| Publication | Date of Publication | Type |
|---|
| Risk Revealed | 2024-01-03 | Paper |
| Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series | 2023-12-03 | Paper |
| Bayes risk, elicitability, and the Expected Shortfall | 2023-09-28 | Paper |
| Ermanno Pitacco (1947–2022) | 2023-06-26 | Paper |
| Robustness in the Optimization of Risk Measures | 2022-02-18 | Paper |
| Data-driven polynomial chaos expansion for machine learning regression | 2021-01-25 | Paper |
| Quantile-Based Risk Sharing | 2020-10-12 | Paper |
| Quantile-based risk sharing with heterogeneous beliefs | 2020-06-15 | Paper |
| Space‒time max-stable models with spectral separability | 2019-09-23 | Paper |
| Where mathematics, insurance and finance meet | 2019-01-14 | Paper |
| Old-age provision: past, present, future | 2017-06-06 | Paper |
| Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds | 2017-01-16 | Paper |
| Bernoulli and tail-dependence compatibility | 2016-08-23 | Paper |
| Seven proofs for the subadditivity of expected shortfall | 2016-01-21 | Paper |
| Aggregation-robustness and model uncertainty of regulatory risk measures | 2015-11-09 | Paper |
| Four theorems and a financial crisis | 2015-07-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5256153 | 2015-06-22 | Paper |
| Book Reviews | 2015-06-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5253267 | 2015-06-04 | Paper |
| Aggregation of log-linear risks | 2015-04-14 | Paper |
| Extreme-quantile tracking for financial time series | 2014-06-04 | Paper |
| Book Reviews | 2014-05-02 | Paper |
| Book Reviews | 2014-05-02 | Paper |
| STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY | 2014-02-27 | Paper |
| A note on generalized inverses | 2013-08-02 | Paper |
| The Shape of Asymptotic Dependence | 2013-07-08 | Paper |
| Sensitivity of the limit shape of sample clouds from meta densities | 2013-01-17 | Paper |
| The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables | 2012-12-13 | Paper |
| Comments on: Inference in multivariate Archimedean copula models | 2012-11-15 | Paper |
| The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables | 2012-09-19 | Paper |
| The wizards of Wall Street: did mathematics change finance? | 2012-06-07 | Paper |
| Scaling of high-quantile estimators | 2012-01-04 | Paper |
| Risk margin for a non-life insurance run-off | 2011-12-23 | Paper |
| Practices and issues in operational risk modeling under Basel II | 2011-12-01 | Paper |
| Multivariate Hawkes processes: an application to financial data | 2011-10-25 | Paper |
| AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES | 2011-08-20 | Paper |
| How to model operational risk if you must | 2011-04-07 | Paper |
| Multivariate extremes and the aggregation of dependent risks: examples and counter-examples | 2011-02-22 | Paper |
| Revisiting the Edge, Ten Years On | 2010-08-19 | Paper |
| The devil is in the tails: actuarial mathematics and the subprime mortgage crisis | 2010-06-21 | Paper |
| Meta densities and the shape of their sample clouds | 2010-05-21 | Paper |
| Bounds for the sum of dependent risks having overlapping marginals | 2009-11-27 | Paper |
| Different Kinds of Risk | 2009-11-27 | Paper |
| Panjer recursion versus FFT for compound distributions | 2009-07-06 | Paper |
| On Esscher Transforms in Discrete Finance Models | 2009-06-15 | Paper |
| Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness | 2009-05-12 | Paper |
| The Quantitative Modeling of Operational Risk: Between G-and-H and EVT | 2009-01-28 | Paper |
| EVT-based estimation of risk capital and convergence of high quantiles | 2008-11-13 | Paper |
| Extreme VaR scenarios in higher dimensions | 2007-12-16 | Paper |
| High risk scenarios and extremes. A geometric approach | 2007-09-11 | Paper |
| Bounds for functions of dependent risks | 2006-12-08 | Paper |
| Bounds for functions of multivariate risks | 2006-04-28 | Paper |
| Extreme Value Theory as a Risk Management Tool | 2006-01-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5706744 | 2005-11-21 | Paper |
| Strategic long-term financial risks: single risk factors | 2005-11-16 | Paper |
| Worst VaR scenarios | 2005-09-29 | Paper |
| Using copulae to bound the value-at-risk for functions of dependent risks | 2004-03-16 | Paper |
| Ruin problem and how fast stochastic processes mix | 2003-05-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4791422 | 2003-02-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4550911 | 2002-10-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3149666 | 2002-09-26 | Paper |
| Stochastic processes in insurance and finance | 2002-02-03 | Paper |
| Recursive estimation of distributional fix-points | 2001-10-08 | Paper |
| HARCH processes are heavy tailed | 2000-05-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4247101 | 1999-10-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4218902 | 1999-06-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4221330 | 1999-03-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4343010 | 1997-06-24 | Paper |
| An introduction to wavelets with applications to Andrews' plots | 1997-04-09 | Paper |
| Confidence bounds for the adjustment coefficient | 1996-12-09 | Paper |
| A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift | 1996-08-14 | Paper |
| Sample quantiles of heavy tailed stochastic processes | 1996-06-30 | Paper |
| Risk theory of the second and third kind | 1995-11-28 | Paper |
| Longest runs in coin tossing | 1995-07-03 | Paper |
| Ruin estimation for a general insurance risk model | 1995-04-26 | Paper |
| Stochastic Discounting, Aggregate Claims, and the Bootstrap | 1995-03-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4274909 | 1994-11-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4287230 | 1994-09-11 | Paper |
| Modelling of extremal events in insurance and finance | 1994-04-28 | Paper |
| Finite-time Lundberg inequalities in the Cox case | 1994-04-26 | Paper |
| Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday | 1993-05-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4025269 | 1993-02-18 | Paper |
| A bootstrap procedure for estimating the adjustment coefficients | 1992-06-28 | Paper |
| Variations of Andrews' Plots | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3212169 | 1990-01-01 | Paper |
| Martingales and insurance risk | 1989-01-01 | Paper |
| Ruin estimates for large claims | 1988-01-01 | Paper |
| An Abelian theorem for a general class of Mellin-type integral transforms | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3689982 | 1985-01-01 | Paper |
| Approximations for compound Poisson and Pólya processes | 1985-01-01 | Paper |
| Some Limit Theorems for Generalized Renewal Measures | 1985-01-01 | Paper |
| A property of longtailed distributions | 1984-01-01 | Paper |
| A renewal theorem of Blackwell type | 1984-01-01 | Paper |
| The central limit theorem for summability methods of I.I.D. random variables | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5186525 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3732638 | 1984-01-01 | Paper |
| A property of the generalized inverse Gaussian distribution with some applications | 1983-01-01 | Paper |
| On subordinated distributions and random record processes | 1983-01-01 | Paper |
| On convolution tails | 1982-01-01 | Paper |
| Estimates for the probability of ruin with special emphasis on the possibility of large claims | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3948374 | 1982-01-01 | Paper |
| Comparing the tail of an infinitely divisible distribution with integrals of its Levy measure | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3860550 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3900475 | 1980-01-01 | Paper |
| Subexponentiality and infinite divisibility | 1979-01-01 | Paper |
| Erratum to "On a Theorem of E. Lukacs" | 1979-01-01 | Paper |
| On a Theorem of E. Lukacs | 1978-01-01 | Paper |
| A Second-Order Theorem for Laplace Transforms | 1978-01-01 | Paper |
| An unexpected stochastic dominance: Pareto distributions, dependence, and diversification | N/A | Paper |
