Philippe Artzner : Citation Profile


Are you Philippe Artzner?

Université de Strasbourg

3

H index

2

i10 index

1825

Citations

RESEARCH PRODUCTION:

5

Articles

RESEARCH ACTIVITY:

   21 years (1978 - 1999). See details.
   Cites by year: 86
   Journals where Philippe Artzner has often published
   Relations with other researchers
   Recent citing documents: 171.    Total self citations: 0 (0 %)

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   Permalink: http://citec.repec.org/par196
   Updated: 2021-03-01    RAS profile: 2010-04-10    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Philippe Artzner.

Is cited by:

cotter, john (15)

Guillen, Montserrat (10)

Alexander, Gordon (9)

Csóka, Péter (9)

Danielsson, Jon (9)

Baptista, Alexandre (9)

Ruszczynski, Andrzej (9)

Prigent, Jean-Luc (9)

Grabisch, Michel (8)

Siu, Tak Kuen (8)

Zenios, Stavros (7)

Cites to:

Main data


Where Philippe Artzner has published?


Journals with more than one article published# docs
Mathematical Finance3

Recent works citing Philippe Artzner (2021 and 2020)


YearTitle of citing document
2021Comonotonic risk measures in a world without risk-free assets. (2017). Svindland, Gregor ; Koch-Medina, Pablo ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1602.05477.

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2020On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2020A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2021Scalar multivariate risk measures with a single eligible asset. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.10694.

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2021Law-invariant insurance pricing and its limitations. (2018). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:1808.00821.

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2021Robustness in the Optimization of Risk Measures. (2019). Wang, Ruodu ; Schied, Alexander ; Embrechts, Paul. In: Papers. RePEc:arx:papers:1809.09268.

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2020Classifying Markets up to Isomorphism. (2019). Armstrong, John. In: Papers. RePEc:arx:papers:1810.03546.

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2021Time consistency for scalar multivariate risk measures. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1810.04978.

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2020Elicitability of Range Value at Risk. (2019). Ziegel, Johanna F ; Fissler, Tobias. In: Papers. RePEc:arx:papers:1902.04489.

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2021Computation of systemic risk measures: a mixed-integer linear programming approach. (2019). Meimanjanov, Nurtai ; Ararat, Ccaugin. In: Papers. RePEc:arx:papers:1903.08367.

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2020Portfolio optimization with two coherent risk measures. (2019). Ararat, Ccaugin ; Akturk, Tahsin Deniz. In: Papers. RePEc:arx:papers:1903.10454.

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2020Regulator-based risk statistics for portfolios. (2019). Sun, Fei. In: Papers. RePEc:arx:papers:1904.08829.

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2020Loss-based risk statistics with scenario analysis. (2019). Sun, Fei. In: Papers. RePEc:arx:papers:1904.11032.

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2020Risk measures and progressive enlargement of filtration: a BSDE approach. (2019). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Calvia, Alessandro. In: Papers. RePEc:arx:papers:1904.13257.

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2020Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall. (2019). Tadese, Mekonnen ; Drapeau, Samuel. In: Papers. RePEc:arx:papers:1906.09729.

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2020Stability properties of Haezendonck-Goovaerts premium principles. (2019). Xanthos, Foivos ; Munari, Cosimo ; Gao, Niushan. In: Papers. RePEc:arx:papers:1909.10735.

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2020Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations. (2019). Feinstein, Zachary ; Ararat, cCaugin . In: Papers. RePEc:arx:papers:1912.06916.

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2020The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:2001.00529.

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2020On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization. (2020). Zhang, Fangyuan ; Stadje, Mitja ; Chen, AN. In: Papers. RePEc:arx:papers:2002.02229.

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2021Inf-convolution and optimal risk sharing with arbitrary sets of risk measures. (2020). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2003.05797.

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2020Total systemic risk statistics. (2020). Sun, Fei. In: Papers. RePEc:arx:papers:2003.09255.

