Prof. Dr. Thomas Knispel, Actuary DAV
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Curriculum Vitae
Since 2018
Professor of Mathematics and Statistics, Berlin School of Economics and Law2019 – 2020
Substitution of the professorship of Probability Theory, Leibniz Universität Hannover2017 – 2018
Actuarial Consulting, Milliman GmbH, Düsseldorf2013 – 2017
Group Risk Management, Talanx AG, Hannover2009 – 2013
Postdoctoral Associate, Leibniz University Hannover2004 – 2009
PhD Student and Teaching Assistant, Institute of Mathematics, Humboldt-Universität zu Berlin, Degree: PhD (Dr. rer. nat.) with a PhD Thesis on Financial Mathematics1999 – 2004
Studies of Mathematics (Specialisation: Probability Theory, Insurance and Financial Mathematics) with Minor Subject Economics (Specialisation: Insurance Business Management and Risk Management), Humboldt-Universität zu Berlin, Degree: Diploma in Mathematics2003 – 2003
Internship, Allianz Versicherungs-AG, Berlin -
Publications
- Actuarial Insights on Cyber Risk: Challenges and Opportunities for Today’s Economy
(with M. Scherer, S. Weber and G. Zeller)
DAV Journal, 2, 16-22, 2024
- Modeling and Pricing Cyber Insurance – Idiosyncratic, Systematic, and Systemic Risks
(with K. Awiszus, I. Penner, G. Svindland, A. Voß and S. Weber)
European Actuarial Journal, 13, 1-53, 2023
- Optimal Risk Sharing in Insurance Networks
(with A. Hamm and S. Weber)
European Actuarial Journal, 10(1), 203-234, 2020
- Optimal Risk Sharing and Risk Premia in Expanding Pools
(with R. Laeven and G. Svindland)
Insurance: Mathematics and Economics, 70, 182-195, 2016
- Convex Risk Measures: Basic Facts, Law-invariance and beyond, Asymptotics for Large Portfolios
(with H. Föllmer)
Handbook of the Fundamentals of Financial Decision Making, Part II, Eds. L.C. MacLean and W.T. Ziemba, World Scientific, 2013
- Liquidity-Adjusted Risk Measures
(with W. Anderson, A. Hamm, M. Liese, T. Salfeld and S. Weber)
Mathematics and Financial Economics, 7(1), 69-91, 2013
- Convex Capital Requirements for Large Portfolios
(with H. Föllmer)
Stochastic Analysis and its Applications to Mathematical Finance, Essays in Honor of Jia-an Yan, Eds. T. Zhang and X. Y. Zhou, World Scientific, 169-195, 2012
- Black-Scholes, marktkonsistente Bewertung und Risikomaße
Deutsche Version von From the equivalence principle to market consistent valuation
(with G. Stahl and S. Weber)
Schriftenreihe des Kompetenzzentrum Versicherungswissenschaften Hannover, Band 12, VVW Verlag Karlsruhe, 2012
- Asymptotics of Robust Utility Maximization
Annals of Applied Probability 22(1), 172-212, 2012
- From the equivalence principle to market consistent valuation
(with G. Stahl and S. Weber)
Jahresbericht der Deutschen Mathematiker-Vereinigung, 113(3), 139-172, 2011
- Entropic risk measures: coherence vs. convexity, model ambiguity, and robust large deviations
(with G. Stahl and S. Weber)
Stochastics and Dynamics 11(2-3), 333-351, 2011
- Asymptotic Minimization of Robust "Downside" Risk
- Potentials of a Markov Process are Expected Suprema
(with H. Föllmer)
ESAIM - Probability and Statistics 11, 89-101, 2007
- A Representation of Excessive Functions as Expected Suprema
(with H. Föllmer)
Probability and Mathematical Statistics 26(2), 379-394, 2006
- Actuarial Insights on Cyber Risk: Challenges and Opportunities for Today’s Economy