Jörn Saß

Equinor (United Kingdom) — United Kingdom

Economics, Econometrics and Finance · Social Sciences

13h-index466citations72works0.32yr avg
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Research Topics

Stochastic processes and financial applications(47), Risk and Portfolio Optimization(25), Financial Markets and Investment Strategies(20), Economic theories and models(18), Financial Risk and Volatility Modeling(13)

Publications72 total

PELVE from a regulatory perspective
arXiv (Cornell University)·2025Open Access
Bang-Ride Optimal Control: Monotonicity, External Positivity, and Fast Battery Charging
arXiv (Cornell University)·2025Open Access
Multi-asset return risk measures
Astin Bulletin·2025
SPE11: Convergence Study and Extension to Realistic Physics
SPE Reservoir Simulation Conference·2025· 2 cited
Multi-asset return risk measures
arXiv (Cornell University)·2024Open Access
Scalarized utility-based multi-asset risk measures
Scandinavian Actuarial Journal·2024Open Access
Risk measures based on target risk profiles
arXiv (Cornell University)·2024Open Access
A multiperiod model of an emissions trading system
Applied Stochastic Models in Business and Industry·2024· 1 citedOpen Access
Compression and Simulation of Large Insurance Portfolios with New Business
SSRN Electronic Journal·2024Open Access
A Multi-Period Model of an Emissions Trading System
SSRN Electronic Journal·2023· 1 citedOpen Access
SDEs with a Discontinuity at Final Time in a Stochastic Optimal Control Model of an Emissions Trading System
SSRN Electronic Journal·2023· 2 citedOpen Access
Long-term stability of a life insurer’s balance sheet
European Actuarial Journal·2022· 5 citedOpen Access
Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift
Stochastic Models·2022· 3 cited
Combining multi-asset and intrinsic risk measures
Insurance Mathematics and Economics·2022· 2 citedOpen Access
Signal-to-noise matrix and model reduction in continuous-time hidden Markov models
Mathematical Methods of Operations Research·2022Open Access
Robust utility maximizing strategies under model uncertainty and their convergence
Mathematics and Financial Economics·2022· 5 citedOpen Access
Risk reduction and portfolio optimization using clustering methods
Econometrics and Statistics·2021· 13 cited
ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT
International Journal of Theoretical and Applied Finance·2021Open Access
Efficient and Comprehensive Time-Dependent Reliability Analysis of Complex Structures by a Parameter State Model
ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems Part A Civil Engineering·2021
Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
Journal of Applied Probability·2021· 14 citedOpen Access
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Frequent Co-authors

Ralf Wunderlich(9), Dorothee Westphal(7), Christoph Belak(5), Markus Hahn(4), Frank Thomas Seifried(4), Olaf Menkens(4), Abdelali Gabih(3), Wolfgang Putschögl(3), Sebastian Geissel(3), Albrecht Irle(3), Christian Laudagé(3), Sylvia Frühwirth‐Schnatter(2), Ulrich G. Haussmann(2), Karl Kunisch(2), Holger Fink(2), Ricarda Rosemann(2), Jörg Wenzel(2), Anna-Katharina Thös(1), Vikram Krishnamurthy(1), Elisabeth Leoff(1)