Publications

Preprints:

• Optimal collective investment under regulatory uncertainty [arXiv]
  (with An Chen and Shihao Zhu)

• Geometrically convex return risk measures on AM-algebras [arXiv]

• PELVE from a regulatory perspective [arXiv]
  (with Jörn Sass) 

• Meyer risk measures [arXiv]
  (with Felix-Benedikt Liebrich) 

Papers in Peer-reviewed Journals:

• Risk measures based on target risk profiles
  (with Jascha Alexander and Jörn Sass)
  International Journal on Theoretical and Applied Finance, 29(01n02), 2650007 (2026)

• Quantum risk analysis: Beyond (Conditional) Value-at-Risk
  (with Ivica Turkalj)
  Quantum Economics and Finance, 2(2), 148 - 170 (2025)

• Multi-asset return risk measures
  (with Felix-Benedikt Liebrich and Jörn Sass)
  ASTIN Bulletin, 55(3), 668 - 694 (2025)

• Scalarized utility-based multi-asset risk measures
  (with Sascha Desmettre and Jörn Sass)
  Scandinavian Actuarial Journal, 2025(3), 271 - 299 (2025)

• A comparative study of factor models for different periods of the electricity spot price market
  (with Florian Aichinger and Sascha Desmettre)
  Journal of Commodity Markets, 36, 100435 (2024)

• Electricity GANs: Generative Adversarial Networks for electricity price scenario generation
  (with Sascha Desmettre, Ralf Korn and Bilgi Yilmaz)
  Commodities, 3(3), 254 - 280 (2024)

• Combining multi-asset and intrinsic risk measures
  (with Jörn Sass and Jörg Wenzel)
  Insurance: Mathematics and Economics, 106, 254 - 269 (2022)

• Good-deal bounds for option prices under Value-at-Risk and Expected Shortfall constraints
  (with Sascha Desmettre and Jörn Sass)
  Risks, 8(4), 114 (2020)

• Severity modeling of extreme insurance claims for tariffication
  (with Sascha Desmettre and Jörg Wenzel)
  Insurance: Mathematics and Economics, 88, 77 - 92 (2019)

Papers in Collection:

• Anlagegüter und Strategien als Bestandteile verschiedener Altersvorsorgeprodukte
  (with Roman Horsky and Ralf Korn)
  Praxishandbuch Lebensversicherungsmathematik - Simulation und Klassifikation von Produkten. Karlsruhe: VVW Verlag Versicherungswirtschaft. 85 - 114 (2019)

Doctoral Thesis

• Good Deal Bounds for Option Prices under VaR and ES Constraints, MAI and SUBMA Risk Measures
  Technische Universität Kaiserslautern (2022)