| Publication | Date of Publication | Type |
|---|
Robust distortion risk measures
Mathematical Finance | 2024-11-20 | Paper |
Cost-efficient payoffs under model ambiguity
Finance and Stochastics | 2024-10-16 | Paper |
Closed-form approximations for spread options in Lévy markets
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
Implied value-at-risk and model-free simulation
Annals of Operations Research | 2024-06-04 | Paper |
Up- and down-correlations in normal variance mixture models
Statistics & Probability Letters | 2024-02-12 | Paper |
| Model Risk Management | 2023-10-30 | Paper |
Corrigendum and addendum to: ``Range value-at-risk bounds for unimodal distributions under partial information
Insurance Mathematics & Economics | 2023-10-12 | Paper |
The impact of correlation on (Range) Value-at-Risk
Scandinavian Actuarial Journal | 2023-07-12 | Paper |
Coskewness under dependence uncertainty
Statistics & Probability Letters | 2023-07-12 | Paper |
Optimal multivariate financial decision making
European Journal of Operational Research | 2023-07-03 | Paper |
ETF basket-adjusted covariance estimation
Journal of Econometrics | 2023-06-29 | Paper |
The optimal payoff for a Yaari investor
Quantitative Finance | 2022-10-14 | Paper |
Fair allocation of indivisible goods with minimum inequality or minimum envy
European Journal of Operational Research | 2021-11-09 | Paper |
A model-free approach to multivariate option pricing
Review of Derivatives Research | 2021-08-19 | Paper |
Range value-at-risk bounds for unimodal distributions under partial information
Insurance Mathematics & Economics | 2020-11-19 | Paper |
Correlation matrices with average constraints
Statistics & Probability Letters | 2020-09-01 | Paper |
On the construction of optimal payoffs
Decisions in Economics and Finance | 2020-07-08 | Paper |
The minimum regularized covariance determinant estimator
Statistics and Computing | 2020-02-26 | Paper |
On the computation of Wasserstein barycenters
Journal of Multivariate Analysis | 2020-02-05 | Paper |
A new efficiency test for ranking investments: application to hedge fund performance
Economics Letters | 2019-07-10 | Paper |
Impact of flexible periodic premiums on variable annuity guarantees
North American Actuarial Journal | 2019-05-28 | Paper |
Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
North American Actuarial Journal | 2019-05-15 | Paper |
The minimum regularized covariance determinant estimator
Statistics and Computing | 2019-04-02 | Paper |
Equivalent distortion risk measures on moment spaces
Statistics & Probability Letters | 2019-02-20 | Paper |
Optimal strategies under omega ratio
European Journal of Operational Research | 2019-01-28 | Paper |
My introduction to copulas. An interview with Roger Nelsen
Dependence Modeling | 2018-11-01 | Paper |
Upper bounds for strictly concave distortion risk measures on moment spaces
Insurance Mathematics & Economics | 2018-10-19 | Paper |
Optimal payoffs under state-dependent preferences
Quantitative Finance | 2018-09-19 | Paper |
Reduction of Value-at-Risk bounds via independence and variance information
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Optimal portfolio under state-dependent expected utility
International Journal of Theoretical and Applied Finance | 2018-06-07 | Paper |
A Stein type lemma for the multivariate generalized hyperbolic distribution
European Journal of Operational Research | 2018-05-29 | Paper |
Block rearranging elements within matrix columns to minimize the variability of the row sums
4OR | 2018-04-13 | Paper |
Rearrangement algorithm and maximum entropy
Annals of Operations Research | 2018-03-23 | Paper |
The vine philosopher
Dependence Modeling | 2018-02-15 | Paper |
Risk bounds for factor models
Finance and Stochastics | 2017-07-21 | Paper |
| Capital requirements, risk measures and comonotonicity | 2017-03-13 | Paper |
| On the computation of the capital multiplier in the Fortis credit economic capital model | 2017-03-13 | Paper |
Distributions with given marginals: the beginnings. An interview with Giorgio Dall'Aglio
Dependence Modeling | 2016-12-20 | Paper |
Stat Trek. An interview with Christian Genest
Dependence Modeling | 2016-10-17 | Paper |
Quantile of a mixture with application to model risk assessment
Dependence Modeling | 2016-01-21 | Paper |
Rationalizing investors' choices
Journal of Mathematical Economics | 2015-08-21 | Paper |
Some Stein-type inequalities for multivariate elliptical distributions and applications
Statistics & Probability Letters | 2015-05-06 | Paper |
Optimal claims with fixed payoff structure
Journal of Applied Probability | 2015-04-14 | Paper |
Optimal portfolios under worst-case scenarios
Quantitative Finance | 2015-04-01 | Paper |
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
European Journal of Operational Research | 2015-02-03 | Paper |
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
ASTIN Bulletin | 2014-06-11 | Paper |
A note on Stein's lemma for multivariate elliptical distributions
Journal of Statistical Planning and Inference | 2014-01-24 | Paper |
Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
Scandinavian Actuarial Journal | 2013-12-17 | Paper |
A provisioning problem with stochastic payments
European Journal of Operational Research | 2012-12-29 | Paper |
A note on `Improved Fréchet bounds and model-free pricing of multi-asset options' by Tankov (2011)
Journal of Applied Probability | 2012-10-29 | Paper |
An explicit option-based strategy that outperforms dollar cost averaging
International Journal of Theoretical and Applied Finance | 2012-05-07 | Paper |
Correlation order, merging and diversification
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Comparing approximations for risk measures of sums of nonindependent lognormal random variables
North American Actuarial Journal | 2011-07-02 | Paper |
Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
North American Actuarial Journal | 2011-06-07 | Paper |
Bounds for some general sums of random variables
Statistics & Probability Letters | 2011-03-14 | Paper |
| Consistent assumptions for modeling credit loss correlations | 2010-06-07 | Paper |
A note on the suboptimality of path-dependent pay-offs in Lévy markets
Applied Mathematical Finance | 2009-12-16 | Paper |
Bounds and approximations for sums of dependent log-elliptical random variables
Insurance Mathematics & Economics | 2009-06-10 | Paper |
Some results on the CTE-based capital allocation rule
Insurance Mathematics & Economics | 2009-01-28 | Paper |
On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Optimal approximations for risk measures of sums of lognormals based on conditional expectations
Journal of Computational and Applied Mathematics | 2008-10-22 | Paper |
Analytic bounds and approximations for annuities and Asian options
Insurance Mathematics & Economics | 2008-06-25 | Paper |
Risk Measures and Comonotonicity: A Review
Stochastic Models | 2007-02-15 | Paper |
The hurdle-race problem.
Insurance Mathematics & Economics | 2004-02-14 | Paper |
