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Cost-effciency in multivariate Lévy models,
Coauthor: V. Wolf,
Preprint (November 2014)
(pdf),
Submitted to: Dependence and Risk Modelling.
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On the method of optimal portfolio choice by cost-efficiency,
Coauthor: V. Wolf,
Preprint (2014).
(pdf)
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How robust is the Value-at-Risk of credit risk portfolios?
Coauthors: C. Bernard, S. Vanduffel and J. Yao,
Preprint (Septermber 2014).
(pdf)
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Reducing model risk via positive and negative dependence assumptions,
Coauthors: V. Bignozzi and G. Puccetti,
to appeare in: Insurance: Mathematics and Economics (2014),
(pdf).
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Construction of cost-efficient self-quanto calls and puts in exponential Lévy models,
Coauthors: E.A.v. Hammerstein, E. Lütkebohmert and V. Wolf,
Proceedings AFMATH Conference 2014.
(pdf)
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An Academic Response to Basel 3.5,
Coauthors: P. Embrechts, G. Puccetti, R. Wang and A. Beleraj,
Risks 2 (2014), 25-48.
(doi:10.3390/risks2010025)
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Value-at-Risk bounds with variance constraints,
Coauthors: C. Bernard and S. Vanduffel,
Preprint (October 2013).
(pdf)
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Optimal claims with fixed payoff structure,
Coauthors: C. Bernard and S. Vanduffel,
Preprint (2013; version: May 2014),
(pdf),
to appear in: Journal Appl.Probab.
|
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Optimal payoffs under state-dependent constraints,
Coauthors: C. Bernard, F. Moraux and S. Vanduffel,
Preprint (June 2014)
(pdf),
to appear in: Quantiative Finance.
|
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Optimality of payoffs in Lévy models,
Coauthors: E. A. v. Hammerstein, E. Lütkebohmert and V. Wolf,
Preprint (May 2013),
(pdf)
International Journal of Theoretical and Applied Finance 17 (6), 1450041 (2014).
(doi: 10.1142/S0219024914500411)
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Portfolio optimization for heavy-tail assets: Extreme Risk Index vs. Markowitz,
Coauthors: G. Mainik and G. Mitov,
Preprint (October 2013).
(pdf)
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Optimal risk allocation for convex risk functionals in general domains,
Coauthor: S. Kiesel,
Preprint (2013)
(pdf),
to appear in: Statistics & Risk Modelling (2014).
|
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On the optimal reinsurance problem,
Coauthor: S. Kiesel,
Preprint (2013) (pdf),
Applicationes Mathematicae 40 (2013), 259-280,
doi:10.4064/am40-3-1
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Model uncertainty and VaR aggregation,
Coauthors: P. Embrechts and G. Puccetti,
Preprint (2012),
Journal Banking and Finance 37 (8) (2013), 2750–2764.
(pdf)
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Computation of sharp bounds on the expected value of a supermodular function of risks with given marginals,
Coauthor: G. Puccetti,
Preprint (2012; version: March 2013)
(pdf),
Communications in Statistics-Simulation and Computation 44 (2015), 705-718.
(DOI:10.1080/03610918.2013.791368).
|
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Asymptotic equivalence of conservative VaR- and ES-based capital charges,
Coauthors: G. Puccetti,
Preprint (2012; version: July 2013),
Journal of Risk 16 (2014) ,2-22.
(pdf)
|
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Sharp bounds for sums of dependent risks,
Coauthor: G. Puccetti,
Preprint (2011),
J. Appl. Probab. 50 (1) (2013), 42-53.
(pdf)
|
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Risk bounds, worst case dependence and optimal claims and contracts,
Prepring (2011),
Proceedings of the AFMATH Conference, Brussels (2012), 23-36.
(pdf)
|
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Bounds for joint portfolios of dependent risks,
Coauthor: G. Puccetti,
Statistics & Risk Modeling 29 (2) (2012), 107-132.
(pdf)
|
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Computation of sharp bounds on the distribution of a function of dependent risks,
Coauthor: G. Puccetti,
J. Comp. Appl. Math. 236 (7) (2012), 1833-1840.
(pdf)
|
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Ordering of multivariate probability distributions with respect to extreme portfolio losses,
Coauthor: G. Mainik,
Statistics & Risk Modeling 29 (2012), 73-105.
(pdf)
Oldenbourg Verlag.
|
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On optimal allocation of risk vectors,
Coauthor: S. Kiesel,
Preprint (April 2010) (pdf),
Insurance: Mathematics and Economics 47 (2010), 167-175.
