| Publication | Date of Publication | Type |
|---|
Probability of ruin within finite time and Cramér-Lundberg inequality for fractional risk processes
Test | 2026-04-17 | Paper |
Tree approximation of scenario processes for multistage stochastic optimization: algorithms and fast implementations
Computational Management Science | 2025-11-04 | Paper |
On the approximation of kernel functions
Journal of Machine Learning Research (JMLR) | 2025-05-16 | Paper |
Portfolio reshaping under 1st-order stochastic dominance constraints by the exact penalty function methods
Optimization | 2025-04-22 | Paper |
Conditional distributionally robust functionals
Operations Research | 2025-01-30 | Paper |
Connection between higher order measures of risk and stochastic dominance
Computational Management Science | 2024-09-30 | Paper |
Unbalanced optimal transport and maximum mean discrepancies: interconnections and rapid evaluation
Journal of Scientific Computing | 2024-09-10 | Paper |
Risk-Averse Optimal Control in Continuous Time by Nesting Risk Measures
Mathematics of Operations Research | 2024-02-27 | Paper |
| Stochastic optimization with estimated objectives | 2023-12-08 | Paper |
| scientific article; zbMATH DE number 7733443 (Why is no real title available?) | 2023-09-01 | Paper |
| Constrained Global Optimization by Smoothing | 2023-08-16 | Paper |
| Fast Approximation of Unbalanced Optimal Transport and Maximum Mean Discrepancies | 2023-06-23 | Paper |
| Portfolio reshaping under 1st order stochastic dominance constraints by the exact penalty function methods | 2023-06-09 | Paper |
Nonequispaced fast Fourier transform boost for the Sinkhorn algorithm
ETNA - Electronic Transactions on Numerical Analysis | 2023-06-09 | Paper |
Nonequispaced fast Fourier transform boost for the Sinkhorn algorithm
ETNA - Electronic Transactions on Numerical Analysis | 2023-06-09 | Paper |
| Expectiles In Risk Averse Stochastic Programming and Dynamic Optimization | 2023-03-06 | Paper |
Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
Operations Research | 2022-09-19 | Paper |
Wasserstein sensitivity of risk and uncertainty propagation
SIAM/ASA Journal on Uncertainty Quantification | 2022-09-01 | Paper |
The nested Sinkhorn divergence to learn the nested distance
Computational Management Science | 2022-07-15 | Paper |
Quantification of risk in classical models of finance
Quantitative Finance | 2022-04-05 | Paper |
Quantitative stability analysis for minimax distributionally robust risk optimization
Mathematical Programming. Series A. Series B | 2022-03-22 | Paper |
| Convex risk measures based on divergence | 2022-02-01 | Paper |
Convex risk measures based on divergence
(available as arXiv preprint) | 2022-02-01 | Paper |
Mathematical foundations of distributionally robust multistage optimization
SIAM Journal on Optimization | 2021-12-01 | Paper |
| Uncertainty Analysis for Drift-Diffusion Equations | 2021-05-13 | Paper |
| Foundations of Multistage Stochastic Programming | 2021-02-15 | Paper |
Nested Sinkhorn Divergence To Compute The Nested Distance
(available as arXiv preprint) | 2021-02-10 | Paper |
Fundamental properties of process distances
Stochastic Processes and their Applications | 2020-09-02 | Paper |
Martingale characterizations of risk-averse stochastic optimization problems
Mathematical Programming. Series A. Series B | 2020-06-15 | Paper |
Entropy based risk measures
European Journal of Operational Research | 2020-05-26 | Paper |
Structural estimation of switching costs for peaking power plants
European Journal of Operational Research | 2020-05-26 | Paper |
Discrete approximation and quantification in distributionally robust optimization
Mathematics of Operations Research | 2020-03-12 | Paper |
Fractional risk process in insurance
Mathematics and Financial Economics | 2020-02-21 | Paper |
Fractional risk process in insurance
Mathematics and Financial Economics | 2020-02-21 | Paper |
Can commodities dominate stock and bond portfolios?
