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2016 Artikel Improved Fréchet bounds and application to VaR estimates
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Improved Fréchet bounds and application to VaR estimates. Prepring (2016).
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2016 Artikel Quantiles as Markov morphisms: a copula and mass transportation approach
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Quantiles as Markov morphisms: a copula and mass transportation approach. Coauthor: O. P. Faugeras. Preprint (2016)
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2016 Artikel VaR bounds in models with partial dependence information on subgroups
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VaR bounds in models with partial dependence information on subgroups. Coauthor: J. Witting. Preprint (2016).
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2017 Artikel Risk bounds with additional information on fuctionals of the risk vector
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Risk bounds with additional information on fuctionals of the risk vector. Preprint (November 2017) (pdf)
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2017 Artikel Upper bounds for concave distortion risk measures on moment space
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Upper bounds for concave distortion risk measures on moment space. Coauthors: D. Cornilly, S. Vanduffel. Preprint (2017) (pdf)
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2017 Artikel VaR bounds with two-sided dependence information
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VaR bounds with two-sided dependence information. Coauthor: T. Lux. Preprint (2017) (pdf)
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2020 Bild Stochastische Prozesse
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Stochastic Processes and Financial Mathematics
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Ludger RüschendorfStochastic Processes and Financial Mathematics,Springer (2023), Language: english, ISBN978-3-662-64710-3, ISBN978-3-662-64711-0https://doi.org/10.1007/978-3-662-64711-0
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2017 Artikel Risk excess measures induced by hemi-metrics
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Risk excess measures induced by hemi-metrics. Coauthor: O. P. Faugera. Preprint (2017) (pdf)
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Asymptotische Statistik
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