New Publications
- Chabi-Yo, F., Huggenberger, M. and Weigert, F. (2022). Multivariate crash risk. Journal of Financial Economics, 145, 129–153.
- Bauer, J. (2020). Hedging of variable annuities under basis risk. Asia-Pacific Journal of Risk and Insurance, 14, Article 20190040.
- Albrecht, P. (2018). Tarifierung in der Privatversicherung: Big Data, Risikoadäquanz, Solidarität. Zeitschrift für die gesamte Versicherungswissenschaft, 107, 449–467.
- Albrecht, P. (2017). Bedroht Big Data Grundprinzipien der Versicherung? (I). Zeitschrift für Versicherungswesen : ZfV, 68, 157–162.
- Albrecht, P. (2017). Bedroht Big Data Grundprinzipien der Versicherung? (II.). Zeitschrift für Versicherungswesen : ZfV, 68, 189–192.
- Albrecht, P. and Huggenberger, M. (2017). The fundamental theorem of mutual insurance. Insurance : Mathematics & Economics, 75, 180–188.
- Albrecht, P. (2015). Versagt die Bundesregierung beim Erklären der Zinszusatzreserve? Zeitschrift für Versicherungswesen : ZfV, 66, 243–244.
- Albrecht, P. (2015). Zinszusatzreserve: Felix Austria? Zeitschrift für Versicherungswesen : ZfV, 66, 346–348.
- Albrecht, P. and Weinmann, H. (2015). Kollidiert die Zinszusatzreserve mit einzelvertraglichen Ansprüchen? Zeitschrift für Versicherungswesen : ZfV, 66, 306.
- Albrecht, P. and Weinmann, H. (2015). Transparenz und Gerechtigkeit: Eine Analyse aus fundamentaler Perspektive (I). Versicherungswirtschaft, 70, 80–83.
- Albrecht, P. and Weinmann, H. (2015). Transparenz und Gerechtigkeit: Eine Analyse aus fundamentaler Perspektive (II). Versicherungswirtschaft, 70, 60–61.
- Albrecht, P. and Weinmann, H. (2015). Zur Diskussion um die Zinszusatzreserve in der Lebensversicherung: Legaler Betrug oder mangelndes Produktverständnis? Zeitschrift für Versicherungswesen : ZfV, 66, 137–139.
- Albrecht, P. (2019). Finanzmathematik für Wirtschaftswissenschaftler : Grundlagen, Anwendungsbeispiele, Fallstudien, Aufgaben und Lösungen. Stuttgart: Schäffer-Poeschel Verlag.
- Albrecht, P. and Maurer, R. (2016). Investment- und Risikomanagement : Modelle, Methoden, Anwendungen. Stuttgart: Schäffer-Poeschel.
- Albrecht, P. and Huggenberger, M. (2015). Finanzrisikomanagement : Methoden zur Messung, Analyse und Steuerung finanzieller Risiken. Stuttgart: Schäffer-Poeschel.
- Rickenberg, L. (2019). Risk-managed momentum strategies. SSRN Working Paper Series. Rochester, NY.
- Rickenberg, L. (2019). Tail risk targeting: Target VaR and CVaR strategies. SSRN Working Paper Series. Rochester, NY.
- Schmidt, C. (2019). Bank leverage, capital requirements and the implied cost of (equity) capital. Rochester, NY: SSRN.
- Chabi-Yo, F., Huggenberger, M. and Weigert, F. (2018). Multivariate crash risk. SSRN Working Paper Series. Rochester, NY.
- Huggenberger, M., Zhang, C. and Zhou, T. (2017). Forward-looking tail risk measures. SSRN Working Paper Series. Rochester, NY.
- Huggenberger, M., Albrecht, P. and Pekelis, A. (2016). Tail risk hedging and regime switching. Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft, 186. Mannheim.
- Albrecht, P. (2015). Ausgleich im Kollektiv, Gesetz der großen Zahlen und Nutzen der Versicherung. Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft, 190. Mannheim.
- Albrecht, P. (2015). Not a fallacy of the law of large numbers : pooling risks and the utility of insurance. Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft, 191. Mannheim.
- Bauer, J. and Huggenberger, M. (2021). Option-implied solvency capital requirements. Jahrestagung Deutscher Verein für Versicherungswissenschaft, Online.
- Bauer, J. and Huggenberger, M. (2020). Option-implied solvency capital requirements. 4th World Risk and Insurance Economics Congress (WRIEC), Online.
- Bauer, J. and Huggenberger, M. (2020). Option-implied solvency capital requirements. International Risk Management Conference IRMC 2020, Online.
- Bauer, J. and Huggenberger, M. (2020). Option-implied solvency capital requirements. 11th CEQURA Conference on Advances in Financial and Insurance Risk Management, Online.
