Teaching
Diploma and Master's theses
Topics of diploma and master theses supervised by me can be found here.
General information for Master's theses can be found here.
Training as an actuary
Information on training to become an actuary can be found here
Research
Research areas
- Stochastic processes and control
- Stochastic orders
- Financial and actuarial mathematics
- Stochastic Networks
Publications
You can find a list of my publications here
Preprints
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Bäuerle, N.; Göll, T.; Jaśkiewicz, A.
Yet Another Distributional Bellman Equation
2025. arxiv. doi:10.48550/arXiv.2505.21098 -
Bäuerle, N.; Jaśkiewicz, A.
Time-consistency in the mean-variance problem: A new perspective
2023. doi:10.48550/arXiv.2301.11218 -
Bäuerle, N.; Leimcke, G.
Bayesian optimal investment and reinsurance with dependent financial and insurance risks
2021. doi:10.48550/arXiv.2103.05777 -
Bäuerle, N.; Gilitschenski, I.; Hanebeck, U. D.
Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations
2014
Books
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Bäuerle, N.; Rieder, U.
Finanzmathematik in diskreter Zeit
2017. Springer. doi:10.1007/978-3-662-53531-8 -
Baeuerle, N.; Mueller, A.
Modeling dependencies in multivariate risk portfolios
1997. Karlsruhe 1997. (Technical report. Institut für Wirtschaftstheorie und Operations Research, Universität Karlsruhe. 510.)
Articles in journals and conference proceedings
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Bayraktar, E.; Bäuerle, N.; Kara, A. D.
Finite Approximations for Mean-Field Type Multi-agent Control and Their Near Optimality
2025. Applied Mathematics and Optimization, 92 (1), 7. doi:10.1007/s00245-025-10279-x -
Bäuerle, N.; Jaskiewicz, A.; Nowak, A. S.
Mean–Variance optimization in discrete-time decision processes with general utility function
2025. Automatica, 174, Art.-Nr.: 112142. doi:10.1016/j.automatica.2025.112142 -
Bäuerle, N.; Göll, T.
Relative portfolio optimization via a value at risk based constraint
2025. Decisions in economics and finance. doi:10.1007/s10203-025-00541-w -
Bäuerle, N.; Jaśkiewicz, A.
Time-consistency in the mean-variance problem: A new perspective
2025. IEEE Transactions on Automatic Control, 70 (1), 251–262. doi:10.1109/TAC.2024.3420413 -
Bäuerle, N.; Pitera, M.; Stettner, Ł.
Blackwell Optimality and Policy Stability for Long-Run Risk-Sensitive Stochastic Control
2024. SIAM Journal on Control and Optimization, 62 (6), 3172 – 3194. doi:10.1137/24M1671335 -
Bäuerle, N.; Höfer, S.
Continuous-Time Mean Field Markov Decision Models
2024. Applied Mathematics & Optimization, 90 (1), 12. doi:10.1007/s00245-024-10154-1 -
Acuña Espinoza, E.; Loritz, R.; Álvarez Chaves, M.; Bäuerle, N.; Ehret, U.
To bucket or not to bucket? Analyzing the performance and interpretability of hybrid hydrological models with dynamic parameterization
2024. Hydrology and Earth System Sciences, 28 (12), 2705 – 2719. doi:10.5194/hess-28-2705-2024 -
Bäuerle, N.; Mahayni, A.
Optimal investment in ambiguous financial markets with learning
2024. European Journal of Operational Research, 315 (1), 393–410. doi:10.1016/j.ejor.2024.01.022 -
Bäuerle, N.; Jaśkiewicz, A.
Markov decision processes with risk-sensitive criteria: an overview
2024. Mathematical Methods of Operations Research, 99, 141–178. doi:10.1007/s00186-024-00857-0 -
Bäuerle, N.; Göll, T.
Nash equilibria for relative investors with (non)linear price impact
2024. Mathematics and Financial Economics, 18, 27–48. doi:10.1007/s11579-024-00356-0 -
Bäuerle, N.