(DOI 10.1016/j.insmatheco.2010.05.005)
|
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Worst case portfolio vectors and diversification effects,
Preprint (March 2010; 1st version: September 2009),
Finance and Stochastics 16 (2012), 155-175.
(pdf)
|
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On optimal portfolio diversification with respect to extreme risks,
Coauthor: G. Mainik,
Finance and Stochastics 14 (2010), 593-623,
DOI: 10.1007/s00780-010-0122-z.
(pdf)
The original publication is available www.springerlink.com.
|
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On the distributional transform, Sklar's Theorem, and the empirical copula process,
Journal of Statistical Planning and Inference 139 (2009), 3921-3927.
(pdf)
|
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Characterization of optimal risk allocations for convex risk functionals,
Coauthor: S. Kiesel,
Statistics and Decisions 26 (2008), 303-319.
(pdf)
|
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Comparison results for path-dependent options,
Coauthor: J. Bergenthum,
Statistics & Decisions 26 (2008), 53-72.
(pdf)
Oldenbourg Wissenschaftsverlag, München (http://statistics-international.de)
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On convex risk measures on Lp-spaces,
Coauthor: M. Kaina,
Mathematical Methods in Operations Research (MMDR) 69 (2009), 475-495,
DOI 10.1007/s00186-008-0248-3.
(pdf)
|
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On comonotonicity of Pareto optimal risk sharing,
Coauthor: M. Ludkovski,
Statistics and Probability Letters 78 (2008), 1181-1188.
(pdf)
|
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Convex ordering criteria for Lévy Processes,
Coauthor: J. Bergenthum,
Advances Data Analysis Classification 1 (2007), 143-173.
(pdf)
|
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Risk measures for portfolio vectors and allocation of risks,
Preprint (2005).
In: Risk Assessment: Decisions in Banking and Finance,
Eds: G. Bol, S. T. Rachev, R. Würth, Springer/Physica-Verlag (2009), 153-164.
|
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Law invariant convex risk measures for portfolio vectors,
Statistics & Decisions 24 (2006), 97-108.
(pdf)
Oldenbourg Wissenschaftsverlag, München (http://statistics-international.de)
|
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Comparison of semimartingales and Lévy processes,
Coauthor: J. Bergenthum,
Annals of Probability 35 (1) (2007), 228–254.
(pdf)
|
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On the optimal risk allocation problem,
Coauthor: C. Burgert,
Statistics & Decisions 24 (2006), 153-171.
(pdf)
Oldenbourg Wissenschaftsverlag, München (http://statistics-international.de)
|
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Consistent risk measures for portfolio vectors,
Coauthor: C. Burgert,
Insurance: Mathematics and Economics 38 (2006), 289-297.
(pdf)
|
| |
Optimal consumption strategies under model uncertainty,
Coauthor: C. Burgert,
Statistics & Decisions 23 (2005), 1-14.
(pdf)
Oldenbourg Wissenschaftsverlag, München (http://statistics-international.de)
|
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Allocation of risks and equilibrium in markets with finitely many traders,
Coauthor: C. Burgert,
Preprint (2005). Insurance: Mathematics and Economics, 42 (2008), 177-188.
(pdf)
|
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Comparison of option prices in semimartingale models,
Coauthor: J. Bergenthum,
Finance and Stochastics 10 (2006), 222-249.
(pdf)
|
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Stochastic ordering of risks, influence of dependence and a.s. constructions,
in: Advances on Models, Characterizations and Applications.
Eds: N. Balakrishnan, I. G. Bairamov, O. L. Gebizlioglu, Chapman & Hall/CRC Press (2005), 19-56.
(pdf)
|
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Comparison of multivariate risks and positive dependence,
Journal of Applied Probability 41 (2004), 391-406.
(pdf)
|
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On upper and lower prices in discrete time models,
Proc. Steklov Math. Inst. 237 (2002), 134-139.
(ps)
|
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Minimal distance martingale measures and optimal portfolios
consistent with observed market prices,
Coauthor: T. Goll,
in: Stoch. Processes and Related Topics (2002), 141-154, Taylor & Francis,
Stochastics Monographs. Eds: R. Buckdahn, H.J. Engelbert, and M. Yor.
(ps)
|
| |
Minimax and minimal distance martingale measures and their
relationship to portfolio optimization,
Coauthor: T. Goll,
Finance and Stochastics 5 (2001), 557-581
(ps)
|
| |
Models for option pricing,
Coauthor: S. T. Rachev,
Theory Probab. Applications 39 (1994), 150–199.
(pdf)
|
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On the Cox, Ross and Rubinstein model for option prices,
Coauthor: S. T. Rachev,
in: Proceeding of Conference in Financial Mathematics,
Mexico (1994), 25 pg.
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