- Huggenberger, M. and Albrecht, P. (2020). Risk pooling and solvency regulation: A policyholder’s perspective. World Risk and Insurance Economics Congress WRIEC 2020, Online.
- Schmidt, C., Theissen, E. and Dinger, V. (2020). The real effects of distressed bank mergers. American Finance Association 2020 Annual Meeting, San Diego, CA.
- Bauer, J. (2019). Hedging of variable annuities under basis risk. Asia-Pacific Risk and Insurance Association 23rd Annual Conference 2019, Seoul, South Korea.
- Bauer, J. (2019). Hedging of variable annuities under basis risk. 87th Annual Meeting of the American Risk and Insurance Association, ARIA 2019, San Francisco, CA.
- Bauer, J. (2019). Hedging of variable annuities under basis risk. Jahrestagung des Deutschen Vereins für Versicherungswissenschaft 2019, Berlin, Germany.
- Chabi-Yo, F., Huggenberger, M. and Weigert, F. (2019). Multivariate crash risk. Twelfth Annual Society For Financial Econometrics (SoFiE) Conference, Shanghai, China.
- Chabi-Yo, F., Huggenberger, M. and Weigert, F. (2019). Multivariate crash risk. 2019 China International Conference in Finance, Guangzhou, China.
- Chabi-Yo, F., Huggenberger, M. and Weigert, F. (2019). Multivariate crash risk. XIIth International Risk Management Conference 2019, Milan, Italy.
- Schmidt, C. (2019). Bank leverage, capital requirements and bank's implied cost of (equity) capital. American Finance Association 2019 Annual Meeting, Atlanta, GA.
- Schmidt, C., Schneider, Y., Steffen, S. and Streitz, D. (2019). Capital misallocation and innovation. Christmas Meeting of the German Economists Abroad GEA 2019, Frankfurt, Germany.
- Schmidt, C., Schneider, Y., Steffen, S. and Streitz, D. (2019). Capital misallocation and innovation. Banken-Forschungsworkshop 2019, Münster, Germany.
- Albrecht, P. (2018). Tarifierung in der Privatversicherung : Big Data, Risikoadäquanz, Solidarität. Jahrestagung des Deutschen Vereins für Versicherungswissenschaft 2018, München, Germany.
- Chabi-Yo, F., Huggenberger, M. and Weigert, F. (2018). Multivariate crash risk. 25th Annual Meeting of the German Finance Association (DGF) 2018, Trier, Germany.
- Huggenberger, M., Zhang, C. and Zhou, T. (2018). Forward-looking tail risk measures. 11th Annual SoFiE Conference 2018, Lugano, Switzerland.
- Huggenberger, M., Zhang, C. and Zhou, T. (2018). Forward-looking tail risk measures. 11th International Risk Management Conference 2018, Paris, France.
- Huggenberger, M., Zhang, C. and Zhou, T. (2018). Forward-looking tail risk measures. 2018 China International Conference in Finance, Tianjin, China.
- Schmidt, C. (2018). Bank leverage, capital requirements and bank's implied cost of (equity) capital. Barcelona GSE Banking Summer School 2018, Barcelona, Spain.
- Schmidt, C. (2018). Bank leverage, capital requirements and bank's implied cost of (equity) capital. DGF Doctoral Tutorial 2018, Trier, Germany.
- Schmidt, C. (2018). Bank leverage, capital requirements and banks' implied cost of (equity) capital. 25th Annual Meeting of the German Finance Association (DGF) 2018, Trier, Germany.
- Huggenberger, M., Zhang, C. and Zhou, T. (2017). Forward-Looking Tail Risk Measures. IFABS 2017 Oxford Conference, Oxford, Great Britain.
- Huggenberger, M., Zhang, C. and Zhou, T. (2017). Forward-Looking Tail Risk Measures. 24th Annual Meeting of the German Finance Association (DGF), Ulm, Germany.
- Huggenberger, M., Albrecht, P. and Pekelis, A. (2015). Tail Risk Hedging and Regime Switching. International Finance and Banking Society Conference, Hangzhou, China.
- Huggenberger, M., Albrecht, P. and Pekelis, A. (2015). Tail Risk Hedging and Regime Switching. Annual Meeting of The Asian Finance Association (AsianFA), Changsha, China.
- Huggenberger, M., Albrecht, P. and Pekelis, A. (2015). Tail Risk Hedging and Regime Switching. World Risk and Insurance Economics Congress, München, Germany.
- Huggenberger, M., Albrecht, P. and Pekelis, A. (2015). Tail Risk Hedging and Regime Switching. China International Conference in Finance, Shenzhen, China.