| Publication | Date of Publication | Type |
|---|
Estimating option pricing models using a characteristic function-based linear state space representation
Journal of Econometrics | 2025-01-16 | Paper |
Law-invariant return and star-shaped risk measures
Insurance Mathematics \& Economics | 2024-07-17 | Paper |
Two-Sample Testing for Tail Copulas with an Application to Equity Indices
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
Optimal Stopping with Randomly Arriving Opportunities to Stop
| 2023-11-18 | Paper |
Law-Invariant Return and Star-Shaped Risk Measures
| 2023-10-30 | Paper |
Dynamic Return and Star-Shaped Risk Measures via BSDEs
| 2023-07-07 | Paper |
Delayed Hawkes birth-death processes
| 2023-06-22 | Paper |
Earthquake Risk Embedded in Property Prices: Evidence From Five Japanese Cities
Journal of the American Statistical Association | 2023-03-09 | Paper |
Elicitability of Return Risk Measures
| 2023-02-25 | Paper |
Compound Multivariate Hawkes Processes: Large Deviations and Rare Event Simulation
| 2022-11-30 | Paper |
Dual moments and risk attitudes
Operations Research | 2022-08-05 | Paper |
Quasi-Logconvex Measures of Risk
| 2022-07-25 | Paper |
Systemic risk: conditional distortion risk measures
Insurance Mathematics \& Economics | 2022-03-10 | Paper |
Large deviations asymptotics for unbounded additive functionals of diffusion processes
| 2022-02-22 | Paper |
Asymptotic Analysis of Risk Premia Induced by Law-Invariant Risk Measures
| 2021-07-04 | Paper |
Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
European Journal of Operational Research | 2021-06-07 | Paper |
Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes
| 2021-06-07 | Paper |
Goodness-of-fit testing for copulas: a distribution-free approach
Bernoulli | 2020-10-07 | Paper |
Robust Multiple Stopping -- A Pathwise Duality Approach
| 2020-06-02 | Paper |
Dependent microstructure noise and integrated volatility estimation from high-frequency data
Journal of Econometrics | 2020-05-21 | Paper |
Dynamic consumption and portfolio choice under prospect theory
Insurance Mathematics \& Economics | 2020-03-20 | Paper |
Optimal stopping under uncertainty in drift and jump intensity
Mathematics of Operations Research | 2020-03-12 | Paper |
Risk apportionment: the dual story
Journal of Economic Theory | 2020-01-20 | Paper |
Expected utility and catastrophic risk in a stochastic economy-climate model
Journal of Econometrics | 2019-12-19 | Paper |
The probability premium: a graphical representation
Economics Letters | 2018-08-31 | Paper |
Testing for self-excitation in jumps
Journal of Econometrics | 2018-03-22 | Paper |
Robust return risk measures
Mathematics and Financial Economics | 2018-03-01 | Paper |
Robust optimal risk sharing and risk premia in expanding pools
Insurance Mathematics \& Economics | 2016-12-13 | Paper |
Risk Aversion in the Small and in the Large under Rank-Dependent Utility
| 2015-12-25 | Paper |
Expected utility and catastrophic consumption risk
Insurance Mathematics \& Economics | 2015-09-14 | Paper |
Asymptotically distribution-free goodness-of-fit testing for tail copulas
The Annals of Statistics | 2015-05-11 | Paper |
Robust portfolio choice and indifference valuation
Mathematics of Operations Research | 2015-04-24 | Paper |
Mutual excitation in Eurozone sovereign CDS
Journal of Econometrics | 2014-11-24 | Paper |
Entropy coherent and entropy convex measures of risk
Mathematics of Operations Research | 2014-07-11 | Paper |
Optimal dividends and ALM under unhedgeable risk
Insurance Mathematics \& Economics | 2014-06-23 | Paper |
A note on weighted premium calculation principles
Insurance Mathematics \& Economics | 2014-04-14 | Paper |
Pareto utility
Theory and Decision | 2013-09-09 | Paper |
Decision principles derived from risk measures
HERMIS-\(\mu\pi\). Hellenic European Research on Mathematics and Informatics Science | 2012-07-02 | Paper |
Decision principles derived from risk measures
Insurance Mathematics \& Economics | 2012-02-10 | Paper |
A note on additive risk measures in rank-dependent utility
Insurance Mathematics \& Economics | 2012-02-10 | Paper |
Worst case risk measurement: back to the future?
Insurance Mathematics \& Economics | 2011-12-21 | Paper |
Worst VaR scenarios with given marginals and measures of association
Insurance Mathematics \& Economics | 2009-05-12 | Paper |
Worst VaR scenarios: A remark
Insurance Mathematics \& Economics | 2009-05-12 | Paper |
Actuarial risk measures for financial derivative pricing
Insurance Mathematics \& Economics | 2009-01-28 | Paper |
Managing Economic and Virtual Economic Capital Within Financial Conglomerates
North American Actuarial Journal | 2008-08-12 | Paper |
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
Risk measurement with equivalent utility principles
Statistics & Risk Modeling | 2007-01-30 | Paper |
Some asymptotic results for sums of dependent random variables, with actuarial applications
Insurance Mathematics \& Economics | 2006-01-10 | Paper |
A comonotonic image of independence for additive risk measures
Insurance Mathematics \& Economics | 2005-08-05 | Paper |
An optimization approach to the dynamic allocation of economic capital
Insurance Mathematics \& Economics | 2005-01-13 | Paper |
On Geometrically Convex Risk Measures
| N/A | Paper |
