GRK 1100:  Modelling, Analysis and Simulation in Economathematics

• Subject Area: Mathematics
• Term: from 2005 to 2014
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 453162

• Final Report Year: 2014

Final Report Abstract

Ziel des Graduiertenkollegs “Modellierung, Analyse und Simulation in der Wirtschaftsmathematik” war es, relevante Fragestellungen aus einem Schwerpunktbereich der Wirtschaftsmathematik, der Finanz- und Versicherungswirtschaft mathematisch zu modellieren, zu analysieren und zu simulieren. Mit der Unterstützung einer Reihe von außeruniversitären Partnern (vor allem Unternehmen der Finanz- und Versicherungswirtschaft aber auch staatlicher sowie Aufsichtsbehörden) wurden aktuelle und drängende Problemstellungen identifiziert. Als Beispiele seien exemplarisch genannt: • Wie können Rentenversicherungssysteme mit der Herausforderung einer alternden Gesellschaft umgehen? • Wie können immer komplexere Finanzprodukte in einem immer komplexeren Markt beherrscht werden und wie können ggf. Steuermechanismen aussehen? • Wie können komplexe räumliche wirtschaftliche Strukturen erfasst und ggf. gesteuert werden? Diese und andere gleichermaßen aktuelle und gesellschaftlich relevante Fragestellungen wurden im Graduiertenkolleg interdisziplinär wissenschaftlich untersucht, durch Kooperationen von Wirtschaftswissenschaftlern, Mathematikern und Informatikern. Zur mathematischen Modellierung gehört die Beschreibung eines realen Vorgangs durch eine mathematische Struktur. Dazu wurden Methoden aus der Finanz- und Versicherungswirtschaft, der Finanz- und Versicherungsmathematik, der Stochastik und der Angewandten Analysis verwendet. In einem nächsten Schritt, der Analyse, wurden die mathematischen Eigenschaften untersucht, z.B. Wohlgestellheit, Regularität, Asymptotik, räumliche Struktur, etc. Eine Simulation basiert i.d.R. auf einem Modell, z.B. einem stochastischen oder einem numerischen. Mit Hilfe von Computerbasierten Simulationen, für die eine mathematische Kontrolle hinsichtlich Konvergenz und Fehlertoleranz vorliegt, können nicht nur Vorhersagen getroffen werden, sondern auch Ansätze für optimale Strategien entworfen und verifiziert werden. Zu diesem Themenkreis hat das Graduiertenkolleg in seiner neunjährigen Förderperiode eine ganze Reihe von wissenschaftlichen Beiträgen geliefert, die sowohl akademisch-theoretischer Natur (belegt durch entsprechende Publikationen und wissenschaftliche Preise) als auch von konkreter Anwendungsrelevanz sind. So wurden u.a. die Grundlagen der stochastischen Modellierung von Mortalitätsraten inklusive deren zeitlicher Dynamik gelegt und wesentliche Erkenntnisse zur Bewertung von Lebensversicherungsverträgen unter stochastischer Mortalität gewonnen. Mit Blick auf komplexe Finanzmärkte wurden z.B. statistische Untersuchungen unternommen sowie stochastische Modelle konstruiert und analysiert, die Effekte wie Unternehmensinsolvenzen, komplexe Abhängigkeitsstrukturen oder Sprungphänomene widerspiegeln. Zur Dynamik solcher Prozesse wurden wesentliche analytische Resultate erzielt und entsprechende Simulationsmethoden konstruiert, analysiert und realisiert. Da die resultierenden Probleme extrem hochdimensonaler Natur sind, bestehen besondere Herausforderungen hinsichtlich Effizienz und Robustheit der Simulationsmethoden sowie bei der Korrektheit und Effizienz der entsprechenden Software. Stochastische Modelle und statistische Untersuchungen können komplexe räumliche wirtschaftliche Strukturen beschreiben und einen wesentlichen Beitrag zu deren Analyse liefern, z.B. hinsichtlich Zugbahnen von Wirbelstürmen oder räumlichen Schadensverteilungen. Alle Stipendiaten haben ein strukturiertes Promotionsprogramm durchlaufen, das u.a. eine Doppelbetreuung, Teilnahme an kollegspezifischen Spezialvorlesungen, Forschungsaufenthalte und/oder Praktika und eine jährliche Kollegklausur samt case studies sowie externer Evaluation vorsah. Ein Postdoktorand unterstützte die Promotionsprojekte und konnte sich in einem interdisziplinären Forschungsumfeld für weitere Karrierestufen qualifizieren.

