Mitja Stadje : Citation Profile


Are you Mitja Stadje?

Universiteit van Tilburg

5

H index

3

i10 index

66

Citations

RESEARCH PRODUCTION:

3

Articles

4

Papers

RESEARCH ACTIVITY:

   8 years (2009 - 2017). See details.
   Cites by year: 8
   Journals where Mitja Stadje has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 1 (1.49 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pst422
   Updated: 2018-10-13    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 (7)

Pelsser, Antoon (5)

Dhaene, Jan (2)

Gospodinov, Nikolay (2)

De Waegenaere, Anja (2)

Maillet, Bertrand (2)

Wakker, Peter (2)

Danielsson, Jon (2)

Muris, Chris (1)

Riedel, Frank (1)

Goovaerts, Marc (1)

Cites to:

Epstein, Larry (9)

Marinacci, Massimo (8)

Maccheroni, Fabio (8)

Rustichini, Aldo (7)

Duffie, Darrell (6)

Artzner, Philippe (6)

Schmeidler, David (5)

Ruszczynski, Andrzej (4)

Goovaerts, Marc (4)

Rogers, Leonard (4)

Shapiro, Alexander (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 (2018 and 2017)


YearTitle of citing document
2018A Supermartingale Relation for Multivariate Risk Measures. (2018). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1510.05561.

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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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2018Existence and uniqueness results for BSDEs with jumps: the whole nine yards. (2018). Papapantoleon, Antonis ; Saplaouras, Alexandros ; Possamai, Dylan. In: Papers. RePEc:arx:papers:1607.04214.

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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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2018Time consistency of the mean-risk problem. (2018). Kovacova, Gabriela ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1806.10981.

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2018A theory for robust risk measures. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2018Scalar multivariate risk measures with a single eligible asset. (2018). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1807.10694.

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2018The value of a liability cash flow in discrete time subject to capital requirements. (2018). Engsner, Hampus ; Lindskog, Filip ; Lindensjo, Kristoffer. In: Papers. RePEc:arx:papers:1808.03328.

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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). De Waegenaere, Anja ; Boonen, Tim J. 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). Dhaene, Jan ; Barigou, Karim ; Linders, Daniel ; Stassen, Ben ; Chen, Ze. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:14-27.

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2017Model spaces for risk measures. (2017). Liebrich, Felix-Benedikt ; Svindland, Gregor. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:150-165.

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2017Actuarial Geometry. (2017). Mildenhall, Stephen J. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:31-:d:101685.

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2018Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions. (2018). Gerer, Johannes ; Dorfleitner, Gregor. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9137-3.

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2018The Term Structure of Sharpe Ratios and Arbitrage-Free Asset Pricing in Continuous Time. (2018). Beissner, Patrick ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:72.

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2018Market consistent valuations with financial imperfection. (2018). Gospodinov, Nikolay ; Assa, Hirbod. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:1:d:10.1007_s10203-018-0207-2.

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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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2017BEHAVIORAL VALUE ADJUSTMENTS. (2017). Bissiri, Matteo ; Cogo, Riccardo. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500509.

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Works by Mitja Stadje:


YearTitleTypeCited
2013Time-Consistent and Market-Consistent Evaluations In: Papers.
[Full Text][Citation analysis]
paper11
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.
[Full Text][Citation analysis]
article21
2010Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article9
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]
paper9
2011Entropy Coherent and Entropy Convex Measures of Risk In: Discussion Paper.
[Full Text][Citation analysis]
paper11

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