77 citations · 109 across the 22 of their papers we have counts for
24 papers
Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation
Felix Fießinger, Mitja Stadje
This manuscript develops a dynamic capital structure model of life insurance companies offering participating contracts. Specifically, we explain why life insurers offer guaranteed…
Higher-Order Ambiguity Attitudes
Mücahit Aygün, Roger J. A. Laeven, Mitja Stadje
We introduce a model-free preference under ambiguity, as a primitive trait of behavior, which we apply once as well as repeatedly. Its single and double application yield simple, e…
Mean-Variance Optimization for Participating Life Insurance Contracts
Felix Fießinger, Mitja Stadje
This paper studies the equity holders' mean-variance optimal portfolio choice problem for (non-)protected participating life insurance contracts. We derive explicit formulas for th…
A Rank-Dependent Theory for Decision under Risk and Ambiguity
Roger J. A. Laeven, Mitja Stadje
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation on the space of random v…
The Itô-Ventzell formula for weak Dirichlet processes
Felix Fießinger, Mitja Stadje
This paper proves an extension of the Itô-Ventzell formula that applies to stochastic flows in for continuous weak Dirichlet processes. We apply this theorem, for example…
Time-Consistent Asset Allocation for Risk Measures in a Lévy Market
Felix Fießinger, Mitja Stadje
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward fu…