Publications

• Approximation and closedness of sectorial forms. Ulmer Seminare, 10:219– 227, 2005
  Markus C. Kunze
  
• Communicating the risk of structured credit. Performance, 9:32–34, 2005
  Florian Kramer and Gunter Löffler
  
• Fischer Black und Myron Scholes als Aktuare: Anwendungen der Optionspreistheorie in der Lebensversicherungsmathematik. In Klaus Spremann, editor, Versicherungen im Umbruch, pages 375–398. Springer-Verlag, Berlin, 2005
  Stefan M. Kassberger and Rüdiger Kiesel
  
• A fully parametric approach to return modelling and risk management of hedge funds. Financial Markets and Portfolio Management, 20(4):472–491, 2006
  Stefan M. Kassberger and Rüdiger Kiesel
  
• An empirical study on the selection of good metamorphic relations. In 30th Annual International Computer Software and Applications Conference (COMPSAC 2006), pages 475–484, Chicago, IL (USA), Sep. 2006
  Ralph Guderlei and Johannes Mayer
  
• Efficient calibration of time-changed Lévy models to forward implied volatility surfaces. In Proceedings of the third IASTED International Conference on Financial Engineering and Applications, Cambridge, MA (USA), 2006
  Stefan M. Kassberger and Hendrik Schmidt
  
• Fitting of random tessellation models to keratin filament networks. J. Theoret. Biol., 241(1):62–72, 2006
  Michael Beil, Stefanie Eckel, Frank Fleischer, Hendrik Schmidt, Volker Schmidt, and Paul Walther
  
• Mathematical framework for integrating market and credit risk. In Risk Management. Amsterdam [u.a.] : Elsevier, ISBN 978-0-12-088438-4. - 2006, S. 367-389
  Rüdiger Kiesel, Thomas Liebmann, and Gerhard Stahl
  
• On random testing of image processing applications. In Sixth International Conference on Quality Software (QSIC 2006), pages 85–92, Beijing, China, Oct. 2006
  Ralph Guderlei and Johannes Mayer
  
• Risk-neutral valuation of participating life insurance contracts. Insurance Math. Econom., 39(2):171–183, 2006
  Daniel Bauer, Rüdiger Kiesel, Alexander Kling, and Jochen Ruß
  
• Statistical analysis of reduced pair correlation functions of capillaries in the prostate gland. J. Microsc., 223(2):107– 119, 2006
  Torsten Mattfeldt, Stefanie Eckel, Frank Fleischer, and Volker Schmidt
  
• Statistical analysis of the spatial distribution of tree roots in pure stands of fagus sylvatica and picea abies. Canadian Journal of Forest Research, 36(227-237), 2006
  Frank Fleischer, Stefanie Eckel, Iris Schmid, Volker Schmidt, and Marian Kazda
  
• A ridge-parameter approach to deconvolution. Ann. Statist., 35(4):1535–1558, 2007
  Peter Hall and Alexander Meister
  
• Actin network architecture and elasticity in lamellipodia of melanoma cells. New Journal of Physics, 9:420, 2007
  Frank Fleischer, Revathi Ananthakrishnan, Stefanie Eckel, Hendrik Schmidt, Josef Käs, Tatyana Svitkina, Volker Schmidt, and Michael Beil
  
• Algorithms for the computation of the Minkowski functionals of deterministic and random polyconvex sets. Image Vision Comput, 25:464–474, 2007
  Ralph Guderlei, Simone Klenk, Johannes Mayer, Volker Schmidt, and Evgeny Spodarev
  
• Deconvolving compactly supported densities. Math. Methods Statist., 16(1):63–76, 2007
  Alexander Meister
  
• Ein allgemeines Modell zur Analyse und Bewertung von Guaranteed Minimum Benefits in Fondspolicen. Bl. DGVFM, 28(2):259–290, 2007
  Daniel Bauer, Alexander Kling, and Jochen Ruß
  
• Nonparametric regression estimation in the heteroscedastic errors-in-variables problem. J. Amer. Statist. Assoc., 102(480):1416–1426, 2007
  Aurore Delaigle and Alexander Meister
  
• Optimal convergence rates for density estimation from grouped data. Statist. Probab. Lett., 77(11):1091–1097, 2007
  Alexander Meister
  
• Risk and valuation of mortality contingent catastrophe bonds
  Daniel Bauer and Florian W. Kramer
  (See online at https://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.322.931)
• Semigroup methods for the black-scholes operator and the invariance of level sets with applications in finance. Ulmer Seminare, 12, 2007
  Michael Einemann
  
• Spatial arrangement of microglia in the mouse hippocampus: a stereological study in comparison with astrocytes. Glia, 55:1334–1347, 2007
  Shozo Jinno, Frank Fleischer, Stefanie Eckel, Volker Schmidt, and Toshio Kosaka
  