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2020Non-asymptotic rates for the estimation of risk measures. (2020). Tangpi, Ludovic ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2003.10479.

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2021Quantification of Risk in Classical Models of Finance. (2020). Schlotter, Ruben ; Pichler, Alois. In: Papers. RePEc:arx:papers:2004.04397.

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2020RM-CVaR: Regularized Multiple $\beta$-CVaR Portfolio. (2020). Abe, Masaya ; Noma, Shuhei ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2004.13347.

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2020Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2020Value-at-Risk substitute for non-ruin capital is fallacious and redundant. (2020). Malinovskii, Vsevolod. In: Papers. RePEc:arx:papers:2005.05428.

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2020Short-Term Investments and Indices of Risk. (2020). Schreiber, Amnon ; Heller, Yuval. In: Papers. RePEc:arx:papers:2005.06576.

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2020Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality. (2020). Frittelli, Marco ; Doldi, Alessandro. In: Papers. RePEc:arx:papers:2005.12572.

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2020Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , . In: Papers. RePEc:arx:papers:2006.01802.

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2020Robust uncertainty sensitivity analysis. (2020). Drapeau, Samuel ; Bartl, Daniel ; Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:2006.12022.

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2020A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020Forecasting volatility with a stacked model based on a hybridized Artificial Neural Network. (2020). Alonso-Gonz, P J ; Ramos, E ; J. J. N'u~nez-Vel'azquez, . In: Papers. RePEc:arx:papers:2006.16383.

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2020Adjusted Expected Shortfall. (2020). Munari, Cosimo ; Burzoni, Matteo ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2007.08829.

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2020Ordering and Inequalities for Mixtures on Risk Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Chen, Yuyu. In: Papers. RePEc:arx:papers:2007.12338.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2021Law-invariant functionals that collapse to the mean. (2020). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:2009.04144.

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2020A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures. (2020). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2009.05498.

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2020Conditional Systemic Risk Measures. (2020). Frittelli, Marco ; Doldi, Alessandro. In: Papers. RePEc:arx:papers:2010.11515.

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2020Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis. (2020). Georgantas, A. In: Papers. RePEc:arx:papers:2010.13397.

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2020Optimizing distortion riskmetrics with distributional uncertainty. (2020). Wang, Qiuqi ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2011.04889.

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2020Bayesian Quantile-Based Portfolio Selection. (2020). Lindholm, Mathias ; Bodnar, Taras ; Thors, Erik ; Niklasson, Vilhelm. In: Papers. RePEc:arx:papers:2012.01819.

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2020Portfolio Optimisation within a Wasserstein Ball. (2020). Jaimungal, Sebastian ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2012.04500.

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2020Parametric measures of variability induced by risk measures. (2020). Fadina, Tolulope ; Bellini, Fabio ; Wei, Yunran ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2012.05219.

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2020Portfolio optimization with two quasiconvex risk measures. (2020). Ararat, Ccaugin. In: Papers. RePEc:arx:papers:2012.06173.

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2020Market-consistent pricing with acceptable risk. (2020). Munari, Cosimo ; Arduca, Maria. In: Papers. RePEc:arx:papers:2012.08351.

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2020Acceptability maximization. (2020). Rudloff, Birgit ; Kov, Gabriela ; Cialenco, Igor. In: Papers. RePEc:arx:papers:2012.11972.

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2021Some results on the risk capital allocation rule induced by the Conditional Tail Expectation risk measure. (2021). Furman, Edward ; Su, Jianxi ; Mohammed, Nawaf. In: Papers. RePEc:arx:papers:2102.05003.

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2020Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

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2020Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets. (2020). Ma, Ming ; Liang, Zongxia. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:1035-1072.

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2020Risk functionals with convex level sets. (2020). Wei, Yunran ; Wang, Ruodu. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1337-1367.

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2020A martingale representation theorem and valuation of defaultable securities. (2020). Vanmaele, Michele ; Daveloose, Catherine ; Choulli, Tahir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1527-1564.

