12
H index
14
i10 index
621
Citations
| 12 H index 14 i10 index 621 Citations RESEARCH PRODUCTION: 24 Articles 13 Papers 1 Chapters RESEARCH ACTIVITY: 22 years (1996 - 2018). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pml4 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Alfred Müller. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Insurance: Mathematics and Economics | 6 |
Journal of Multivariate Analysis | 2 |
Mathematical Methods of Operations Research | 2 |
Working Papers Series with more than one paper published | # docs |
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Post-Print / HAL | 9 |
ICER Working Papers - Applied Mathematics Series / ICER - International Centre for Economic Research | 2 |
Year | Title of citing document |
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2023 | A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977. Full description at Econpapers || Download paper |
2023 | Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information. (2022). Sester, Julian ; Neufeld, Ariel ; Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2204.01071. Full description at Econpapers || Download paper |
2023 | Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679. Full description at Econpapers || Download paper |
2023 | A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809. Full description at Econpapers || Download paper |
2023 | Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2301.03517. Full description at Econpapers || Download paper |
2023 | On Sufficientarianism. (2023). Ye, Siming ; Chambers, Christopher. In: Papers. RePEc:arx:papers:2301.08666. Full description at Econpapers || Download paper |
2023 | Conditional generalized quantiles based on expected utility model and equivalent characterization of properties. (2023). Zhang, Ping ; Yang, Fan ; Wu, Qinyu. In: Papers. RePEc:arx:papers:2301.12420. Full description at Econpapers || Download paper |
2023 | Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty. (2023). Tian, Dejian ; Li, Weiwei. In: Papers. RePEc:arx:papers:2304.04396. Full description at Econpapers || Download paper |
2023 | Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach. (2023). Teruzzi, Andrea. In: Papers. RePEc:arx:papers:2311.17239. Full description at Econpapers || Download paper |
2023 | Monotonic mean-deviation risk measures. (2023). Wu, Qinyu ; Wang, Ruodu ; Han, Xia. In: Papers. RePEc:arx:papers:2312.01034. Full description at Econpapers || Download paper |
2023 | A return-diversification approach to portfolio selection. (2023). Tardella, Fabio ; Martino, Manuel Luis ; Giacometti, Rosella ; Cesarone, Francesco. In: Papers. RePEc:arx:papers:2312.09707. Full description at Econpapers || Download paper |
2023 | Strong Solutions to Submodular Mean Field Games with Common Noise and Related McKean-Vlasov FBSDES. (2023). Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:674. Full description at Econpapers || Download paper |
2023 | Multiple Novel Decomposition Techniques for Time Series Forecasting: Application to Monthly Forecasting of Electricity Consumption in Pakistan. (2023). Lopez-Gonzales, Javier Linkolk ; Rodrigues, Paulo Canas ; Bibi, Nadeela ; Iftikhar, Hasnain. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:6:p:2579-:d:1092078. Full description at Econpapers || Download paper |
2023 | Forecasting purchase rates of new products introduced in existing categories. (2023). Zihagh, Fereshteh ; Moradi, Masoud ; Dass, Mayukh. In: Journal of Marketing Analytics. RePEc:pal:jmarka:v:11:y:2023:i:3:d:10.1057_s41270-022-00169-4. Full description at Econpapers || Download paper |
2023 | Multidimensional risk aversion: the cardinal sin. (2023). Peluso, Eugenio ; Pagani, Elisa ; Eeckhoudt, Louis. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:1:d:10.1007_s10479-022-04863-5. Full description at Econpapers || Download paper |
2023 | Robustness and Sample Complexity of Model-Based MARL for General-Sum Markov Games. (2023). Mahajan, Aditya ; Sinha, Amit ; Subramanian, Jayakumar. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:13:y:2023:i:1:d:10.1007_s13235-023-00490-2. Full description at Econpapers || Download paper |
2023 | Robust utility maximisation with intractable claims. (2023). Xu, Zuo Quan ; Li, Yunhong ; Yu, Xun. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00512-2. Full description at Econpapers || Download paper |
2023 | Stochastic orders and measures of skewness and dispersion based on expectiles. (2023). Klar, Bernhard ; Eberl, Andreas. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:2:d:10.1007_s00362-022-01331-x. Full description at Econpapers || Download paper |
2023 | Extreme expectile estimation for short-tailed data, with an application to market risk assessment. (2023). STUPFLER, Gilles ; Padoan, Simone A ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:127937. Full description at Econpapers || Download paper |
2023 | Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles. (2023). Usseglio-Carleve, Antoine ; Stupfler, Gilles ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:128141. Full description at Econpapers || Download paper |
2023 | An expectile computation cookbook. (2023). Usseglio-Carleve, Antoine ; Stupfler, Gilles ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:128323. Full description at Econpapers || Download paper |