• Statistical analysis of spatial point patterns on deep seismic reflection data. Geophysical Journal International, 171:823–840, 2007
  Kris Vasudevan, Stefanie Eckel, Frank Fleischer, Volker Schmidt, and Frederick Ahrens Cook
  
• Statistical metamorphic testing - testing programs with random output by means of statistical hypothesis tests and metamorphic testing. In Proceedings of the 7th International Conference on Quality Software (QSIC 2007), pages 404–409, Los Alamitos, CA (USA), 2007. IEEE Computer Society
  Ralph Guderlei and Johannes Mayer
  
• Statistical modelling of the geometry of planar sections of prostatic capillaries on the basis of stationary Strauss hard-core processes. J. Microsc., 228(3):272–281, 2007
  Torsten Mattfeldt, Stefanie Eckel, Frank Fleischer, and Volker Schmidt
  
• Testing randomized software by means of statistical hypothesis tests. In Proceedings of SOQUA’07: Fourth international workshop on Software quality assurance, pages 46–54, New York, NY (USA), 2007. ACM
  Ralph Guderlei, Johannes Mayer, Christoph Schneckenburger, and Frank Fleischer
  
• Testing randomized software by means of statistical testing. In Fourth International Workshop on Software Quality Assurance, SOQUA 2007, Dubrovnik, Croatia, Sep. 2007
  Frank Fleischer, Ralph Guderlei, Johannes Mayer, and Christoph Schneckenburger
  
• Towards automatic testing of imaging software by means of random and metamorphic testing. International Journal on Software Engineering and Knowledge Engineering (Special Issue on Quality Software), 17(6):757–781, 2007
  Ralph Guderlei and Johannes Mayer
  
• Very weak integration of transition semigroups. Ulmer Seminare, 12:285– 299, 2007
  Markus C. Kunze
  
• A universal pricing framework for guaranteed minimum benefits in variable annuities. Astin Bull., 38(2):621–651, 2008
  Daniel Bauer, Alexander Kling, and Jochen Russ
  
• An investigation of the spatial correlations for relative purchasing power in Baden-Württemberg. AStA Adv. Stat. Anal., 92(2):135–152, 2008
  Stefanie Eckel, Frank Fleischer, Pavel Grabarnik, and Volker Schmidt
  
• Assessing investment and longevity risks within immediate annuities. The Asia-Pacific Journal of Risk and Insurance, Band 3, Heft 1, 2008
  Daniel Bauer and Frederik Weber
  (See online at https://doi.org/10.2202/2153-3792.1031.)
• Benchmarking testing strategies with tools from mutation analysis. In Proceedings of the First Software Testing Benchmark Workshop (TESTBENCH’08). IEEE Computer Society, IEEE Digital Library, 2008
  Ralph Guderlei, René Just, Christoph Schneckenburger, and Franz Schweiggert
  
• Constant proportion debt obligations: An introduction. In The Definitive Guide to CDOs, pages 363–388. London: Risk Books, 2008
  Martin Hellmich and Stefan M. Kassberger
  
• Deconvolution from Fourier-oscillating error densities under decay and smoothness restrictions. Inverse Problems, 24(1):015003, 14, 2008
  Alexander Meister
  
• Density estimation with heteroscedastic error. Bernoulli, 14(2):562–579, 2008
  Aurore Delaigle and Alexander Meister
  
• Fair valuation of insurance contracts under Lévy process specifications. Insurance Math. Econom., 42(1):419–433, 2008
  Stefan M. Kassberger, Rüdiger Kiesel, and Thomas Liebmann
  
• On deconvolution with repeated measurements. Ann. Statist., 36(2):665–685, 2008
  Aurore Delaigle, Peter Hall, and Alexander Meister
  
• Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment. Insurance Math. Econom., 43(1):29–40, 2008
  Katharina Zaglauer and Daniel Bauer
  
• Stochastic Mortality Modeling and Securitization of Mortality Risk. ifa-Verlag, 2008
  Daniel Bauer
  
• Survivor bonds and generalized Thiele’s differential equation. In ISBIS-2008 International Symposium on Business and Industrial Statistics,, Prague, 2008
  Rüdiger Kiesel and Shaohui Wang
  
• The volatility of mortality. Asia-Pacific Journal of Risk and Insurance, Band 3, Heft 1, 2008
  Daniel Bauer, Matthias Börger, Jochen Ruß, and Hans-Joachim Zwiesler
  (See online at https://doi.org/10.2202/2153-3792.1035)
• Uniform and individual convergence rates for convex density classes. Statist. Decisions, 26(1):25–34, 2008
  Alexander Meister
  
