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



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).

A collection of publications by Jörg Wenzel in the Fraunhofer-Publica