[photo Thomas Bernhardt]

Thomas Bernhardt [CV] ORC-id

Last modified
Institution Heriot-Watt University
Status Research Associate connected to IFoA funded project
Manager Catherine Donnelly
Contact T.Bernhardt@hw.ac.uk

Research Interests

Stochastics and its connections to Actuarial Science, Financial Mathematics and Statistics. Contributions made in the field of Filtering, Stochastic Differential Equations and Diffusions, Modelling, Measure Theory, and Optimal Control. Long-term goals include to develop new Stochastic tools beyond Itô Calculus.

Papers and Theses

  1. Realized tontines: A study on the law of large numbers [abstract] Thomas Bernhardt, Catherine Donnelly, expected completion August 2019
  2. Modern tontine with bequest: Innovation in pooled annuity products [abstract, slides, paper] Thomas Bernhardt, Catherine Donnelly, Insurance: Mathematics and Economics, 2019
  3. Discretionary stopping of stochastic differential equations with generalised drift [abstract, arXiv] Thomas Bernhardt, Pui Chan Lon, Neofytos Rodosthenous, Mihail Zervos, submitted and under revision
  4. Pension Decumulation Strategies: A State-of-the-Art Report [abstract, slides, report] Thomas Bernhardt, Catherine Donnelly, 2018
  5. Itô Semi-Diffusions, an alternative approach to Lévy models [abstract, slides, thesis] Thomas Bernhardt, Mihail Zervos, 2017
  6. Weak solutions to SDEs, reflected in a càdlàg function [abstract, slides, thesis] Thomas Bernhardt, Mihail Zervos, 2017
  7. Filtering problems with stochastic intensities of Cox Jump processes (in German) [abstract, slides, thesis] Dirk Becherer, Thomas Bernhardt, Pavel Gapeev, 2013

Acknowledged in

  1. Polynomial jump-diffusions on the unit simplex [contribution, paper] Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro, The Annals of Applied Probability, 2018