• Berechnung des Solvenzkapitals für eine vereinfachte fondsgebundene Lebensversicherung. Uni Ulm, Preprint Series: 2009-12 (PDF: 52 S.)
  Michael Kochanski
  
• Consistent and rateoptimal density estimation from heteroscedastic data groups. J. Statist. Plann. Inference, 139(6):1893–1904, 2009
  Alexander Meister, Ulrich Stadtmüller, and Christian Wagner
  
• Continuity and equicontinuity of semigroups on norming dual pairs. Semigroup Forum, 79(3):540–560, 2009
  Markus C. Kunze
  
• Deconvolution problems in nonparametric statistics, volume 193 of Lecture Notes in Statistics. Springer-Verlag, Berlin, 2009
  Alexander Meister
  
• Modelling tree roots in mixed forest stands by inhomogeneous marked Gibbs point processes. Biom. J., 51(3):522–539, 2009
  Stefanie Eckel, Frank Fleischer, Pavel Grabarnik, Marian Kazda, Aila Särkkä, and Volker Schmidt
  
• On testing for local monotonicity in deconvolution problems. Statist. Probab. Lett., 79(3):312–319, 2009
  Alexander Meister
  
• Risk assessment of life insurance contracts: A comparative study in a Lévy framework. In Marcelo Cruz, editor, The Solvency II Handbook - Developing Enterprise Risk Management Frameworks in Insurance and Reinsurance Companies, 2009
  Nadine Gatzert and Stefan M. Kassberger
  
• Statistical analysis of labelling patterns of mammary carcinoma cell nuclei on histological sections. J. Microsc., 235(1):106–118, 2009
  Torsten Mattfeldt, Stefanie Eckel, Frank Fleischer, and Volker Schmidt
  
• Corporate bond defaults are consistent with conditional independence. Journal of Credit Risk, Bd. 6, Ausg. 2, (Summer 2010): 3-0_7 / 3-35
  Florian Kramer and Gunter Löffler
  
• Deconvolution from non-standard error densities under replicated measurements. Statist. Sinica, 20(4):1609–1636, 2010
  Alexander Meister and Michael H. Neumann
  
• Density deconvolution in a two-level heteroscedastic model with unknown error density. Electron. J. Stat., 4:36–57, 2010
  Alexander Meister, Ulrich Stadtmüller, and Christian Wagner
  
• Die Risikoübernahme von Versicherungsunternehmen: Eine empirische Analyse für Deutschland und Großbritannien. Zeitschrift für die gesamte Versicherungswissenschaft, 99(5):711–724, 2010
  Martin Eling and Sebastian Marek
  
• Dirichlet regularity and degenerate diffusion. Transactions of American Mathematical Society, 362:5861–5878, 2010
  Wolfgang Arendt and Michal Chovanec
  
• Estimation of the characteristics of a Lévy process. J. Statist. Plann. Inference, 140(6):1481–1496, 2010
  Achim Gegler and Ulrich Stadtmüller
  
• Nonautonomous Kolmogorov parabolic equations with unbounded coefficients. Trans. Amer. Math. Soc., 362(1):169–198, 2010
  Markus C. Kunze, Luca Lorenzi, and Alessandra Lunardi
  
• Nonparametric Berkson regression under normal measurement error and bounded design. J. Multivariate Anal., 101(5):1179–1189, 2010
  Alexander Meister
  
• On the pricing of longevity-linked securities. Insurance Math. Econom., 46(1):139–149, 2010
  Daniel Bauer, Matthias Börger, and Jochen Ruß
  
• On the risk-neutral valuation of life insurance contracts with numerical methods in view. Astin Bull., 40(1):65–95, 2010
  Daniel Bauer, Daniela Bergmann, and Rüdiger Kiesel
  
• Regular form perturbations. Riv. Math. Univ. Parma (N.S.), 1(2):231–261, 2010
  Markus Biegert, Michael Einemann, and Markus C. Kunze
  
• Solvency capital requirement for German unit-linked insurance products. German Risk and Insurance Review, 6, 2010
  Michael Kochanski
  
• A Pettis-type integral and applications to transition semigroups. Czechoslovak Math. J., 61(136)(2):437–459, 2011
  Markus C. Kunze
  
• A special multiwavelet basis for unbounded product domains. In Numerical Mathematics and Advanced Applications, pages 182–190. ENUMATH 2011, Springer-Verlag, Berlin, 2013
  Sebastian Kestler
  
