With the University of Ulm and the ifa Ulm, Ulm is an internationally leading center in actuarial science and its applications with a high degree of integration of education/training, research and its application.
A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio (joint work with Stefan Graf and Alexander Kling) Because of the long-term nature of life insurance policies including interest rate guarantees and the current l
“Mean-variance hedging of unit linked life insurance contracts in a Levy model“ (joint work with Frank Bosserhoff and Mitja Stadje) In this paper, we consider a mean variance optimization problem in a Levy market. To model the typical life ins
Indifference Pricing under SAHARA UtilityApplications in Insurance and Finance (Joint work with An Chen and Thai Ngyuen) Pricing claims on nontraded assets is one of the ongoing challenges in option pricing theory. Nontraded assets occur in many differen