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2020Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization. (2020). STUPFLER, Gilles ; Girard, Stephane ; Gardes, Laurent. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:922-949.

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2021A risk-averse stochastic quadratic model with recourse for supporting irrigation water management in uncertain and nonlinear environments. (2021). Zhang, T Y ; Tan, Q. In: Agricultural Water Management. RePEc:eee:agiwat:v:244:y:2021:i:c:s0378377420305588.

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2020Expected shortfall computation with multiple control variates. (2020). Ortiz-Gracia, Luis. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:373:y:2020:i:c:s0096300319310100.

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2020Risk-conscious optimization model to support bioenergy investments in the Brazilian sugarcane industry. (2020). Mutran, Victoria M ; Chachuat, Benoit ; Ribeiro, Celma O. In: Applied Energy. RePEc:eee:appene:v:258:y:2020:i:c:s0306261919316654.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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2020What is the minimal systemic risk in financial exposure networks?. (2020). Pichler, Anton ; Diem, Christian ; Thurner, Stefan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300683.

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2020Spillovers and diversification potential of bank equity returns from developed and emerging America. (2020). Yoon, Seong-Min ; Hussain, Syed Jawad ; Kang, Sang Hoon ; Hernandez, Jose Arreola. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301169.

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2020Partially censored posterior for robust and efficient risk evaluation. (2020). Hoogerheide, Lennart ; Borowska, Agnieszka ; van Dijk, Herman K ; Koopman, Siem Jan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:335-355.

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2020Inference of local regression in the presence of nuisance parameters. (2020). Xu, Ke-Li. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:532-560.

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2020A generalization of the Aumann–Shapley value for risk capital allocation problems. (2020). De Waegenaere, Anja ; Norde, Henk ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:277-287.

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2020Mean-variance analysis of the newsvendor problem with price-dependent, isoelastic demand. (2020). Baykal-Gursoy, Melike ; Rubio-Herrero, Javier. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:3:p:942-953.

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2020Entropy based risk measures. (2020). Schlotter, Ruben ; Pichler, Alois. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:223-236.

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2020Integrated dynamic models for hedging international portfolio risks. (2020). Vladimirou, Hercules ; Topaloglou, Nikolas ; Zenios, Stavros A. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:48-65.

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2020Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set. (2020). Sun, Jie ; Ling, Aifan ; Wang, Meihua. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:81-95.

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2020Beyond expected utility: Subjective risk aversion and optimal portfolio choice under convex shortfall risk measures. (2020). Kursten, Wolfgang ; Brandtner, Mario ; Rischau, Robert. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:3:p:1114-1126.

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2020Risk neutral reformulation approach to risk averse stochastic programming. (2020). Shapiro, Alexander ; Liu, Rui Peng. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:1:p:21-31.

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2020Heterogeneous risk preferences in community-based electricity markets. (2020). Papakonstantinou, Athanasios ; Pinson, Pierre ; Moret, Fabio. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:1:p:36-48.

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2021Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming. (2021). Shapiro, Alexander. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:1-13.

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2021The ordinal input for cardinal output approach of non-compensatory composite indicators: the PROMETHEE scoring method. (2021). Torrisi, Gianpiero ; Tasiou, Menelaos ; Ishizaka, Alessio ; Greco, Salvatore. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:225-246.

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2021Probabilistic sensitivity measures as information value. (2021). Plischke, Elmar ; Richmond, Victor ; Hazen, Gordon B ; Borgonovo, Emanuele. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:595-610.

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2021Indifference pricing of insurance-linked securities in a multi-period model. (2021). Yuan, Zhongyi ; Tang, Qihe ; Liu, Haibo. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:793-805.

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2020Value at risk, cross-sectional returns and the role of investor sentiment. (2020). Zhu, Yifeng ; Bi, Jia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:1-18.

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2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:164-180.

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2020A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368.