• Approximating the coefficients in semilinear stochastic partial differential equations. J. Evol. Equ., 11(3):577–604, 2011
  Markus C. Kunze and Jan van Neerven
  
• Asymptotic equivalence of functional linear regression and a white noise inverse problem. Ann. Statist., 39(3):1471–1495, 2011
  Alexander Meister
  
• Automatic differentiation for the optimization of a ship propulsion and steering system: A proof of concept. J. Global Optim., 49(3):497–504, 2011
  Ralf Leidenberger and Karsten Urban
  
• Efficient and robust portfolio optimization in the multivariate generalized hyperbolic framework. Quant. Finance, 11(10):1503–1516, 2011
  Martin Hellmich and Stefan M. Kassberger
  
• Measuring the effects of geographical distance on stock market correlation. Journal of Empirical Finance, 18:237–247, 2011
  Stefanie Eckel, Gunter Löffler, Alina Maurer, and Volker Schmidt
  
• Minimal q-entropy martingale measures for exponential time-changed Lévy processes. Finance Stoch., 15(1):117–140, 2011
  Stefan M. Kassberger and Thomas Liebmann
  
• Nonparametric function estimation under Fourieroscillating noise. Statist. Sinica, 21(3):1065–1092, 2011
  Aurore Delaigle and Alexander Meister
  
• Nonparametric regression analysis for group testing data. J. Amer. Statist. Assoc., 106(494):640–650, 2011
  Aurore Delaigle and Alexander Meister
  
• On general consistency in deconvolution mode estimation. J. Statist. Plann. Inference, 141(2):771–781, 2011
  Alexander Meister
  
• Rate-optimal nonparametric estimation in classical and Berkson errors-in-variables problems. J. Statist. Plann. Inference, 141(1):102–114, 2011. With supplementary data available online
  Aurore Delaigle and Alexander Meister
  
• Solvency capital requirement for hybrid products. Eur. Actuar. J., 1(2):173–198, 2011
  Michael Kochanski and Bertel Karnarski
  
• Adaptive wavelet methods on unbounded domains. J. Sci. Comput., 53(2):342–376, 2012
  Sebastian Kestler and Karsten Urban
  (See online at https://doi.org/10.1007/s10915-011-9573-4)
• Aktuelle herausforderungen der mcev bewertung. Versicherungswirtschaft, 2:110–112, 2012
  Martin Eling and Christian Kraus
  
• Continuous dependence on the coefficients and global existence for stochastic reaction diffusion equations. J. Differential Equations, 253(3):1036– 1068, 2012
  Markus C. Kunze and Jan van Neerven
  
• Dependence modeling in non-life insurance using the bernstein copula,. Insurance: Mathematics and Economics, 50:430–436, 2012
  Dorothea Diers, Martin Eling, and Sebastian Marek
  
• Do underwriting cycles matter? an analysis based on dynamic financial analysis. Variance, 6(2):131–142, 2012
  Martin Eling and Sebastian Marek
  
• Gaussian estimates for degenerate diffusion. Proceedings of American Mathematical Society, 140:3947–3957, 2012
  Michal Chovanec
  
• Market consistent embedded value in non-life insurance: How to measure it and why. Journal of Risk Finance, 13(4):320–346, 2012
  Dorothea Diers, Martin Eling, Christian Kraus, and Andreas Reuß
  
• Modeling the forward surface of mortality. SIAM J. Financial Math., 3(1):639–666, 2012
  Daniel Bauer, Fred Espen Benth, and Rüdiger Kiesel
  
• On the calculation of the solvency capital requirement based on nested simulations. Astin Bull., 42(2):453–499, 2012
  Daniel Bauer, Andreas Ruß, and Daniela Singer
  (See online at https://doi.org/10.2143/AST.42.2.2182805)
• On the distribution of typical shortest-path lengths in connected random geometric graphs. Queueing Syst., 71(1-2):199–220, 2012.
  David Neuhäuser, Christian Hirsch, Catherine Gloaguen, and Volker Schmidt
  (See online at https://doi.org/10.1007/s11134-012-9276-z)
• Robust consumption-investment problems with random market coefficients. Math. Financ. Econ., 6(4):295–311, 2012
  Ulrich Rieder and Christoph Wopperer
  
• Space-time reduced basis methods for time-periodic partial differential equations. In MATHMOD 2012 - 7th Vienna International Conference on Mathematical Modelling, 2012
  Kristina Steih and Karsten Urban
  
• The dynamics of wealth, profit, and sustainable advantage. Strategic Management Journal, 33(12):1384–1410, 2012
  Michael G. Jacobides, Sidney G. Winter, and Stefan M. Kassberger
  
