Profile of Dr. habil. Jörg Wenzel

Fields of Activity / Competences

• Design and development of efficient algorithms for fraud detection
• Monte-Carlo methods, especially Multilevel and Markov chain
• Validation models and algorithms for structured products and derivatives 
• Modeling and simulation of pension products

Publications

Major Publications

• Laudagé, C.; Sass, J.; Wenzel, J.:
  Combining multi-asset and intrinsic risk measures.
  Insurance: Mathematics and Economics, Vol. 106, 254-269 (2022).
• Dächert, K.; Grindel, R.; Leoff, E.; Mahnkopp, J.; Schirra, F.; Wenzel, J.:
  Multicriteria asset allocation in practice.
  OR Spectrum, Vol. 44, 349-373 (2022).
• Desmettre, S.; Wenzel, J.:
  On the Valuation of Discrete Asian Options in High Volatility Environments.
  Applied Mathematical Finance, Vol. 28, 508-533 (2021).
• Laudagé, C.; Desmettre, S.; Wenzel, J.:
  Severity modeling of extreme insurance claims for tariffication.
  Insurance: Mathematics and Economics, Vol. 88, 77-92 (2019).
• Pietsch, A.; Wenzel, J.:
  Orthonormal systems and Banach space geometry.
  Cambridge University Press, S. 563 (1998).