Mathematisches Institut der Universität München
Email: liebrich (at) math.lmu.de
Tel: +49 (0)89 2180 4633
Office hours: Wednesday, 3-4p.m
I am a PhD student supervised by Gregor Svindland and a member of the workgroup "Stochastics and Financial Mathematics" at the Department of Mathematics of the LMU. For more information please see my academic CV.
Research InterestsMy research focuses on the mathematical foundations underlying problems arising from decisions made under the influence of imperfect knowledge and financial mathematics. More specifically I am interested in
- Orlicz space-type methods in risk theory
- Uncertainty robust model spaces
- (Partial) law-invariance/probabilistic sophistication
- Risk sharing, utility maximisation and equilibrium problems
- F.-B. Liebrich & G. Svindland: Efficient Allocations Under Law-Invariance:
a Unifying Approach.
- F.-B. Liebrich & G. Svindland: Risk Sharing for Capital Requirements with Multidimensional Security Markets.
- F.-B. Liebrich & G. Svindland: Model Spaces for Risk Measures.
Insurance: Mathematics and Economics, Vol. 77, pp. 150-165 (2017)
- Risk Sharing for Capital Requirements with Multidimensional Security Markets, Quantitative Finance Workshop 2019, ETH Zurich, Switzerland. January 23-25, 2019
- Sharing utility and risk under (partial) law-invariance, University Milano-Bicocca, Milan, Italy. November 22, 2018
- Uncertainty Robust Spaces, Robust Techniques in Quantitative Finance, Oxford, UK. September 03-07, 2018
- Efficient allocations under probabilistic sophistication: a unifying approach, Doktorand*innentreffen Stochastik 2018, Essen, Germany. August 01-03, 2018
- Risk Sharing for Capital Requirements with Multidimensional Security Markets, 10th World Congress of the Bachelier Finance Society, Dublin, Ireland. July 16-20, 2018
- Uncertainty Robust Model Spaces, Model Uncertainty & Robust Finance Workshop, Milan, Italy. March 14-17, 2018
- Risk Sharing with Higher Dimensional Security Markets, SIAM Student Chapter, University of Warwick, UK. February 28, 2018
- Model Spaces for Risk Measures, Doktorandentreffen Stochastik 2017 Kaiserslautern, Germany. August 02-04, 2017
- Wahrscheinlichkeitstheorie (Sommersemester 2019)
- Stochastik (Wintersemester 2018/19)
- Stochastische Analysis (Sommersemester 2018)
- Finanzmathematik in diskreter Zeit (Wintersemester 2017/18)
- Mathematische Statistik (Sommersemester 2017)
- Optimierung (Wintersemester 2016/17)
- Wahrscheinlichkeitstheorie (Sommersemester 2016)