11 citations · 26 across the 4 of their papers we have counts for
4 papers
Modeling and Pricing Cyber Insurance -- Idiosyncratic, Systematic, and Systemic Risks
Kerstin Awiszus, Thomas Knispel, Irina Penner +3
The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the underlying mathematical concept…
Asymptotic Analysis of Risk Premia Under Linear Risk Sharing with Law-Invariant Risk Measures
Thomas Knispel, Roger J. A. Laeven, Gregor Svindland
We investigate the asymptotic behavior of the risk premium associated with a linear risk sharing contract in an infinitely expanding risk pool. We consider general preferences repr…
Robust Optimal Risk Sharing and Risk Premia in Expanding Pools
Thomas Knispel, Roger J. A. Laeven, Gregor Svindland
We consider the problem of optimal risk sharing in a pool of cooperative agents. We analyze the asymptotic behavior of the certainty equivalents and risk premia associated with the…
Asymptotics of robust utility maximization
Thomas Knispel
For a stochastic factor model we maximize the long-term growth rate of robust expected power utility with parameter . Using duality methods the problem is reformulated a…