Research Focus

Markus is interested in quantitative risk management, insurance, and asset pricing. His work explores new techniques for managing and pricing the risk of extreme events. Furthermore, Markus studies the benefits of risk sharing in insurance and the design of solvency regulation.

His recent research is focused on the following areas:

  • the interaction of risk pooling and insurance regulation
  • new ideas for capital requirements in insurance
  • measurement and management of market tail risk
  • pricing of tail risk in the cross section of stock returns
  • exploiting the forward-looking information in option prices for risk management