Matthias Scherer

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Person:265305

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zbMath Open scherer.matthiasWikidataQ102414108 ScholiaQ102414108MaRDI QIDQ265305

List of research outcomes

PublicationDate of PublicationType
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence2024-01-15Paper
When copulas and smoothing met: an interview with Irène Gijbels2023-06-26Paper
Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes2023-03-02Paper
A comprehensive model for cyber risk based on marked point processes and its application to insurance2022-07-27Paper
The standard formula of Solvency II: a critical discussion2021-12-17Paper
A probabilistic view on semilinear copulas2021-03-18Paper
Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes2020-10-07Paper
On the structure of exchangeable extreme-value copulas2020-09-29Paper
Exogenous shock models: analytical characterization and probabilistic construction2019-11-20Paper
Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws2019-10-11Paper
Reconstructing the topology of financial networks from degree distributions and reciprocity2019-07-02Paper
Modeling Influenza-Like Illness Activity in the United States2019-05-28Paper
My introduction to copulas. An interview with Roger Nelsen2018-11-01Paper
Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li2018-11-01Paper
Membership testing for Bernoulli and tail-dependence matrices2018-10-16Paper
A Multivariate Default Model with Spread and Event Risk2018-09-11Paper
A multivariate claim count model for applications in insurance2018-06-29Paper
Emil J. Gumbel's last course on the ``Statistical theory of extreme values: a conversation with Tuncel M. Yegulalp2018-04-16Paper
The vine philosopher2018-02-15Paper
Book Reviews2017-10-13Paper
Simulating Copulas2017-07-27Paper
A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution2017-07-05Paper
The Mean of Marshall–Olkin-Dependent Exponential Random Variables2017-07-05Paper
Two novel characterizations of self-decomposability on the half-line2017-04-12Paper
Distributions with given marginals: the beginnings. An interview with Giorgio Dall'Aglio2016-12-20Paper
EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS2016-12-08Paper
Stat trek. An interview with Christian Genest2016-10-17Paper
Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach2016-06-09Paper
An Analytical Characterization of the Exchangeable Wide-Sense Geometric Law2016-05-13Paper
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law2016-05-04Paper
Exchangeable exogenous shock models2016-04-01Paper
Bivariate extreme-value copulas with discrete Pickands dependence measure2016-01-22Paper
A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf2016-01-21Paper
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees2015-07-29Paper
Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals2015-07-03Paper
Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts2015-06-23Paper
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions2015-06-23Paper
On the calibration of distortion risk measures to bid-ask prices2015-04-08Paper
Efficiently pricing double barrier derivatives in stochastic volatility models2015-01-23Paper
Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time2014-12-17Paper
Extendibility of Marshall-Olkin distributions and inverse Pascal triangles2014-11-12Paper
Model Risk and Uncertainty—Illustrated with Examples from Mathematical Finance2014-06-30Paper
What makes dependence modeling challenging? Pitfalls and ways to circumvent them2014-01-22Paper
CIID Frailty Models and Implied Copulas2013-09-20Paper
Double-barrier first-passage times of jump-diffusion processes2013-08-28Paper
Capturing parameter risk with convex risk measures2013-08-20Paper
Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions2013-05-13Paper
Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws2013-03-12Paper
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications2013-02-21Paper
Shot-noise driven multivariate default models2013-02-05Paper
\(H\)-extendible copulas2012-08-13Paper
Simulating Copulas2012-03-12Paper
A note on first-passage times of continuously time-changed Brownian motion2011-12-28Paper
CDO pricing with nested Archimedean copulas2011-06-07Paper
Reparameterizing Marshall–Olkin copulas with applications to sampling2011-02-03Paper
Multivariate hierarchical copulas with shocks2010-11-22Paper
Efficiently pricing barrier options in a Markov-switching framework2010-10-11Paper
https://portal.mardi4nfdi.de/entity/Q35816382010-09-02Paper
Constructing hierarchical archimedean copulas with Lévy subordinators2010-05-05Paper
The Pickands representation of survival Marshall-Olkin copulas2010-03-01Paper
Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions2009-10-01Paper
A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE2009-08-03Paper
Lévy-frailty copulas2009-06-09Paper
The number of nonisomorphic two-dimensional algebras over a finite field2004-10-28Paper

Research outcomes over time


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