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Publications

1. 2013
2. Published

   Kombinatorische Markov-Ketten

   Grübel, R., Oct 2013, In: Mathematische Semesterberichte. 60, 2, p. 185-216 32 p.

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

3. 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

4. Published

   Are law-invariant risk functions concave on distributions?

   Acciaio, B. & Svindland, G., 2013, In: Dependence Modeling.

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

5. Published

   Convex Risk Measures: Basic Facts, Law-invariance and beyond, Asymptotics for Large Portfolios

   Knispel, T. & Föllmer, H., 2013, Handbook of the Fundamentals of Financial Decision Making, Part II. World Scientific

   Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review

6. Published

   Reliable Quantification and Efficient Estimation of Credit Risk

   Dunkel, J. & Weber, S., 2013

   Research output: Other contribution › Other publication › Research

7. Published

   Stochastic root finding for optimized certainty equivalents

   Hamm, A., Salfeld, T. & Weber, S., 2013, Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013. (Winter Simulation Conference proceedings).

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

8. 2012
9. Published

   Improving risk assessment for biodiversity conservation

   Dunkel, J. & Weber, S., Jul 2012, In: Proceedings of the National Academy of Sciences of the United States of America.

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

10. Published

    Asymptotics of robust utility maximization

    Knispel, T., 2012, In: Annals of Applied Probability. 2012, 22(1), p. 172-212

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

11. Published

    Black-Scholes, marktkonsistente Bewertung und Risikomaße

    Weber, S., Knispel, T. & Stahl, G., 2012, Schriftenreihe des Kompetenzzentrums Versicherungswissenschaften. Vol. 12.

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research

12. Published

    Convex Capital Requirements for Large Portfolios

    Knispel, T. & Föllmer, H., 2012, Stochastic Analysis and its Applications to Mathematical Finance, Essays in Honor of Jia-an Yan. World Scientific

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review

13. Published

    The canonical model space for law-invariant convex risk measures is l ¹

    Filipović, D. & Svindland, G., 2012, In: Mathematical finance.

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

14. Published

    Trickle-down processes and their boundaries

    Evans, S. N., Grübel, R. & Wakolbinger, A., 2012, In: Electronic journal of probability. 17, p. 1-58 58 p.

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

15. 2011
16. Published

    From the Equivalence Principle to Market Consistent Valuation

    Knispel, T., Stahl, G. & Weber, S., May 2011, In: Jahresbericht der Deutschen Mathematiker-Vereinigung.

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

17. Published

    Matchmaking and testing for exponentiality in the M/G/ ∞ queue

    Grübel, R. & Wegener, H., Mar 2011, In: Journal of applied probability. 48, 1, p. 131-144 14 p.

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

18. Published

    Dual representation of monotone convex functions on L⁰

    Kupper, M. & Svindland, G., 2011, In: Proceedings of the American Mathematical Society.

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

19. Published

    Entropic risk measures: coherence vs. convexity, model ambiguity, and robust large deviations

    Knispel, T. & Föllmer, H., 2011, In: Stochastics and Dynamics. 2011, 11(2-3), p. 333-351

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

20. 2010
21. Published

    Stochastic root finding and efficient estimation of convex risk measures

    Dunkel, J. & Weber, S., Sept 2010, In: Operations research. 58, 5, p. 1505-1521 17 p.

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

22. Published

    On the subtree size profile of binary search trees

    Dennert, F. & Grübel, R., 4 Jul 2010, In: Combinatorics Probability and Computing. 19, 4, p. 561-578 18 p.

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

23. 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

24. 2009
25. Published

    Gaps in discrete random samples: extended abstract

    Grübel, R. & Hitczenko, P., Dec 2009, In: Electronic Notes in Discrete Mathematics. 35, C, p. 97-102 6 p.

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

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