Johannes M. Schumacher : Citation Profile


Are you Johannes M. Schumacher?

Universiteit van Amsterdam

9

H index

7

i10 index

252

Citations

RESEARCH PRODUCTION:

24

Articles

90

Papers

RESEARCH ACTIVITY:

   42 years (1980 - 2022). See details.
   Cites by year: 6
   Journals where Johannes M. Schumacher has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 39 (13.4 %)

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   Permalink: http://citec.repec.org/psc259
   Updated: 2024-01-16    RAS profile: 2023-05-10    
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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 Johannes M. Schumacher.

Is cited by:

Engwerda, Jacob (67)

Weeren, Arie (18)

van Aarle, Bas (9)

Plasmans, Joseph (8)

van Aarle, Bas (8)

Maillet, Bertrand (6)

Pelsser, Antoon (5)

Danielsson, Jon (3)

Stadje, Mitja (3)

Vanduffel, Steven (3)

Schlogl, Erik (3)

Cites to:

Engwerda, Jacob (12)

Balasko, Yves (8)

Artzner, Philippe (8)

Jouini, Elyès (7)

Weeren, Arie (6)

Epstein, Larry (6)

Wagener, Florian (5)

Acerbi, Carlo (4)

Scheinkman, Jose (4)

Gilboa, Itzhak (4)

Sobel, Joel (4)

Main data


Where Johannes M. Schumacher has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics4
Journal of Optimization Theory and Applications3
Scandinavian Actuarial Journal3
Journal of Pension Economics and Finance2
Finance and Stochastics2
Journal of Mathematical Economics2
Statistics & Risk Modeling2

Recent works citing Johannes M. Schumacher (2024 and 2023)


YearTitle of citing document
2023A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2023Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2023Conditional 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.

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2023A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules. (2023). Niakh, Fallou. In: Papers. RePEc:arx:papers:2303.05421.

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2023The uniform diversification strategy is optimal for expected utility maximization under high model ambiguity. (2023). Wiesel, Johannes ; Carassus, Laurence. In: Papers. RePEc:arx:papers:2306.01503.

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2023Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach. (2023). Wong, Hoi Ying ; Pun, Chi Seng ; Han, Bingyan. In: Papers. RePEc:arx:papers:2306.16982.

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2023Uncertainty Propagation and Dynamic Robust Risk Measures. (2023). Pesenti, Silvana ; Mailhot, M'Elina ; Moresco, Marlon. In: Papers. RePEc:arx:papers:2308.12856.

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2023Optimal multivariate financial decision making. (2023). Vanduffel, Steven ; de Gennaro, L ; Bernard, C. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:1:p:468-483.

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2023Knowledge mapping of model risk in banking. (2023). Torluccio, Giuseppe ; Rimo, Giuseppe ; Cosma, Simona. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003162.

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2023A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x.

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2023.

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Works by Johannes M. Schumacher:


