Mitja Stadje : Citation Profile


Are you Mitja Stadje?

Universiteit van Tilburg

5

H index

1

i10 index

48

Citations

RESEARCH PRODUCTION:

3

Articles

4

Papers

RESEARCH ACTIVITY:

   8 years (2009 - 2017). See details.
   Cites by year: 6
   Journals where Mitja Stadje has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 1 (2.04 %)

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   Permalink: http://citec.repec.org/pst422
   Updated: 2017-11-18    RAS profile: 2014-01-17    
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Relations with other researchers


Works with:

Pelsser, Antoon (2)

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

Is cited by:

Laeven, Roger (6)

Pelsser, Antoon (4)

Danielsson, Jon (2)

Maillet, Bertrand (2)

Muris, Chris (1)

Goovaerts, Marc (1)

Chi, Yichun (1)

Riedel, Frank (1)

Cites to:

Epstein, Larry (9)

Maccheroni, Fabio (8)

Marinacci, Massimo (8)

Rustichini, Aldo (7)

Duffie, Darrell (6)

Artzner, Philippe (6)

Schmeidler, David (5)

Rogers, Leonard (4)

Ruszczynski, Andrzej (4)

Shapiro, Alexander (4)

Goovaerts, Marc (4)

Main data


Where Mitja Stadje has published?


Working Papers Series with more than one paper published# docs
Papers / arXiv.org2

Recent works citing Mitja Stadje (2017 and 2016)


YearTitle of citing document
2016Time-consistency of risk measures with GARCH volatilities and their estimation. (2016). Kluppelberg, Claudia ; Zhang, Jianing . In: Papers. RePEc:arx:papers:1504.04774.

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2016A Supermartingale Relation for Multivariate Risk Measures. (2016). Feinstein, Zachary ; Rudloff, Birgit . In: Papers. RePEc:arx:papers:1510.05561.

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2016Robust Optimal Risk Sharing and Risk Premia in Expanding Pools. (2016). Laeven, Roger ; Knispel, Thomas ; Svindland, Gregor . In: Papers. RePEc:arx:papers:1601.06979.

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2017A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective. (2017). Bielecki, Tomasz R ; Pitera, Marcin ; Cialenco, Igor . In: Papers. RePEc:arx:papers:1603.09030.

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2016On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation. (2016). Pistorius, Martijn ; Stadje, Mitja . In: Papers. RePEc:arx:papers:1604.08037.

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2016Insurance valuation: a computable multi-period cost-of-capital approach. (2016). Lindskog, Filip ; Engsner, Hampus ; Lindholm, Mathias . In: Papers. RePEc:arx:papers:1607.04100.

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2017Existence and uniqueness results for BSDEs with jumps: the whole nine yards. (2017). Papapantoleon, Antonis ; Saplaouras, Alexandros ; Possamai, Dylan . In: Papers. RePEc:arx:papers:1607.04214.

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2016Data-driven nonlinear expectations for statistical uncertainty in decisions. (2016). Cohen, Samuel N. In: Papers. RePEc:arx:papers:1609.06545.

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2017A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation. (2017). Ruszczynski, Andrzej ; Yao, Jianing . In: Papers. RePEc:arx:papers:1701.06234.

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2016Time-consistency of risk measures with GARCH volatilities and their estimation. (2016). Claudia, Kluppelberg ; Jianing, Zhang . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:32:y:2016:i:2:p:103-124:n:2.

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2016Time-consistent actuarial valuations. (2016). Pelsser, Antoon ; Ghalehjooghi, Ahmad Salahnejhad . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:66:y:2016:i:c:p:97-112.

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2016Robust optimal risk sharing and risk premia in expanding pools. (2016). Laeven, Roger ; Svindland, Gregor ; Knispel, Thomas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:182-195.

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2017Insurance valuation: A computable multi-period cost-of-capital approach. (2017). Engsner, Hampus ; Lindskog, Filip ; Lindholm, Mathias . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:250-264.

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2017Characterization of acceptance sets for co-monotone risk measures. (2017). Rieger, Marc Oliver . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:147-152.

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2017Intergenerational risk sharing in closing pension funds. (2017). Boonen, Tim J ; de Waegenaere, Anja . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:20-30.

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2017Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency. (2017). Chen, Ze ; Barigou, Karim ; Linders, Daniel ; Dhaene, Jan ; Stassen, Ben . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:14-27.

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2016Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver. (2016). Madan, Dilip ; Stadje, Mitja ; Pistorius, Martijn . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:5:p:1553-1584.

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2016Compositions of Conditional Risk Measures and Solvency Capital. (2016). Devolder, Pierre ; Lebegue, Adrien . In: Risks. RePEc:gam:jrisks:v:4:y:2016:i:4:p:49-:d:85319.

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2017On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. (2017). Madan, D ; Stadje, M ; Pistorius, M. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0339-1.

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Works by Mitja Stadje:


YearTitleTypeCited
2013Time-Consistent and Market-Consistent Evaluations In: Papers.
[Full Text][Citation analysis]
paper6
2017On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation In: Papers.
[Full Text][Citation analysis]
paper2
2009Time-inconsistency of VaR and time-consistent alternatives In: Finance Research Letters.
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article17
2010Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article8
2012Existence, minimality and approximation of solutions to BSDEs with convex drivers In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article3
2014Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086) In: Discussion Paper.
[Full Text][Citation analysis]
paper5
2011Entropy Coherent and Entropy Convex Measures of Risk In: Discussion Paper.
[Full Text][Citation analysis]
paper7

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