• When are path-dependent payoffs suboptimal? Journal of Banking and Finance, 36(5):1304–1310, 2012
  Stefan M. Kassberger and Thomas Liebmann
  
• A parametric copula approach for modelling shortest-path trees in telecommunication networks. In A. Dudin and K. Turck, editors, Analytical and Stochastic Modeling Techniques and Applications, volume 7984 of Lecture Notes in Computer Science, pages 324–336. Springer-Verlag, Berlin, 2013
  Dirk Neuhäuser, Christian Hirsch, Catherine Gloaguen, and Volker Schmidt
  
• An efficient approximate residual evaluation in the adaptive tensor product wavelet method. J. Sci. Comput., 57(3):439–463, 2013
  Sebastian Kestler and Rob Stevenson
  (See online at https://doi.org/10.1007/s10915-013-9712-1)
• Connectivity of random geometric graphs related to minimal spanning forests. Adv. in Appl. Probab., 45(1):20–36, 2013
  Christian Hirsch, Dirk Neuhäuser, and Volker Schmidt
  
• Eva/raroc versus mcev earnings: A unification approach. Geneva Papers on Risk and Insurance, 38:113–138, 2013
  Christian Kraus
  
• Maximum technical interest rates in life insurance in europe and the united states: An overview and comparison. The Geneva Papers, 38:354–375, 2013
  Martin Eling and Stefan Holder
  (See online at https://doi.org/10.1057/gpp.2012.41)
• Multi-year non-life insurance risk. Journal of Risk Finance, 4:353–377, 2013
  Dorothea Diers, Martin Eling, Christian Kraus, and Marc Linde
  
• On a class of martingale problems on Banach spaces. Electron. J. Probab., 18:No. 104, 30, 2013
  Markus C. Kunze
  (See online at https://doi.org/10.1214/EJP.v18-2924)
• Perturbation of strong Feller semigroups and well-posedness of semilinear stochastic equations on Banach spaces. Stochastics, 85(6):960–986, 2013
  Markus C. Kunze
  
• Research on lapse in life insurance – what has been done and what needs to be done? The Journal of Risk Finance, 14(4), 2013
  Martin Eling and Michael Kochanski
  
• The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design. Insurance Math. Econom., 53(3):491–503, 2013
  Martin Eling and Stefan Holder
  
• A critical exponent for shortest-path scaling in continuum percolation. Journal of Physics A: Mathematical and Theoretical, 47:505003, 2014
  Tim Bereton, Christian Hirsch, Volker Schmidt, and Dirk Kroese
  (See online at https://doi.org/10.1088/1751-8113/47/50/505003)
• A general framework for consistent estimation of charge transport properties via random walks in random environments. Multiscale Model. Simul., 12(3):1108– 1134, 2014
  Ole Stenzel, Christian Hirsch, Tim Brereton, Bjoern Baumeier, Denis Andrienko, Dirk Kroese, and Volker Schmidt
  (See online at https://doi.org/10.1137/130942504)
• Corporate governance and risk taking: Evidence from european insurance markets. Journal of Risk & Insurance, 2014 (81). 3-30 (oder Pages 653-682?)
  Martin Eling and Sebastian Marek
  (See online at https://doi.org/10.1111/j.1539-6975.2012.01510.x)
• Diffusion in networks with time-dependent transmission conditions. Appl. Math. Optim., 69(2):315–336, 2014
  Wolfgang Arendt, Dominik Dier, and Marjeta Kramar Fijavž
  (See online at https://doi.org/10.1007/s00245-013-9225-1)
• Fast evaluation of system matrices w.r.t. multi-tree collections of tensor product refinable basis functions. J. Comput. Appl. Math., 260:103–116, 2014
  Sebastian Kestler and Rob Stevenson
  (See online at https://doi.org/10.1016/j.cam.2013.09.015)
• Fundamental definition of the solvency capital requirement in Solvency II. ASTIN Bulletin, Volume 44, Issue 3, September 2014 , pp. 501-533
  Marcus C. Christiansen and Andreas Niemeyer
  (See online at https://doi.org/10.1017/asb.2014.10)
• Greedy sampling using nonlinear optimization. In A. Quarteroni and G. Rpzza, editors, Reduced Order Methods for modeling and computational reduction, Springer MS&A, pages 137–158. Springer-Verlag, Berlin, 2014
  Karsten Urban, Stefan Volkwein, and Oliver Zeeb
  