YearTitleTypeCited
2005COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS In: Mathematical Finance.
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article38
2013Membership conditions for consistent families of monetary valuations In: Statistics & Risk Modeling.
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article0
2013Membership conditions for consistent families of monetary valuations.(2013) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 0
paper
2018Distortion risk measures, ROC curves, and distortion divergence In: Statistics & Risk Modeling.
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article0
2018LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS In: ASTIN Bulletin.
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article9
2021A note on Golliers model for a collective pension scheme In: Journal of Pension Economics and Finance.
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article0
2009Welfare analysis of conditional indexation schemes from a two-reference-point perspective* In: Journal of Pension Economics and Finance.
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article0
1999Strategic behavior and noncooperative hierarchical control In: Journal of Economic Dynamics and Control.
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article0
2007Time consistency conditions for acceptability measures, with an application to Tail Value at Risk In: Insurance: Mathematics and Economics.
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article24
2011The strictest common relaxation of a family of risk measures In: Insurance: Mathematics and Economics.
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article0
2011The strictest common relaxation of a family of risk measures.(2011) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 0
paper
2016Cooperative investment in incomplete markets under financial fairness In: Insurance: Mathematics and Economics.
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article6
2017Multi-period risk sharing under financial fairness In: Insurance: Mathematics and Economics.
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article2
2015Multi-Period Risk Sharing under Financial Fairness.(2015) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 2
paper
2010Model risk and capital reserves In: Journal of Banking & Finance.
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article60
2011Risk aversion for nonsmooth utility functions In: Journal of Mathematical Economics.
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article0
2011Risk aversion for nonsmooth utility functions.(2011) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 0
paper
2017The composite iteration algorithm for finding efficient and financially fair risk-sharing rules In: Journal of Mathematical Economics.
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article3
2021Ex-ante estate division under strong Pareto efficiency In: Mathematical Social Sciences.
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article0
2022Jump Equilibria in Public-Good Differential Games with a Single State Variable In: Dynamic Games and Applications.
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article1
2016Weakly time consistent concave valuations and their dual representations In: Finance and Stochastics.
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article1
2016Weakly time consistent concave valuations and their dual representations.(2016) In: Finance and Stochastics.
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This paper has nother version. Agregated cites: 1
article
2016Weakly time consistent concave valuations and their dual representations.(2016) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 1
paper
1999Asymptotic Analysis of Linear Feedback Nash Equilibria in Nonzero-Sum Linear-Quadratic Differential Games In: Journal of Optimization Theory and Applications.
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article17
2003Robust Equilibria in Indefinite Linear-Quadratic Differential Games In: Journal of Optimization Theory and Applications.
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article19
2003Robust equilibria in indefinite linear-quadratic differential games.(2003) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 19
paper
2018A Multi-Objective Interpretation of Optimal Transport In: Journal of Optimization Theory and Applications.
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article0
In: .
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article1
2016Financial fairness and conditional indexation.(2016) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 1
paper
In: .
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article0
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1999Disturbance Decoupling in Dynamic Games In: Discussion Paper.
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1999Disturbance Decoupling in Dynamic Games.(1999) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 0
paper
2002An Irregular Grid Approach for Pricing High Dimensional American Options In: Discussion Paper.
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paper1
2004An Irregular Grid Approach for Pricing High-Dimensional American Options.(2004) In: Discussion Paper.
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This paper has nother version. Agregated cites: 1
paper
2002An Irregular Grid Approach for Pricing High Dimensional American Options.(2002) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 1
paper
2004An Irregular Grid Approach for Pricing High-Dimensional American Options.(2004) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 1
paper
2002Model Risk and Regulatory Capital In: Discussion Paper.
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paper9
2002Model Risk and Regulatory Capital.(2002) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 9
paper
2004Pricing High-Dimensional American Options Using Local Consistency Conditions In: Discussion Paper.
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paper1
2004Pricing High-Dimensional American Options Using Local Consistency Conditions.(2004) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 1
paper
2003Testing Expected Shortfall Models for Derivative Positions In: Discussion Paper.
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paper1
2003Testing Expected Shortfall Models for Derivative Positions.(2003) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 1
paper
2004Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options In: Discussion Paper.
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paper0
2004Using Localised Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options.(2004) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 0
paper
1999Performance of Delta-hedging strategies in interval models - A robustness study In: Discussion Paper.
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paper1
1999Performance of Delta-hedging strategies in interval models - A robustness study.(1999) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 1
paper
2012Optimal Management and Differential Games in the Presence of Threshold Effects - The Shallow Lake Model In: Discussion Paper.
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paper2
2012Optimal Management and Differential Games in the Presence of Threshold Effects - The Shallow Lake Model.(2012) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 2
paper
2000A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances In: Discussion Paper.
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paper0
2000A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances.(2000) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 0
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1988Discrete events : Perspectives from system theory In: Research Memorandum.
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1988Discrete events : Perspectives from system theory.(1988) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 0
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1989Discrete events : perspectives from system theory.(1989) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 0
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1990System-theoretic trends in econometrics In: Research Memorandum.
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paper0
1990System-theoretic trends in econometrics.(1990) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 0