Mean Field Markov Decision Processes
2023. Applied Mathematics & Optimization, 88 (1), Art.-Nr.: 12. doi:10.1007/s00245-023-09985-1 -
Bäuerle, N.; Chen, A.
Optimal Investment under Partial Information and Robust VAR-Type Constraint
2023. International journal of theoretical and applied finance, 26 (4-5), Art.-Nr.: 04n05. doi:10.1142/S0219024923500176 -
Bäuerle, N.; Barz, C.
Risk-Sensitive Markov Decision Processes
2023. Encyclopedia of Optimization. Ed.: P. Pardalos, 1–9. doi:10.1007/978-3-030-54621-2_819-1 -
Bäuerle, N.; Glauner, A.
Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures
2022. Mathematics of operations research, 47 (3), 707–2545. doi:10.1287/moor.2021.1187 -
Bäuerle, N.; Glauner, A.
Markov decision processes with recursive risk measures
2022. European Journal of Operational Research, 296 (3), 953–966. doi:10.1016/j.ejor.2021.04.030 -
Bäuerle, N.; Göll, T.
Nash equilibria for relative investors via no-arbitrage arguments
2022. Mathematical Methods of Operations Research, 97 (1), 1–23. doi:10.1007/s00186-022-00804-x -
Bäuerle, N.; Leimcke, G.
Bayesian optimal investment and reinsurance with dependent financial and insurance risks
2022. Statistics and Risk Modeling, 39 (1-2), 23–47. doi:10.1515/strm-2021-0029 -
Bäuerle, N.; Glauner, A.
Q-Learning for Distributionally Robust Markov Decision Processes
2021. Modern Trends in Controlled Stochastic Processes: Theory and Applications, V.III. Ed.: A. Piunovskiy, 108–128, Springer. doi:10.1007/978-3-030-76928-4_6 -
Bäuerle, N.; Glauner, A.
Minimizing spectral risk measures applied to Markov decision processes
2021. Mathematical methods of operations research, 94, 35–69. doi:10.1007/s00186-021-00746-w -
Bauerle, N.; Schmithals, D.
CONSISTENT UPPER PRICE BOUNDS for EXOTIC OPTIONS
2021. International Journal of Theoretical and Applied Finance, 24 (2), Art.-Nr.: 2150011. doi:10.1142/S0219024921500114 -
Bäuerle, N.; Jaśkiewicz, A.; Nowak, A. S.
Stochastic Dynamic Programming with Non-linear Discounting
2021. Applied mathematics & optimization, 84, 2819–2848. doi:10.1007/s00245-020-09731-x -
Bäuerle, N.; Leimcke, G.
Robust optimal investment and reinsurance problems with learning
2021. Scandinavian actuarial journal, 2021 (2), 82–109. doi:10.1080/03461238.2020.1806917 -
Bäuerle, N.; Groll, L.; Gruber, D.; Neukirch, S.; Richert, A.
Ausbreitung von Gerüchten – mit Markov‐Ketten modellieren
2020. Stochastik in der Schule, 40 (3), 2–7 -
Bäuerle, N.; Rieder, U.
Markov decision processes under ambiguity
2020. Stochastic modeling and control : Simons semester no.10. Ed.: J. Jakubowski, 25–39, Polish Academy of Sciences. doi:10.4064/bc122-2 -
Bäuerle, N.; Desmettre, S.
Portfolio Optimization in Fractional and Rough Heston Models
2020. SIAM journal on financial mathematics, 11 (1), 240–273. doi:10.1137/18M1217243 -
Bäuerle, N.; Shushi, T.
Risk management with Tail Quasi-Linear Means
2020. Annals of actuarial science, 14 (1), 170–187. doi:10.1017/S1748499519000113 -
Bäuerle, N.; Schmithals, D.
Martingale optimal transport in the discrete case via simple linear programming techniques
2019. Mathematical methods of operations research, 90 (3), 453–476. doi:10.1007/s00186-019-00684-8 -
Bäuerle, N.; Chen, A.
Optimal retirement planning under partial information
2019. Statistics & risk modeling, 36 (1-4), 37–55. doi:10.1515/strm-2018-0027 -
Bäuerle, N.; Lange, D.
