| Publication | Date of Publication | Type |
|---|
| A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence | 2024-01-15 | Paper |
| When copulas and smoothing met: an interview with Irène Gijbels | 2023-06-26 | Paper |
| Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes | 2023-03-02 | Paper |
| A comprehensive model for cyber risk based on marked point processes and its application to insurance | 2022-07-27 | Paper |
| The standard formula of Solvency II: a critical discussion | 2021-12-17 | Paper |
| A probabilistic view on semilinear copulas | 2021-03-18 | Paper |
| Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes | 2020-10-07 | Paper |
| On the structure of exchangeable extreme-value copulas | 2020-09-29 | Paper |
| Exogenous shock models: analytical characterization and probabilistic construction | 2019-11-20 | Paper |
| Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws | 2019-10-11 | Paper |
| Reconstructing the topology of financial networks from degree distributions and reciprocity | 2019-07-02 | Paper |
| Modeling Influenza-Like Illness Activity in the United States | 2019-05-28 | Paper |
| My introduction to copulas. An interview with Roger Nelsen | 2018-11-01 | Paper |
| Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li | 2018-11-01 | Paper |
| Membership testing for Bernoulli and tail-dependence matrices | 2018-10-16 | Paper |
| A Multivariate Default Model with Spread and Event Risk | 2018-09-11 | Paper |
| A multivariate claim count model for applications in insurance | 2018-06-29 | Paper |
| Emil J. Gumbel's last course on the ``Statistical theory of extreme values: a conversation with Tuncel M. Yegulalp | 2018-04-16 | Paper |
| The vine philosopher | 2018-02-15 | Paper |
| Book Reviews | 2017-10-13 | Paper |
| Simulating Copulas | 2017-07-27 | Paper |
| A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution | 2017-07-05 | Paper |
| The Mean of Marshall–Olkin-Dependent Exponential Random Variables | 2017-07-05 | Paper |
| Two novel characterizations of self-decomposability on the half-line | 2017-04-12 | Paper |
| Distributions with given marginals: the beginnings. An interview with Giorgio Dall'Aglio | 2016-12-20 | Paper |
| EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS | 2016-12-08 | Paper |
| Stat trek. An interview with Christian Genest | 2016-10-17 | Paper |
| Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach | 2016-06-09 | Paper |
| An Analytical Characterization of the Exchangeable Wide-Sense Geometric Law | 2016-05-13 | Paper |
| Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law | 2016-05-04 | Paper |
| Exchangeable exogenous shock models | 2016-04-01 | Paper |
| Bivariate extreme-value copulas with discrete Pickands dependence measure | 2016-01-22 | Paper |
| A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf | 2016-01-21 | Paper |
| Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees | 2015-07-29 | Paper |
| Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals | 2015-07-03 | Paper |
| Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts | 2015-06-23 | Paper |
| On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions | 2015-06-23 | Paper |
| On the calibration of distortion risk measures to bid-ask prices | 2015-04-08 | Paper |
| Efficiently pricing double barrier derivatives in stochastic volatility models | 2015-01-23 | Paper |
| Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time | 2014-12-17 | Paper |
| Extendibility of Marshall-Olkin distributions and inverse Pascal triangles | 2014-11-12 | Paper |
| Model Risk and Uncertainty—Illustrated with Examples from Mathematical Finance | 2014-06-30 | Paper |
| What makes dependence modeling challenging? Pitfalls and ways to circumvent them | 2014-01-22 | Paper |
| CIID Frailty Models and Implied Copulas | 2013-09-20 | Paper |
| Double-barrier first-passage times of jump-diffusion processes | 2013-08-28 | Paper |
| Capturing parameter risk with convex risk measures | 2013-08-20 | Paper |
| Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions | 2013-05-13 | Paper |
| Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws | 2013-03-12 | Paper |
| Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications | 2013-02-21 | Paper |
| Shot-noise driven multivariate default models | 2013-02-05 | Paper |
| \(H\)-extendible copulas | 2012-08-13 | Paper |
| Simulating Copulas | 2012-03-12 | Paper |
| A note on first-passage times of continuously time-changed Brownian motion | 2011-12-28 | Paper |
| CDO pricing with nested Archimedean copulas | 2011-06-07 | Paper |
| Reparameterizing Marshall–Olkin copulas with applications to sampling | 2011-02-03 | Paper |
| Multivariate hierarchical copulas with shocks | 2010-11-22 | Paper |
| Efficiently pricing barrier options in a Markov-switching framework | 2010-10-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3581638 | 2010-09-02 | Paper |
| Constructing hierarchical archimedean copulas with Lévy subordinators | 2010-05-05 | Paper |
| The Pickands representation of survival Marshall-Olkin copulas | 2010-03-01 | Paper |
| Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions | 2009-10-01 | Paper |
| A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE | 2009-08-03 | Paper |
| Lévy-frailty copulas | 2009-06-09 | Paper |
| The number of nonisomorphic two-dimensional algebras over a finite field | 2004-10-28 | Paper |
