[photo Thomas Bernhardt]

Thomas Bernhardt [CV] ORC-id ResearchGate Google

Last modified 18th August 2021
Institution University of Manchester
Status Lecturer in Financial Mathematics
Contact thomas.bernhardt@manchester.ac.uk

Research Interests

Stochastics and its connections to Actuarial Science, Financial Mathematics and Statistics. Decumulation and investment strategies for pension funds. Long-term goals include developing new Stochastic tools beyond Itô Calculus.

Papers and Theses

  1. Wealth heterogeneity in a closed pooled annuity fund [abstract, slides] Thomas Bernhardt, Ge Qu, submitted
  2. On the continuity of the of the Root barrier [abstract, arXiv] Erhan Bayraktar, Thomas Bernhardt, Proceedings of the American Mathematical Society, forthcoming
  3. Quantifying the trade-off between income stability and the number of members in a pooled annuity fund [abstract, slides, paper] Thomas Bernhardt, Catherine Donnelly, ASTIN Bulletin - The Journal of the International Actuarial, 2021
  4. Modern tontine with bequest: Innovation in pooled annuity products [abstract, slides, paper] Thomas Bernhardt, Catherine Donnelly, Insurance: Mathematics and Economics, 2019
  5. Discretionary stopping of stochastic differential equations with generalised drift [abstract, paper] Thomas Bernhardt, Pui Chan Lon, Neofytos Rodosthenous, Mihail Zervos, Electronic Journal of Probability, 2019
  6. Pension Decumulation Strategies: A State-of-the-Art Report [abstract, slides, report] Thomas Bernhardt, Catherine Donnelly, IFoA, 2018
  7. Itô Semi-Diffusions, an alternative approach to Lévy models [abstract, slides, thesis] Thomas Bernhardt, Mihail Zervos, 2017
  8. Weak solutions to SDEs, reflected in a càdlàg function [abstract, slides, thesis] Thomas Bernhardt, Mihail Zervos, 2017
  9. 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