Optimal Control of Partially Observable Piecewise Deterministic Markov Processes
2018. SIAM journal on control and optimization, 56 (2), 1441–1462. doi:10.1137/17M1134731 -
Bäuerle, N.; Popp, A.
Risk-sensitive stopping problems for continuous-time Markov chains
2018. Stochastics, 90 (3), 411–431. doi:10.1080/17442508.2017.1357724 -
Albrecher, H.; Bäuerle, N.; Bladt, M.
Dividends: From refracting to ratcheting
2018. Insurance, 83, 47–58. doi:10.1016/j.insmatheco.2018.09.003 -
Bäuerle, N.; Glauner, A.
Optimal risk allocation in reinsurance networks
2018. Insurance, 82, 37–47. doi:10.1016/j.insmatheco.2018.06.009 -
Bäuerle, N.; Jas̈kiewicz A.
Stochastic optimal growth model with risk sensitive preferences
2018. Journal of economic theory, 173, 181–200. doi:10.1016/j.jet.2017.11.005 -
Bäuerle, N.; Rieder, U.
Partially observable risk-sensitive Markov decision processes
2017. Mathematics of operations research, 42 (4), 1180–1196. doi:10.1287/moor.2016.0844 -
Bäuerle, N.; Grether, S.
Extremal behavior of long-term investors with power utility
2017. International journal of theoretical and applied finance, 20 (05), Art.Nr. 1750029. doi:10.1142/S0219024917500297 -
Bäuerle, N.; Jaśkiewicz, A.
Optimal dividend payout model with risk sensitive preferences
2017. Insurance, 73, 82–93. doi:10.1016/j.insmatheco.2017.01.006 -
Bäuerle, N.; Rieder, U.
Zero-sum risk-sensitive stochastic games
2017. Stochastic processes and their applications, 127 (2), 622–642. doi:10.1016/j.spa.2016.06.020 -
Bäuerle, N.; Riess, V.
Gas storage valuation with regime switching
2016. Energy systems, 7 (3), 499–528. doi:10.1007/s12667-015-0178-0 -
Bäuerle, N.; Rieder, U.
Partially observable risk-sensitive stopping problems in discrete time
2015. Modern Trends in Controlled Stochastic Processes : Theory and Applications. Vol.: II. Ed.: A. Piunovskiy, 12–31, Luniver Press -
Bäuerle, N.; Stein, O.
Operations Research: Mathematical Methods
2015. Wiley StatsRef: Statistics Reference Online. Ed.: N. Balakrishnan, 1–8, John Wiley and Sons. doi:10.1002/9781118445112.stat04584.pub2 -
Baeuerle, N.; Jaskiewicz, A.
Risk-sensitive dividend problems
2015. European journal of operational research, 242 (1), 161–171. doi:10.1016/j.ejor.2014.10.046 -
Baeuerle, N.; Grether, S.
Complete markets do not allow free cash flow streams
2015. Mathematical methods of operations research, 81 (2), 137–146. doi:10.1007/s00186-014-0489-2 -
Bäuerle, N.; Rieder, U.
More Risk-Sensitive Markov Decision Processes
2014. Mathematics of operations research, 39 (1), 105–120. doi:10.1287/moor.2013.0601 -
Bäuerle, N.; Bayraktar, E.
A note on applications of stochastic ordering to control problems in insurance and finance
2014. Stochastics, 86 (2), 330–340. doi:10.1080/17442508.2013.778861 -
Bäuerle, N.
Die Fachgruppe Stochastik in der DMV
2013. Mitteilungen der Deutschen Mathematiker-Vereinigung, 21 (1), 14–16. doi:10.1515/dmvm-2013-0009 -
Bäuerle, N.; Rieder, U.
Optimal Deterministic Investment Strategies for Insurers
2013. Risks, 1 (3), 101–118. doi:10.3390/risks1030101 -
Bäuerle, N.; Li, Z.
Optimal portfolios for financial markets with Wishart volatility
2013. Journal of applied probability, 50 (4), 1025–1043. doi:10.1239/jap/1389370097 -
Bäuerle, N.; Pfeiffer, R.