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2020Impact of government subsidies on a cellulosic biofuel sector with diverse risk preferences toward feedstock uncertainty. (2020). Yu, Edward T ; Sharma, Bijay P ; Larson, James A ; Boyer, Christopher N ; English, Burton C. In: Energy Policy. RePEc:eee:enepol:v:146:y:2020:i:c:s0301421520304626.

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2021Risk-constrained stochastic market operation strategies for wind power producers and energy storage systems. (2021). Zareipour, Hamidreza ; Shafiee, Soroush ; Mohammadi, Mohammad ; Rastegar, Mohammad ; Lak, Omidreza. In: Energy. RePEc:eee:energy:v:215:y:2021:i:pb:s036054422032199x.

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2020Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo Brutti ; Ramos, Henrique Pinto. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071.

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2020Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall. (2020). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521917301801.

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2020Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market. (2020). Sobreira, Nuno ; Louro, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305403.

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2020On log-normal convolutions: An analytical–numerical method with applications to economic capital determination. (2020). Kuznetsov, Alexey ; Hackmann, Daniel ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:120-134.

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2020Convex risk functionals: Representation and applications. (2020). Wang, Ruodu ; Lemieux, Christiane ; Cai, Jun ; Liu, Fangda. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:66-79.

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2020Is the inf-convolution of law-invariant preferences law-invariant?. (2020). Wang, Ruodu ; Liu, Peng ; Wei, Linxiao . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:144-154.

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2020Distributionally robust inference for extreme Value-at-Risk. (2020). Cooley, Daniel ; Stoev, Stilian ; Yuen, Robert. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:70-89.

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2020Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models. (2020). Yao, Jing ; Shushi, Tomer. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:178-186.

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2020Ruin-based risk measures in discrete-time risk models. (2020). Zuyderhoff, Pierre ; Trufin, Julien ; Marceau, Etienne ; Cossette, Helene. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:246-261.

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2020Characterizing optimal allocations in quantile-based risk sharing. (2020). Wei, Yunran ; Wang, Ruodu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:288-300.

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2020Prevention efforts, insurance demand and price incentives under coherent risk measures. (2020). Kazi-Tani, Nabil ; Santibaez, Nicolas Hernandez ; Bensalem, Sarah. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:369-386.

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2020Relative bound and asymptotic comparison of expectile with respect to expected shortfall. (2020). Drapeau, Samuel ; Tadese, Mekonnen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:387-399.

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2020On a family of coherent measures of variability. (2020). Chen, Ouxiang ; Hu, Taizhong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:173-182.

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2020On a robust risk measurement approach for capital determination errors minimization. (2020). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:199-211.

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2020Optimal risk-sharing across a network of insurance companies. (2020). Smirnow, Alexander ; Kull, Andreas ; Farkas, Walter ; Ettlin, Nicolas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:39-47.

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2021Stochastic orders and multivariate measures of risk contagion. (2021). Suarez-Llorens, A ; Sordo, M A ; Ortega-Jimenez, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:199-207.

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2020Forecast combinations for value at risk and expected shortfall. (2020). Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:428-441.

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2020Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures. (2020). Wang, Chao ; Gerlach, Richard. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:489-506.

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2020Forecasting risk measures using intraday data in a generalized autoregressive score framework. (2020). Xue, Xiaohan ; Lazar, Emese. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1057-1072.

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2020On the statistical differences between binary forecasts and real-world payoffs. (2020). Taleb, Nassim Nicholas. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1228-1240.

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2020Forecasting value at risk and expected shortfall with mixed data sampling. (2020). Le, Trung H. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1362-1379.

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2020Systematic stress tests on public data. (2020). Summer, Martin ; Breuer, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301527.

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2020Hedging crash risk in optimal portfolio selection. (2020). Cui, Xueting ; Pei, XI ; Zhu, Wei. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301710.

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More than 100 citations found, this list is not complete...

Works by Philippe Artzner:


YearTitleTypeCited
1995APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES In: Mathematical Finance.
[Full Text][Citation analysis]
article9
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