| Publication | Date of Publication | Type |
|---|
| Estimating option pricing models using a characteristic function-based linear state space representation | 2025-01-16 | Paper |
| Law-invariant return and star-shaped risk measures | 2024-07-17 | Paper |
| Two-Sample Testing for Tail Copulas with an Application to Equity Indices | 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 | 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 | 2022-08-05 | Paper |
| Quasi-Logconvex Measures of Risk | 2022-07-25 | Paper |
| Systemic risk: conditional distortion risk measures | 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 | 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 | 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 | 2020-05-21 | Paper |
| Dynamic consumption and portfolio choice under prospect theory | 2020-03-20 | Paper |
| Optimal Stopping Under Uncertainty in Drift and Jump Intensity | 2020-03-12 | Paper |
| Risk apportionment: the dual story | 2020-01-20 | Paper |
| Expected utility and catastrophic risk in a stochastic economy-climate model | 2019-12-19 | Paper |
| The probability premium: a graphical representation | 2018-08-31 | Paper |
| Testing for self-excitation in jumps | 2018-03-22 | Paper |
| Robust return risk measures | 2018-03-01 | Paper |
| Robust optimal risk sharing and risk premia in expanding pools | 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 | 2015-09-14 | Paper |
| Asymptotically distribution-free goodness-of-fit testing for tail copulas | 2015-05-11 | Paper |
| Robust Portfolio Choice and Indifference Valuation | 2015-04-24 | Paper |
| Mutual excitation in Eurozone sovereign CDS | 2014-11-24 | Paper |
| Entropy Coherent and Entropy Convex Measures of Risk | 2014-07-11 | Paper |
| Optimal dividends and ALM under unhedgeable risk | 2014-06-23 | Paper |
| A note on weighted premium calculation principles | 2014-04-14 | Paper |
| Pareto utility | 2013-09-09 | Paper |
| Decision principles derived from risk measures | 2012-07-02 | Paper |
| Decision principles derived from risk measures | 2012-02-10 | Paper |
| A note on additive risk measures in rank-dependent utility | 2012-02-10 | Paper |
| Worst case risk measurement: back to the future? | 2011-12-21 | Paper |
| Worst VaR scenarios with given marginals and measures of association | 2009-05-12 | Paper |
| Worst VaR scenarios: A remark | 2009-05-12 | Paper |
| Actuarial risk measures for financial derivative pricing | 2009-01-28 | Paper |
| Managing Economic and Virtual Economic Capital Within Financial Conglomerates | 2008-08-12 | Paper |
| The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance | 2007-12-16 | Paper |
| Risk measurement with equivalent utility principles | 2007-01-30 | Paper |
| Some asymptotic results for sums of dependent random variables, with actuarial applications | 2006-01-10 | Paper |
| A comonotonic image of independence for additive risk measures | 2005-08-05 | Paper |
| An optimization approach to the dynamic allocation of economic capital | 2005-01-13 | Paper |
| On Geometrically Convex Risk Measures | N/A | Paper |
