| Publication | Date of Publication | Type |
|---|
MinCovTarget+: a fast heuristic algorithm for fair allocation
Annals of Operations Research | 2026-01-27 | Paper |
Measuring linear correlation between random vectors
Information Sciences | 2024-03-13 | Paper |
General construction and classes of explicit \(L^1\)-optimal couplings
Bernoulli | 2022-12-19 | Paper |
Fair allocation of indivisible goods with minimum inequality or minimum envy
European Journal of Operational Research | 2021-11-09 | Paper |
Integral transform analysis of microchannel fluid flow: irregular geometry estimation using velocimetry data
Applied Mathematical Modelling | 2021-11-09 | Paper |
Bounds for joint portfolios of dependent risks
Statistics & Risk Modeling | 2021-08-05 | Paper |
On the computation of Wasserstein barycenters
Journal of Multivariate Analysis | 2020-02-05 | Paper |
A journey beyond the Gaussian world. An interview with Harry Joe
Dependence Modeling | 2020-01-13 | Paper |
Centers of probability measures without the mean
Journal of Theoretical Probability | 2019-07-18 | Paper |
Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance
Quantitative Finance | 2019-03-06 | Paper |
Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li
Dependence Modeling | 2018-11-01 | Paper |
My introduction to copulas. An interview with Roger Nelsen
Dependence Modeling | 2018-11-01 | Paper |
Conditional expectiles, time consistency and mixture convexity properties
Insurance Mathematics & Economics | 2018-10-19 | Paper |
Extremal dependence concepts
Statistical Science | 2018-10-02 | Paper |
Extremal dependence concepts
Statistical Science | 2018-10-02 | Paper |
Reduction of Value-at-Risk bounds via independence and variance information
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
The vine philosopher
Dependence Modeling | 2018-02-15 | Paper |
An algorithm to approximate the optimal expected inner product of two vectors with given marginals
Journal of Mathematical Analysis and Applications | 2017-07-01 | Paper |
An algorithm to approximate the optimal expected inner product of two vectors with given marginals
Journal of Mathematical Analysis and Applications | 2017-03-28 | Paper |
Distributions with given marginals: the beginnings. An interview with Giorgio Dall'Aglio
Dependence Modeling | 2016-12-20 | Paper |
VaR bounds for joint portfolios with dependence constraints
Dependence Modeling | 2016-12-20 | Paper |
Stat Trek. An interview with Christian Genest
Dependence Modeling | 2016-10-17 | Paper |
A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf
Dependence Modeling | 2016-01-21 | Paper |
Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
Dependence Modeling | 2015-06-23 | Paper |
Studying mixability with supermodular aggregating functions
Statistics & Probability Letters | 2015-06-11 | Paper |
Computation of sharp bounds on the expected value of a supermodular function of risks with given marginals
Communications in Statistics. Simulation and Computation | 2015-06-03 | Paper |
Reducing model risk via positive and negative dependence assumptions
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Detecting complete and joint mixability
Journal of Computational and Applied Mathematics | 2015-01-08 | Paper |
Bounds on total economic capital: the DNB case study
Extremes | 2014-12-19 | Paper |
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Sharp bounds on the expected shortfall for a sum of dependent random variables
Statistics & Probability Letters | 2013-05-13 | Paper |
Sharp bounds for sums of dependent risks
Journal of Applied Probability | 2013-04-25 | Paper |
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
Stochastics | 2012-12-13 | Paper |
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
Bernoulli | 2012-09-19 | Paper |
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
Bernoulli | 2012-09-19 | Paper |
Advances in complete mixability
Journal of Applied Probability | 2012-07-08 | Paper |
Computation of sharp bounds on the distribution of a function of dependent risks
Journal of Computational and Applied Mathematics | 2012-04-24 | Paper |
Multivariate comonotonicity
Journal of Multivariate Analysis | 2009-11-27 | Paper |
Bounds for the sum of dependent risks having overlapping marginals
Journal of Multivariate Analysis | 2009-11-27 | Paper |
Bounds for functions of dependent risks
Finance and Stochastics | 2006-12-08 | Paper |
Bounds for functions of multivariate risks
Journal of Multivariate Analysis | 2006-04-28 | Paper |
Worst VaR scenarios
Insurance Mathematics & Economics | 2005-09-29 | Paper |