Annals of Operations Research | 2020-01-20 | Paper |
Simultaneous identification of volatility and interest rate functions -- a two-parameter regularization approach
ETNA - Electronic Transactions on Numerical Analysis | 2019-08-30 | Paper |
Incorporating statistical model error into the calculation of acceptability prices of contingent claims
Mathematical Programming. Series A. Series B | 2019-04-24 | Paper |
Approximations for Probability Distributions and Stochastic Optimization Problems
International Series in Operations Research & Management Science | 2019-01-25 | Paper |
Geometry of the expected value set and the set-valued sample mean process
Set-Valued and Variational Analysis | 2019-01-16 | Paper |
Systemic risk and copula models
CEJOR. Central European Journal of Operations Research | 2018-10-05 | Paper |
On Banach spaces of vector-valued random variables and their duals motivated by risk measures
Banach Journal of Mathematical Analysis | 2018-10-02 | Paper |
On Banach spaces of vector-valued random variables and their duals motivated by risk measures
Banach Journal of Mathematical Analysis | 2018-10-02 | Paper |
Risk averse stochastic programming: time consistency and optimal stopping
(available as arXiv preprint) | 2018-08-31 | Paper |
Premiums and reserves, adjusted by distortions
Scandinavian Actuarial Journal | 2018-07-10 | Paper |
Risk aversion in imperfect natural gas markets
European Journal of Operational Research | 2018-05-25 | Paper |
Stochastic short-term hydropower planning with inflow scenario trees
European Journal of Operational Research | 2018-05-25 | Paper |
An analytical study of norms and Banach spaces induced by the entropic value-at-risk
Mathematics and Financial Economics | 2017-12-29 | Paper |
A quantitative comparison of risk measures
Annals of Operations Research | 2017-08-25 | Paper |
Time-inconsistent multistage stochastic programs: martingale bounds
European Journal of Operational Research | 2016-10-07 | Paper |
Nonlinear stochastic programming-with a case study in continuous switching
European Journal of Operational Research | 2016-10-07 | Paper |
From empirical observations to tree models for stochastic optimization: convergence properties
SIAM Journal on Optimization | 2016-09-02 | Paper |
Time-consistent decisions and temporal decomposition of coherent risk functionals
Mathematics of Operations Research | 2016-05-19 | Paper |
Tree approximation for discrete time stochastic processes: a process distance approach
Annals of Operations Research | 2016-03-09 | Paper |
Stochastic multi-objective optimization: a survey on non-scalarizing methods
Annals of Operations Research | 2016-03-04 | Paper |
Insurance pricing under ambiguity
European Actuarial Journal | 2016-01-22 | Paper |
Dynamic generation of scenario trees
Computational Optimization and Applications | 2016-01-07 | Paper |
Minimal representation of insurance prices
Insurance Mathematics & Economics | 2015-05-26 | Paper |
The natural Banach space for version independent risk measures
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Multistage stochastic optimization
Springer Series in Operations Research and Financial Engineering | 2014-08-12 | Paper |
Evaluations of risk measures for different probability measures
SIAM Journal on Optimization | 2013-06-27 | Paper |
| On a rapidly converging series for the Riemann's zeta function | 2012-12-14 | Paper |
On a rapidly converging series for the Riemann's zeta function
(available as arXiv preprint) | 2012-12-14 | Paper |
| Uniqueness of Kusuoka Representations | 2012-10-26 | Paper |
A distance for multistage stochastic optimization models
SIAM Journal on Optimization | 2012-08-22 | Paper |
| Strategies To Evaluate The Riemann Zeta Function | 2012-01-31 | Paper |
Anwartschaftsrenten
Blätter der DGVFM | 2007-10-30 | Paper |
Construction of life tables
Blätter der DGVFM | 1997-12-02 | Paper |