A joint stock and bond market based on the hyperbolic Gaussian model
2013. European actuarial journal, 3 (1), 229–248. doi:10.1007/s13385-012-0060-6 -
Bäuerle, N.; Rieder, U.
Control improvement for jump-diffusion processes with applications to finance
2012. Applied Mathematics & Optimization, 65 (1), 1–14. doi:10.1007/s00245-011-9141-1 -
Bäuerle, N.; Schmock, U.
Dependence properties of dynamic credit risk models
2012. Statistics & risk modeling, 29, 243–269. doi:10.1524/strm.2012.1101 -
Bäuerle, N.; Urban, S.; Veraart, L. A. M.
The relaxed investor with partial information
2012. SIAM Journal of Financial Mathematics, 3, 304–327. doi:10.1137/100813646 -
Bäuerle, N.; Blatter, A.
Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
2011. Insurance: Mathematics and Economics, 48 (3), 398–405. doi:10.1016/j.insmatheco.2011.01.008 -
Bäuerle, N.; Veraart, L. A. M.
Einblicke in die Finanzmathematik: Optionsbewertung und Portfolio-Optimierung
2011. Facettenreiche Mathematik - Einblicke in die moderne mathematische Forschung für alle, die mehr von Mathematik verstehen wollen. Hrsg.: K. Wendland, 19–42, Vieweg Verlag -
Bäuerle, N.; Ott, J.
Markov Decision Processes with Average-Value-at-Risk criteria
2011. Mathematical Methods of Operations Research, 74 (3), 361–379. doi:10.1007/s00186-011-0367-0 -
Albrecher, H.; Bäuerle, N.; Thonhauser, S.
Optimal dividend-payout in random discrete time
2011. Statistics & risk modeling, 28 (3), 251–276. doi:10.1524/stnd.2011.1097 -
Bäuerle, N.; Manger, A.
Dependence Properties of exit times with applications to risk management
2010. International Journal of Operations Research : IJOR, 7 (4), 33–39 -
Pfeiffer, R.; Bierbaum, J.; Kunze, M.; Quapp, N.; Bäuerle, N.
Zinsmodelle für Versicherungen - Diskussion der Anforderungen und Vergleich der Modelle von Hull-White und Cairns
2010. Blätter der DGVFM, 31 (2), 261–290. doi:10.1007/s11857-010-0113-3 -
Bäuerle, N.; Rieder, U.
Optimal control of piecewise deterministic Markov processes with finite time horizon
2010. Modern Trends in Controlled Stochastic - Processes - Theory and Applications. Ed.: A. B. Piunovskiy, 123–143, Luniver -
Bäuerle, N.; Rieder, U.
Markov Decision Processes
2010. Jahresbericht der deutschen Mathematiker-Vereinigung (DMV), 112 (4), 217–243. doi:10.1365/s13291-010-0007-2 -
Bäuerle, N.; Mundt, A.
Dynamic Mean-Risk optimization in a binomial model
2009. Mathematical Methods of Operations Research, 70 (2), 219–239. doi:10.1007/s00186-008-0267-0 -
Bäuerle, N.; Rieder, U.
MDP Algorithms for portfolio optimization problems in pure jump markets
2009. Finance and Stochastics, 13 (4), 591–611. doi:10.1007/s00780-009-0093-0 -
Bäuerle, N.; Blatter, A.; Müller, A.
Dependence properties and comparison results for Lévy processes
2008. Mathematical Methods of Operations Research - ZOR, 67 (1), 161–186. doi:10.1007/s00186-007-0185-6 -
Bäuerle, N.; Grübel, R.
Multivariate risk processes with interacting intensities
2008. Advances in Applied Probability, 40 (2), 578–601. doi:10.1239/aap/1214950217 -
Kötter, M.; Bäuerle, N.
The periodic risk model with investment
2008. Insurance Mathematics and Economics, 42 (3), 962–967. doi:10.1016/j.insmatheco.2007.11.001 -
Bäuerle, N.; Mundt, A.
