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Bounds for joint portfolios of dependent risks,
Coauthor: G. Puccetti,
Preprint (2011).
(pdf)
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Computation of sharp bounds on the distribution of a function of dependent risks,
Coauthor: G. Puccetti,
Preprint (2011).
(pdf)
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Ordering of multivariate probability distributions with respect to extreme portfolio losses,
Coauthor: G. Mainik,
Preprint (2010).
(pdf)
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On optimal allocation of risk vectors,
Coauthor: S. Kiesel,
Preprint (April 2010) (pdf),
Insurance: Mathematics and Economics 47 (2010), 167-175,
(DOI 10.1016/j.insmatheco.2010.05.005)
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Worst case portfolio vectors and diversification effects,
Preprint (March 2010; 1st version: September 2009),
to appear in: Finance and Stochastics.
(pdf)
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On optimal portfolio diversification with respect to extreme risks,
Coauthor: G. Mainik,
Finance and Stochastics 14 (2010), 593-623,
DOI: 10.1007/s00780-010-0122-z.
(pdf)
The original publication is available www.springerlink.com.
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Characterization of optimal risk allocations for convex risk functionals,
Coauthor: S. Kiesel,
Statistics and Decisions 26 (2008), 303-319.
(pdf)
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Comparison results for path-dependent options,
Coauthor: J. Bergenthum,
Statistics & Decisions 26 (2008), 53-72.
(pdf)
Oldenbourg Wissenschaftsverlag, München (http://statistics-international.de)
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On the distributional transform, Sklar's Theorem, and the empirical copula process,
Journal of Statistical Planning and Inference 139 (2009), 3921-3927.
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On convex risk measures on Lp-spaces,
Coauthor: M. Kaina,
Mathematical Methods in Operations Research (MMDR) 69 (2009), 475-495,
DOI 10.1007/s00186-008-0248-3.
(pdf)
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On comonotonicity of Pareto optimal risk sharing,
Coauthor: M. Ludkovski,
Statistics and Probability Letters 78 (2008), 1181-1188.
(pdf)
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Convex ordering criteria for Lévy Processes,
Coauthor: J. Bergenthum,
Advances Data Analysis Classification 1 (2007), 143-173.
(pdf)
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Risk measures for portfolio vectors and allocation of risks,
Preprint (2005).
In: Risk Assessment: Decisions in Banking and Finance,
Eds: G. Bol, S. T. Rachev, R. Würth, Springer/Physica-Verlag (2009), 153-164.
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Law invariant convex risk measures for portfolio vectors,
Statistics & Decisions 24 (2006), 97-108.
(pdf)
Oldenbourg Wissenschaftsverlag, München (http://statistics-international.de)
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Comparison of semimartingales and Lévy processes,
Coauthor: J. Bergenthum,
Annals of Probability 35 (1) (2007), 228–254.
(pdf)
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On the optimal risk allocation problem,
Coauthor: C. Burgert,
Statistics & Decisions 24 (2006), 153-171.
(pdf)
Oldenbourg Wissenschaftsverlag, München (http://statistics-international.de)
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Consistent risk measures for portfolio vectors,
Coauthor: C. Burgert,
Insurance: Mathematics and Economics 38 (2006), 289-297.
(pdf)
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Optimal consumption strategies under model uncertainty,
Coauthor: C. Burgert,
Statistics & Decisions 23 (2005), 1-14.
(pdf)
Oldenbourg Wissenschaftsverlag, München (http://statistics-international.de)
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Allocation of risks and equilibrium in markets with finitely many traders,
Coauthor: C. Burgert,
Preprint (2005). Insurance: Mathematics and Economics, 42 (2008), 177-188.
(pdf)
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Comparison of option prices in semimartingale models,
Coauthor: J. Bergenthum,
Finance and Stochastics 10 (2006), 222-249.
(pdf)
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Stochastic ordering of risks, influence of dependence and a.s. constructions,
in: Advances on Models, Characterizations and Applications.
Eds: N. Balakrishnan, I. G. Bairamov, O. L. Gebizlioglu, Chapman & Hall/CRC Press (2005), 19-56.
(pdf)
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Comparison of multivariate risks and positive dependence,
Journal of Applied Probability 41 (2004), 391-406.
(pdf)
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On upper and lower prices in discrete time models,
Proc. Steklov Math. Inst. 237 (2002), 134-139.
(ps)
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Minimal distance martingale measures and optimal portfolios
consistent with observed market prices,
Coauthor: T. Goll,
in: Stoch. Processes and Related Topics (2002), 141-154, Taylor & Francis,
Stochastics Monographs. Eds: R. Buckdahn, H.J. Engelbert, and M. Yor.
(ps)
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Minimax and minimal distance martingale measures and their
relationship to portfolio optimization,
Coauthor: T. Goll,
Finance and Stochastics 5 (2001), 557-581
(ps)
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Models for option pricing,
Coauthor: S. T. Rachev,
Theory Probab. Applications 39 (1994), 150–199.
(pdf)
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