Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...

Die vorliegende Doktorarbeit bündelt die Veröffentlichungen des Autors und seiner Koautoren zu den Themen e-Learning und statistischer Software. Die Kapitel 2 bis 5 sind Aspekten des e-Learning gewidmet, die Kapitel 6 bis 9 beschreiben die Entwicklung der statistischen Programmiersprache...

Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk-neutral density estimator and the subjective density estimator. The...

Systemic weather risk is a major obstacle for the formation of private (nonsubsidized)crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations.For that purpose copula...

Systemic weather risk is a major obstacle for the formation of private (nonsubsidized) crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations. For that purpose copula...

Diese Dissertation beinhaltet vier Aufsätze, die zur Literatur der Panelkointegrationsmethodik beitragen. Der erste Aufsatz vergleicht die Eigenschaften der vier Residuen-basierten Panelkointegrationstests von Pedroni (1995, 1999) mit dem Likelihood-basierten Panelkointegrationstest von Larsson...

We propose the systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market and balance sheet information, we define...

Diese Arbeit widmet sich der Untersuchung der Marktmikrostrukturen der London International Financial Futures and OptionsExchange (LIFFE) und der Deutschen Terminbörse (DTB) auf Basis einer Verweildaueranalyse von Transaktionsdaten.Insbesondere ist dabei von Interesse, durch welche...