• Invariance of convex sets for nonautonomous evolution equations governed by forms. J. Lond. Math. Soc. (2), 89(3):903–916, 2014
  Wolfgang Arendt, Dominik Dier, and El Maati Ouhabaz
  (See online at https://doi.org/10.1112/jlms/jdt082)
• Kernel estimates for nonautonomous Kolmogorov equations with potential term. Chapter in: Favini A., Fragnelli G., Mininni R. (eds) New Prospects in Direct, Inverse and Control Problems for Evolution Equations pp 229-251, online 2014, Springer INdAM Series book series (SINDAMS, volume 10). Print ISBN 978-3-319-11405-7
  Markus C. Kunze, Luca Lorenzi, and Abdelaziz Rhandi
  (See online at https://doi.org/10.1007/978-3-319-11406-4_12)
• Maximal regularity for evolution equations governed by non-autonomous forms. Adv. Differential Equations, 19(11-12):1043–1066, 2014
  Wolfgang Arendt, Dominik Dier, Hafida Laasri, and El Maati Ouhabaz
  
• Maximal regularity for non-autonomous second order Cauchy problems. Integral Equations Operator Theory, 78(3):427–450, 2014
  Dominik Dier and El Maati Ouhabaz
  (See online at https://doi.org/10.1007/s00020-013-2109-6)
• Mean ergodic theorems on norming dual pairs. Ergodic Theory Dynam. Systems, 34(4):1210–1229, 2014
  Moritz Gerlach and Markus C. Kunze
  (See online at https://doi.org/10.1017/etds.2012.187)
• On non-coercive variational inequalities. SIAM J. Numer. Anal., 52(5):2250–2271, 2014
  Silke Glas and Karsten Urban
  (See online at https://doi.org/10.1137/130925438)
• Optimal investment with time-varying stochastic endowments. Oct 2014, PDF: 25 S.
  An Chen, Carla Mereu, and Robert Stelzer
  
• Prediction of regionalized car insurance risks based on control variates. Stat. Risk Model., 31(2):163–181, 2014
  Marcus C. Christiansen, Christian Hirsch, and Volker Schmidt
  (See online at https://doi.org/10.1515/strm-2013-1148)
• Ratio limits and simulation algorithms for the Palm version of stationary iterated tessellations. J. Stat. Comput. Simul., 84(7):1486–1504, 2014
  David Neuhäuser, Christian Hirsch, Catherine Gloaguen, and Volker Schmidt
  (See online at https://doi.org/10.1080/00949655.2012.749877)
• Reduced basis methods based upon adaptive snapshot computations. Preprint, http://citeseerx.ist.psu.edu/viewdoc, 21 S., 2014
  Kristina Steih and Karsten Urban
  
• Risk analysis of annuity conversion options in a stochastic mortality environment. ASTIN Bulletin, 44:197–236, 2014
  Alexander Kling, Jochen Ruß, and Katja Schilling
  (See online at https://doi.org/10.1017/asb.2014.7)
• A Harris-Kesten theorem for confetti percolation. Random Structures & Algorithms, Random Struct. Alg., 47, 361–385, 2015
  Christian Hirsch
  (See online at https://doi.org/10.1002/rsa.20563)
• Asymptotic properties of collective-rearrangement algorithms. ESAIM: Probability and Statistics, Volume 19, 2015, 236-250
  Christian Hirsch, Georg Gaiselmann, and Volker Schmidt
  (See online at https://doi.org/10.1051/ps/2014026)
• Decomposing life insurance liabilities into risk factors. Working paper, Preprint-Server Uni Ulm, Nov 2015, 45 S.
  Daniel Bauer, Marcus C. Christiansen, Alexander Kling, and Katja Schilling
  
• Extrapolation of stationary random fields. In Volker Schmidt, editor, Stochastic Geometry, Spatial Statistics and Random Fields: Models and Algorithms, volume 2120 of Lecture Notes in Mathematics, pages 321–368. Springer-Verlag, Berlin, 2015
  Stefan Roth, Elena Shmileva, and Evgeny Spodarev
  
