Risk averse asymptotics in a Black-Scholes market on a finite time horizon. - Peter Grandits; Stefan Thonhauser (Math. Methods Oper. Res., 2011)

Optimal Consumption Under Deterministic Income. - Julia Eisenberg; Peter Grandits; Stefan Thonhauser (J. Optim. Theory Appl., 2014)

An optimal reinsurance problem in the Cramér-Lundberg model. - Arian Cani; Stefan Thonhauser (Math. Methods Oper. Res., 2017)

Ruin probabilities in a Markovian shot-noise environment. - Simon Pojer; Stefan Thonhauser (J. Appl. Probab., 2023)