2023 | Testing Granger Non-Causality in Expectiles. (2023). Taamouti, Abderrahim ; Doukali, Mohamed ; Bouezmarni, Taoufik. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2023-02. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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1998 | Modeling and Comparing Dependencies in Multivariate Risk Portfolios In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 5 |
2000 | Expected utility maximization of optimal stopping problems In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 1 |
2002 | The Newsvendor Game Has a Nonempty Core In: Games and Economic Behavior. [Full Text][Citation analysis] | article | 51 |
2002 | The newsvendor game has a non-empty core.(2002) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
1996 | Orderings of risks: A comparative study via stop-loss transforms In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 12 |
1997 | Stop-loss order for portfolios of dependent risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 47 |
2001 | Asymptotic ruin probabilities for risk processes with dependent increments In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 7 |
2006 | Stochastic orders and risk measures: Consistency and bounds In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 28 |
2012 | Comparison and bounds for functionals of future lifetimes consistent with life tables In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
2014 | Generalized quantiles as risk measures In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 109 |
2018 | Probabilistic forecasting of industrial electricity load with regime switching behavior In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 10 |
2012 | Fear of loss, inframodularity, and transfers In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 20 |
2000 | Some Remarks on the Supermodular Order In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 54 |
2000 | Some remarks on the supermodular order.(2000) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 54 | paper | |
2005 | Archimedean copulæ and positive dependence In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 49 |
2005 | Archimedean copulae and positive dependence.(2005) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 49 | paper | |
2003 | Archimedean Copulae and Positive Dependence..(2003) In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | paper | |
1998 | Comparing risks with unbounded distributions In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 4 |
1996 | Comparing Risks with Unbounded Distributions.(1996) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2001 | Bounds for optimal stopping values of dependent random variables with given marginals In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
2006 | Positive dependence and weak convergence In: Post-Print. [Citation analysis] | paper | 1 |
2006 | Stochastic order relations and lattices of probability measures In: Post-Print. [Citation analysis] | paper | 15 |
2004 | Some counterexamples in positive dependence In: Post-Print. [Citation analysis] | paper | 7 |
2003 | Some Counterexamples in Positive Dependence..(2003) In: ICER Working Papers - Applied Mathematics Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2003 | Sensitivity analysis of a sequential decision problem with learning In: Post-Print. [Citation analysis] | paper | 0 |
2003 | Sensitivity analysis of a sequential decision problem with learning.(2003) In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2002 | Even Risk-Averters May Love Risk In: Post-Print. [Citation analysis] | paper | 3 |
2002 | Even Risk-Averters may Love Risk.(2002) In: Theory and Decision. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2001 | Stochastic comparison of random vectors with a common copula In: Post-Print. [Citation analysis] | paper | 42 |
1997 | How Does the Value Function of a Markov Decision Process Depend on the Transition Probabilities? In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 5 |
2001 | Stochastic Comparison of Random Vectors with a Common Copula In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 39 |
1998 | Another Tale of Two Tails: On Characterizations of Comparative Risk. In: Journal of Risk and Uncertainty. [Full Text][Citation analysis] | article | 1 |
1996 | Another tale of two tails: On characterizations of comparative risk.(1996) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2001 | Stochastic Ordering of Multivariate Normal Distributions In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] | article | 20 |
2008 | Dependence properties and comparison results for Lévy processes In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 5 |
2004 | A spot market model for pricing derivatives in electricity markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 84 |
1999 | “Bounds for Actuarial Present Values Under the Fractional Independence Assumption”, Werner Hürlimann, July, 1999 In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2018 | On Consistency of the Omega Ratio with Stochastic Dominance Rules In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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