A Bayesian approach to incorporate model ambiguity in a dynamic risk measure
2008. Statistics and Decisions - International Journal Stochastic Methods and Models, 26 (3), 219–242. doi:10.1524/stnd.2008.1000 -
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways
2007. European Journal of Operational Research, 177 (2), 1180–1196. doi:10.1016/j.ejor.2006.01.002 -
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
On the waiting time of arriving aircrafts and the capacity of airports with one or two runways
2007. European Jornal of Operation Research, 177 (2), 1180–1196 -
Bäuerle, N.; Kötter, M.
Markov-modulated diffusion risk models
2007. Scandinavian Actuarial Journal, (1), 34–52. doi:10.1080/03461230601069528 -
Kötter, M.; Bäuerle, N.
The Markov-modulated risk model with investment
2007. Operations Research Proceedings 2006. Selected papers of the Annual International Conference of the German Operations Research Society (GOR). Ed.: K.-H. Waldmann, 575–580, Springer-Verlag. doi:10.1007/978-3-540-69995-8_91 -
Bäuerle, N.; Rieder, U.
Portfolio optimization with jumps and unobservable intensity process
2007. Mathematical Finance, 17 (2), 205–224. doi:10.1111/j.1467-9965.2006.00300.x -
Bäuerle, N.; Müller, A.
Stochastic orders and risk measures: Consistency and bounds
2006. Insurance Mathematics and Economics, 38 (1), 132–148. doi:10.1016/j.insmatheco.2005.08.003 -
Rieder, U.; Bäuerle, N.
Portfolio optimization with unobservable Markov-modulated drift process
2005. Journal of Applied Probability, 42 (2), 362–378. doi:10.1239/jap/1118777176 -
Bäuerle, N.
Benchmark and Mean-Variance problems for insurers
2005. Mathematical Methods of Operations Research, 62 (1), 159–165. doi:10.1007/s00186-005-0446-1 -
Bäuerle, N.; Grübel, R.
Multivariate counting processes: copulas and beyond
2005. Astin Bulletin, 35 (2), 379–408. doi:10.2143/AST.35.2.2003459 -
Bäuerle, N.; Engelhardt-Funke, O.; Kolonko, M.
Routing of airplanes to two runways: monotonicity of optimal controls
2004. Probability in the Engineering and Informational Sciences, 18 (4), 533–560. doi:10.1017/S0269964804184088 -
Bäuerle, N.
Approximation of optimal reinsurance and dividend pay-out policies
2004. Mathematical Finance, 14 (1), 99–113. doi:10.1111/j.0960-1627.2004.00183.x -
Bäuerle, N.
Traditional versus non-traditional reinsurance in a dynamic setting
2004. Scandinavian Actuarial Journal, (5), 355–371. doi:10.1080/03461230310016983 -
Bäuerle, N.; Rieder, U.
Portfolio optimization with Markov-modulated stock prices and interest rates
2004. IEEE Transactions on Automatic Control, 49 (3), 442–447. doi:10.1109/TAC.2004.824471 -
Bäuerle, N.
Queueing Systems
2002. Optimization and Operations Research, Vol. IV, Ed.: U. Derigs, 883–893, UNESCO Publishing-Eolss Publishers, Oxford, UK -
Bäuerle, N.
Markov Models
2002. Optimization and Operations Research, Vol. IV. Ed.: U. Derigs, 831–850, UNESCO Publishing-Eolss Publishers, Oxford, UK -
Bäuerle, N.
Risk management in credit risk portfolios with correlated assets
2002. Insurance: Mathematics and Economics, 30 (2), 187–198. doi:10.1016/S0167-6687(02)00096-3 -
Bäuerle, N.
Optimal control of queueing networks: an approach via fluid models
2002. Advances in Applied Probability, 34 (2), 313–328. doi:10.1239/aap/1025131220 -
Bäuerle, N.; Houdek, A.
Bounds and performance limits of channel assignment policies in cellular networks
2002. Probability in the Engineering and Informational Sciences, 16 (1), 85–100. doi:10.1017/S0269964802161067 -
Bäuerle, N.
