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Publications

1. Published

   Robust Portfolio Selection under Recovery Average Value at Risk

   Munari, C., Pluckebaum, J. & Weber, S., 2024, In: SIAM Journal on Financial Mathematics. 15, 1, p. 295-314 20 p.

   Research output: Contribution to journal › Article › Research › peer review

2. Published

   Confidence bounds for the adjustment coefficient

   Pitts, S. M., Grübel, R. & Embrechts, P., Sept 1996, In: Advances in applied probability. 28, 3, p. 802-827 26 p.

   Research output: Contribution to journal › Article › Research › peer review

3. Published

   Comonotone Pareto optimal allocations for law invariant robust utilities on L¹

   Ravanelli, C. & Svindland, G., 2014, In: Finance and stochastics.

   Research output: Contribution to journal › Article › Research › peer review

4. Published

   Multidimensional resilience decision-making on a multistage high-speed axial compressor

   Salomon, J., Behrensdorf, J., Broggi, M., Weber, S. & Beer, M., 2020, Proceedings of the 29th European Safety and Reliability Conference, ESREL 2019. Beer, M. & Zio, E. (eds.). p. 1357-1364 8 p.

   Research output: Chapter in book/report/conference proceeding › Conference contribution › Research › peer review

5. Published

   Resilience decision-making for complex systems

   Salomon, J., Broggi, M., Kruse, S., Weber, S. & Beer, M., Jun 2020, In: ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part B: Mechanical Engineering. 6, 2, 11 p., 020901.

   Research output: Contribution to journal › Article › Research › peer review

6. Published

   Decision-Making for Resilience-Enhancing Endowments in Complex Systems Using Principles of Risk Measures

   Salomon, J., Kruse, S., Broggi, M., Weber, S. & Beer, M., 2018, Proceedings of the 6th International Symposium on Reliability Engineering and Risk Management.

   Research output: Chapter in book/report/conference proceeding › Conference contribution › Research › peer review

7. Published

   Robust Preferences and Robust Portfolio Choice

   Schied, A., Föllmer, H. & Weber, S., 2009

   Research output: Other contribution › Other publication › Research › peer review

8. Published

   Dilatation monotonicity and convex order

   Svindland, G., 2014, In: Mathematics and Financial Economics.

   Research output: Contribution to journal › Article › Research › peer review

9. Published

   Continuity properties of law-invariant (quasi-)convex risk functions on L^∞

   Svindland, G., 2010, In: Mathematics and Financial Economics.

   Research output: Contribution to journal › Article › Research › peer review

10. Published

    Optimal capital and risk allocations for law- and cash-invariant convex functions

    Svindland, G. & Filipović, D., Jul 2008, In: Finance and stochastics.

    Research output: Contribution to journal › Article › Research › peer review

11. Published

    Subgradients of law-invariant convex risk measures on L1

    Svindland, G., Jan 2009, In: Statistics & Decisions.

    Research output: Contribution to journal › Article › Research › peer review

12. E-pub ahead of print

    Bipolar Theorems for Sets of Non-negative Random Variables

    Svindland, G. & Langner, J., 2022, (E-pub ahead of print).

    Research output: Working paper/Preprint › Working paper/Discussion paper

13. E-pub ahead of print

    Uniform Rotundity and Separation

    Svindland, G., Berger, J. & Bridges, D. S., 2023, (E-pub ahead of print).

    Research output: Working paper/Preprint › Working paper/Discussion paper

14. E-pub ahead of print

    Decision-Making Frameworks for Network Resilience -- Managing and Mitigating Systemic (Cyber) Risk

    Svindland, G. & Voß, A., 2024, (E-pub ahead of print).

    Research output: Working paper/Preprint › Working paper/Discussion paper

15. Published

    Stochastic mortality models: an infinite-dimensional approach

    Tappe, S. & Weber, S., 2014, In: Finance and stochastics.

    Research output: Contribution to journal › Article › Research › peer review

16. Published

    Distribution-invariant risk measures, entropy, and large deviations

    Weber, S., 2007, In: Journal of applied probability.

    Research output: Contribution to journal › Article › Research › peer review

17. Published

    The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks

    Weber, S. & Weske, K., Jun 2017, In: Probability, Uncertainty and Quantitative Risk. 2, 9.

    Research output: Contribution to journal › Article › Research › peer review

18. Published

    Solvency II, or how to sweep the downside risk under the carpet

    Weber, S., Sept 2018, In: Insurance: Mathematics and Economics. 82, p. 191-200 10 p.

    Research output: Contribution to journal › Article › Research › peer review

19. Published

    Liquidity-Adjusted Risk Measures

    Weber, S., Anderson, W., Hamm, A., Knispel, T., Liese, M. & Salfeld, T., Jan 2013, In: Mathematics and Financial Economics. 7, p. 69–91

    Research output: Contribution to journal › Article › Research › peer review

20. Published

    Measures and Models of Financial Risk

    Weber, S., 2004

    Research output: Other contribution › Other publication › Research

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