• First passage percolation on random geometric graphs and an application to shortest-path trees. Advances in Applied Probability, Volume 47, Issue 2, June 2015 , pp. 328-354
  Christian Hirsch, Dirk Neuhäuser, Catherine Gloaguen, and Volker Schmidt
  (See online at https://doi.org/10.1239/aap/1435236978)
• Joint distributions for total lengths of shortest-path trees in telecommunication networks. annals of telecommunications - annales des télécommunications, June 2015, Volume 70, Issue 5–6, pp 221–232
  Dirk Neuhäuser, Christian Hirsch, Catherine Gloaguen, and Volker Schmidt
  (See online at https://doi.org/10.1007/s12243-014-0440-9)
• Modeling and forecasting duration-dependent mortality rates. Computational Statistics & Data Analysis Volume 83, March 2015, Pages 65-81
  Marcus C. Christiansen, Andreas Niemeyer, and Lucia Teigiszerová
  (See online at https://doi.org/10.1016/j.csda.2014.09.017)
• Non-autonomous maximal regularity for forms of bounded variation. JMAA Journal of Mathematical Analysis and Applications Volume 425, Issue 1, 1 May 2015, Pages 33-54
  Dominik Dier
  (See online at https://doi.org/10.1016/j.jmaa.2014.12.006)
• On the forward rate concept in multi-state life insurance. Finance and Stochastics April 2015, Volume 19, Issue 2, pp 295–327
  Marcus C. Christiansen and Andreas Niemeyer
  (See online at https://doi.org/10.1007/s00780-014-0244-9)
• On the lattice structure kernel operators. Math. Nachr., Volume 288, Issue 5-6, April 2015, Pages 584-592
  Moritz Gerlach and Markus C. Kunze
  (See online at https://doi.org/10.1002/mana.201300218)
• Optimal supervisory rules for pension funds under diverse pension security mechanisms. European Actuarial Journal, July 2015, Volume 5, Issue 1, pp 29–53
  An Chen and Simona Clever
  (See online at https://doi.org/10.1007/s13385-015-0103-x)
• Participating life insurance contracts under risk based solvency frameworks: How to increase capital effciency by product design. In: Glau K., Scherer M., Zagst R. (eds) Innovations in Quantitative Risk Management. Springer Proceedings in Mathematics & Statistics, vol 99. Springer, Cham, 2015. S. 185-208. - 978-3-319-09113-6
  Andreas Reuß, Jochen Ruß, and Jochen Wieland
  (See online at https://doi.org/10.1007/978-3-319-09114-3_11)
• Safety margins for systematic biometric and financial risk in a semimarkov life insurance framework. Risks 2015, 3(1), 35-60
  Andreas Niemeyer
  (See online at https://dx.doi.org/10.3390/risks3010035)
• Stochastic reaction-diffusion systems with Hölder continuous multiplicative noise. Stochastic Analysis and Applications, 33:2, 331-355, 2015
  Markus C. Kunze
  (See online at https://doi.org/10.1080/07362994.2014.996295)
• A reduced basis method for parabolic partial differential equations with parameter funktions an applications to option pricing. (September 26, 2016). Journal of Computational Finance, Forthcoming, 36 pages
  Antonia Mayerhofer and Karsten Urban
  
• An efficient space-time adaptive wavelet Galerkin method for time-periodic parabolic partial differential equations. Math. Comp. 85 (2016), 1309-1333
  Sebastian Kestler, Kristina Steih, and Karsten Urban
  (See online at https://doi.org/10.1090/mcom/3009)
• Diffusion with nonlocal boundary conditions. Journal of Functional Analysis, Volume 270, Issue 7, 1 April 2016, Pages 2483-2507
  Wolfgang Arendt, Stefan Kunkel, and Markus C. Kunze
  (See online at https://doi.org/10.1016/j.jfa.2016.01.025)
• Kernel estimates for nonautonomous Kolmogorov equations. Advances in Mathematics Volume 287, 10 January 2016, Pages 600-639
  Markus C. Kunze, Luca Lorenzi, and Abdelaziz Rhandi
  (See online at https://doi.org/10.1016/j.aim.2015.09.029)
• Maxwell’s equations for conductors with impedance boundary conditions: Discontinuous Galerkin and Reduced Basis Methods. ESAIM: M2AN Volume 50, Number 6, November-December 2016 pp. 1763-1787
  Kristin Kirchner, Karsten Urban, and Oliver Zeeb
  (See online at https://doi.org/10.1051/m2an/2016006)
• Methods based on spatial processes. In: Christian M. Henning, Marina Meila, Fionn Murtagh, and Roberto Rocci, editors, Handbook of Cluster Analysis. Chapman & Hall/CRC, Boca Raton, London, New York 2016. Kap. 1, 289-314
  Lisa Handl, Christian Hirsch, and Volker Schmidt
  
• On the absence of percolation in a line-segment based lilypond model. Annales de l’Institut Henri Poincaré Probabilités et Statistiques, Volume 52, Number 1 (2016), 127-145
  Christian Hirsch
  (See online at https://doi.org/10.1214/14-AIHP638)
• Option pricing under time-varying risk-aversion with applications to risk forecasting. Journal of Banking and Finance, Volume 76, March 2017, Pages 120-138
  Rüdiger Kiesel and Florentin Rahe.
  (See online at https://doi.org/10.1016/j.jbankfin.2016.11.006)