 11 (19) 1503-1516 (2011)
  • Kunze, M.C.: A Pettis-type integral and applications to transition semigroups. Czecho-slovak Math. J., 61 (136) (2) 437-459 (2011)
  • Kunze, M.C. und van Neerven, J.: Approximating the coefficients in semilinear stochastic partial differential equations. J. Evol. Equ., 11 (3) 577-604 (2011).
  • Leidenberger, R. und Urban, K.: Automatic differentiation for the opimization of a ship propulsion and steering system: A proof of concept. J. Global Optim., 49 (3) 497-504 (2011).
  • Meister, A.; Asymptotic equivalence of functional linear regression and a white noise inverse problem. Ann. Statist., 39 (3) 1471-1495 (2011).
  • Meister, A.: On general consistency in deconvolution mode estimation. J. Statist. Plann. Inference, 141 (2) 771-781 (2011).