Discounted Stochastic Fluid Programs
2001. Mathematics of Operations Research, 26 (2), 401–420. doi:10.1287/moor.26.2.401.10560 -
Bäuerle, N.
Convex Stochastic Fluid Programs with Average Cost
2001. Journal of Mathematical Analysis and Applications, 259 (1), 137–156. doi:10.1006/jmaa.2000.7400 -
Bäuerle, N.; Stidham, S.
Conservation Laws for Single-Server Fluid Networks
2001. Queueing Systems : Theory and Applications, 38 (2), 185–194. doi:10.1023/A:1010906331066 -
Bäuerle, N.
On positive harris recurrence of stochastic fluid networks
2001. Stochastic Models, 17 (4), 391–405. doi:10.1081/STM-120001215 -
Bäuerle, N.; Rieder, U.
Optimal control of single-server fluid networks
2000. Queueing Systems : Theory and Applications, 35 (1-4), 185–200. doi:10.1023/A:1019146111903 -
Bäuerle, N.
Asymptotic optimality of tracking policies in stochastic networks
2000. Annals of Applied Probability, 10 (4), 1065–1083. doi:10.1214/aoap/1019487606 -
Bäuerle, N.
How to improve the performance of ATM multiplexers
1999. Operations Research Letters, 24 (1-2), 81–89. doi:10.1016/S0167-6377(99)00002-4 -
Bäuerle, N.
The advantage of small machines in a stochastic fluid production process
1998. Mathematical Methods of Operations Research, 47 (1), 83–97. doi:10.1007/BF01193838 -
Bäuerle, N.; Rolski, T.
A monotonicity result for the workload in Markov-modulated queues
1998. Journal of Applied Probability, 35 (3), 741–747. doi:10.1239/jap/1032265221 -
Bäuerle, N.; Brüstl, G.; Rieder, U.
Optimal scheduling in heterogeneous two-station queueing networks
1998. Mathematical Methods of Operations Research, 48 (3), 337–347. doi:10.1007/s001860050031 -
Baeuerle, N.; Mueller, A.
Modeling and comparing dependencies in multivariate risk portfolios
1998. ASTIN Bulletin, 28 (1), 59–76. doi:10.2143/AST.28.1.519079 -
Bäuerle, N.
Inequalities for stochastic models via supermodular orderings
1997. Stochastic Models, 13 (1), 181–201. doi:10.1080/15326349708807420 -
Bäuerle, N.; Rieder, U.
Comparison results for Markov-modulated recursive models
1997. Probability in the Engineering and Informational Sciences, 11 (2), 203–217. doi:10.1017/S0269964800004769 -
Bäuerle, N.
Monotonicity results for MR/GI/1 queues
1997. Journal of Applied Probability, 34 (2), 514–524. doi:10.2307/3215390 -
Bäuerle, N.
Some results about the expected ruin time in Markov-modulated risk models
1996. Insurance: Mathematics and Economics, 18 (2), 187–198. doi:10.1016/0167-6687(95)00034-8
weitere Aktivitäten
- Mitherausgeberin der Applied Probability Zeitschriften 2012 - Heute.
- Mitherausgeberin der Zeitschrift Statistics & Risk Modeling 2011 - Heute.
- Mitherausgeberin der Zeitschrift SIAM Journal on Control and Optimization 2019 - 2024.
- Mitherausgeberin der Zeitschrift TOP 2012 - 2020.
- Mitherausgeberin der Zeitschrift Mathematical Methods of Operations Research 2007 - 2020.
- Mitherausgeberin der Zeitschrift Stochastic Models 2000-2012.
- Vorstandsmitglied der DGVFM 2003-2011. (Deutsche Gesellschaft für Finanz- und Versicherungsmathematik).
- Vorstandsmitglied der Fachgruppe Stochastik 2010-2014.
- Mitglied des Kuratoriums des Fraunhofer-Instituts für Techno- und Wirtschatsmathematik ITWM 2017 - Heute.
- Mitglied des Bachelier Finance Society Council 2021 - Heute.