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1994Asymptotic analysis of Nash equilibria in nonzero-sum linear-quadratic differential games : The two player case In: Research Memorandum.
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paper23
1994Asymptotic analysis of Nash equilibria in nonzero-sum linear-quadratic differential games : The two player case.(1994) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 23
paper
1985A geometric approach to the singular filtering problem In: Other publications TiSEM.
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paper1
1986The regular local noninteracting control problem for nonlinear control systems In: Other publications TiSEM.
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paper0
1994Interpretations of the gap topology : a survey In: Other publications TiSEM.
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1996On behaviors and convolutional codes In: Other publications TiSEM.
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paper3
1997Realization by inspection In: Other publications TiSEM.
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1988Robust control of flexible structures : a case study In: Other publications TiSEM.
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1993Information and entropy In: Other publications TiSEM.
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1997Homogeneous behaviors In: Other publications TiSEM.
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1990State representations of linear systems with output constraints In: Other publications TiSEM.
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paper0
2011Observer-based control of linear complementarity systems In: Other publications TiSEM.
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paper1
1990Realization of autoregressive equations in pencil and descriptor form In: Other publications TiSEM.
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paper1
1984Almost stabilizability subspaces and high gain feedback In: Other publications TiSEM.
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paper0
1994Continuity of singular perturbations in the graph topology In: Other publications TiSEM.
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1991Minimality of descriptor representations under external equivalence In: Other publications TiSEM.
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1997Regulation as an interpolation problem In: Other publications TiSEM.
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2000Well-posedness of a class of linear networks with ideal diodes In: Other publications TiSEM.
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1983Finite-dimensional regulators for a class of infinite-dimensional systems In: Other publications TiSEM.
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1992Realization and partial fractions In: Other publications TiSEM.
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1983The algebraic regulator problem from the state-space point of view In: Other publications TiSEM.
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paper0
2002On the dynamic analysis of piecewise-linear networks In: Other publications TiSEM.
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1983A direct approach to compensator design for distributed parameter systems In: Other publications TiSEM.
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2000Linear complimentarity systems In: Other publications TiSEM.
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paper4
1980Compensator synthesis using (C,A,B)-pairs In: Other publications TiSEM.
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paper0
1984A nine-fold canonical decomposition for linear systems In: Other publications TiSEM.
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paper0
2016An Evaluation of the nFTK In: Other publications TiSEM.
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paper2
1996Impulsive-Smooth Behavior in Multimode Systems. Part II : Minimality and Equivalence In: Other publications TiSEM.
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1985Zeros at infinity for affine nonlinear control systems In: Other publications TiSEM.
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1980Well-posedness of some evolution problems in the theory of automatic feed-back control for systems with distributed parameters In: Other publications TiSEM.
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2016Vergelijkingen In: Other publications TiSEM.
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1983On the structure of strongly controllable systems In: Other publications TiSEM.
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2002Consistency of a time-stepping method for a class of piecewise-linear networks In: Other publications TiSEM.
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1995Generic eigenvalue assignment by memoryless real output feedback In: Other publications TiSEM.
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paper2
2011A Cohort-Specific Approach to Retirement Savings In: Other publications TiSEM.
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1993Input/output structure of linear differential/algebraic systems In: Other publications TiSEM.
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1980A complement on pole placement In: Other publications TiSEM.
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paper0
1994[Review of the book Identification and Stochastic Adaptive Control, H.F. Chen & L. Guo, 1991] In: Other publications TiSEM.
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1997A controlability test for general first-order representations In: Other publications TiSEM.
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1982Regulator synthesis using (C,A,B)-pairs In: Other publications TiSEM.
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2000Feedback Nash equilibria in uncertain infinite time horizon differential games In: Other publications TiSEM.
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1983On a conjecture of Basile and Marro In: Other publications TiSEM.
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1984Les systèmes non linéaires à plus dentrées que de sorties ne sont pas inversibles In: Other publications TiSEM.
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1983The role of the dissipation matrix in singular optimal control In: Other publications TiSEM.
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1995The regulator problem with robust stability In: Other publications TiSEM.
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2003An equivalence result in linear-quadratic theory In: Other publications TiSEM.
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1994[Review of the book Controlled and Conditioned Invariants in Linear System Theory, G. Basile & G. Marro, 1992] In: Other publications TiSEM.
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1995Coordination in continuously repeated games In: Other publications TiSEM.
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paper1
2016Linear passive systems and maximal monotone mappings In: Other publications TiSEM.
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1980On the minimal stable observer problem In: Other publications TiSEM.
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1985On the inherent integration structure of nonlinear systems In: Other publications TiSEM.
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1992A pointwise criterion for controller robustness In: Other publications TiSEM.
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1996[Review of the book H [infinity]-Control for Distributed Parameter Systems: A State-space Approach, B. van Keulen, 1993] In: Other publications TiSEM.
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1983Algebraic characterizations of almost invariance In: Other publications TiSEM.
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1988Transformations of linear systems under external equivalence In: Other publications TiSEM.
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2011Actuariële wetenschappen en financiële wiskunde : op weg naar convergentie? In: Other publications TiSEM.
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1996The complementary-slackness class of hybrid systems In: Other publications TiSEM.
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1996Impulsive-Smooth Behavior in Multimode Systems. Part I : State-Space and Polynomial Representations In: Other publications TiSEM.
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