Mitja Stadje

Universität Ulm — Germany

Economics, Econometrics and Finance · Social Sciences

12h-index550citations73works0.32yr avg
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Research Topics

Stochastic processes and financial applications(56), Risk and Portfolio Optimization(38), Insurance, Mortality, Demography, Risk Management(20), Economic theories and models(14), Insurance and Financial Risk Management(12)

Publications73 total

Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation
arXiv (Cornell University)·2025Open Access
Mean-variance optimization for participating life insurance contracts
Insurance Mathematics and Economics·2025Open Access
Higher-Order Ambiguity Attitudes
arXiv (Cornell University)·2025Open Access
The C0,1 Itô-Ventzell formula for weak Dirichlet processes
Electronic Communications in Probability·2025Open Access
Time-consistent asset allocation for risk measures in a Lévy market
European Journal of Operational Research·2024Open Access
Mean-Variance Optimization for Participating Life Insurance Contracts
arXiv (Cornell University)·2024Open Access
Robust Multiple Stopping—A Duality Approach
Mathematics of Operations Research·2024· 1 cited
On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
Insurance Mathematics and Economics·2024· 2 citedOpen Access
Efficient drift parameter estimation for ergodic solutions of backward SDEs
Scandinavian Journal of Statistics·2024Open Access
A gradient method for high-dimensional BSDEs
Monte Carlo Methods and Applications·2024Open Access
A Rank-Dependent Theory for Decision under Risk and Ambiguity
arXiv (Cornell University)·2023Open Access
Non-concave Expected Utility Optimization with Uncertain Time Horizon
Applied Mathematics & Optimization·2023· 5 citedOpen Access
The $C^{0,1}$ Itô-Ventzell formula for weak Dirichlet processes
arXiv (Cornell University)·2023Open Access
Robustness of Delta Hedging in a Jump-Diffusion Model
SIAM Journal on Financial Mathematics·2023· 2 cited
Time-Consistent Asset Allocation for Risk Measures in a Lévy Market
ArXiv.org·2023Open Access
On the investment strategies in occupational pension plans
Quantitative Finance·2021· 7 cited
On the Investment Strategies in Occupational Pension Plans
arXiv (Cornell University)·2021Open Access
Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
Insurance Mathematics and Economics·2021· 3 cited
On The Investment Strategies in Occupational Pension Plans
SSRN Electronic Journal·2021Open Access
Success and failure of the financial regulation on a surplus-driven financial company
SSRN Electronic Journal·2021· 1 citedOpen Access
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Frequent Co-authors

Martijn Pistorius(10), Dilip B. Madan(8), Antoon Pelsser(7), Thai Nguyen(7), Roger J. A. Laeven(6), An Chen(6), Frank Bosserhoff(5), Patrick Cheridito(4), John Schoenmakers(4), Nils Sørensen(3), Alexander Schied(2), Marcel Ladkau(2), Christian Dehm(2), Kossi Gnameho(2), Fangyuan Zhang(2), Nikolaus Schweizer(2), Volker Krätschmer(1), A. Chen(1), Masaaki Fukasawa(1), An Chen(1)