Philippe Artzner : Citation Profile

Université de Strasbourg

7

H index

7

i10 index

2930

Citations

RESEARCH PRODUCTION:

12

Articles

5

Papers

RESEARCH ACTIVITY:

   46 years (1978 - 2024). See details.
   Cites by year: 63
   Journals where Philippe Artzner has often published
   Relations with other researchers
   Recent citing documents: 196.    Total self citations: 0 (0 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/par196
   Updated: 2025-03-22    RAS profile: 2025-03-15    
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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:

Righi, Marcelo (35)

Csóka, Péter (15)

cotter, john (15)

Ruszczynski, Andrzej (15)

Zenios, Stavros (15)

Schumacher, Johannes (14)

STUPFLER, Gilles (14)

Siu, Tak Kuen (12)

Baptista, Alexandre (10)

Guillen, Montserrat (10)

Alexander, Gordon (10)

Cites to:

Platen, Eckhard (6)

Pelsser, Antoon (5)

Dhaene, Jan (3)

Brennan, Michael (3)

Gilboa, Itzhak (2)

Ballotta, Laura (2)

Stadje, Mitja (1)

Fleten, Stein-Erik (1)

Tasche, Dirk (1)

Spreeuw, Jaap (1)

luciano, elisa (1)

Main data

Production by document typepaperarticle1980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240123Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202405101520Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240k1k2k3kCitations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 7Most cited documents1234567890k1k2k3kNumber of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250302.557.5h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Philippe Artzner has published?

Journals with more than one article published# docs
Mathematical Finance4
ASTIN Bulletin3
North American Actuarial Journal2

Working Papers Series with more than one paper published# docs
Working Papers of LaRGE Research Center / Laboratoire de Recherche en Gestion et Economie (LaRGE), Universit� de Strasbourg2

Recent works citing Philippe Artzner (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Dynamic risk measures on variable exponent Bochner--Lebesgue spaces. (2019). Hu, Yijun ; Sun, Fei. In: Papers. RePEc:arx:papers:1806.01166.

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2024Robustifying Conditional Portfolio Decisions via Optimal Transport. (2021). Ye, Yinyu ; Delage, Erick ; Blanchet, Jose ; Zhang, Fan ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:2103.16451.

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2024Star-shaped acceptability indexes. (2021). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2110.08630.

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2025Cash-subadditive risk measures without quasi-convexity. (2021). Wang, Ruodu ; Han, Xia ; Xia, Jianming. In: Papers. RePEc:arx:papers:2110.12198.

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2024Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2024Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem. In: Papers. RePEc:arx:papers:2202.07610.

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2024Markov decision processes with Kusuoka-type conditional risk mappings. (2022). Jaimungal, Sebastian ; Cheng, Ziteng. In: Papers. RePEc:arx:papers:2203.09612.

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2024Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2024A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2024An unexpected stochastic dominance: Pareto distributions, catastrophes, and risk exchange. (2022). Wang, Ruodu ; Embrechts, Paul ; Chen, Yuyu. In: Papers. RePEc:arx:papers:2208.08471.

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2024E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991.

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2024A parametric approach to the estimation of convex risk functionals based on Wasserstein distance. (2022). Sgarabottolo, Alessandro ; Nendel, Max. In: Papers. RePEc:arx:papers:2210.14340.

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2024The limitations of comonotonic additive risk measures: a literature review. (2022). de Oliveira, Eduardo ; Righi, Marcelo Brutti ; Santos, Samuel Solgon. In: Papers. RePEc:arx:papers:2212.13864.

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2024A Modified CTGAN-Plus-Features Based Method for Optimal Asset Allocation. (2023). Cifuentes, Arturo ; Ram, Domingo ; Larr, Omar ; Su, Fernando. In: Papers. RePEc:arx:papers:2302.02269.

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2024Uniform Pessimistic Risk and Optimal Portfolio. (2023). Jeon, Jong-June ; Hong, Sungchul. In: Papers. RePEc:arx:papers:2303.07158.

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2024STraM: a framework for strategic national freight transport modeling. (2023). Sandvig, Anette ; Brynildsen, Ingvild Synnove ; van Beesten, Ruben E ; Bakker, Steffen Jaap ; Tomasgard, Asgeir ; Siqveland, Marit. In: Papers. RePEc:arx:papers:2304.14001.

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2024Wishful Thinking is Risky Thinking: A Statistical-Distance Based Approach. (2023). Melo, Emerson ; Burgh, Jarrod. In: Papers. RePEc:arx:papers:2307.02422.

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2024Uncertainty 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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2024Systemic risk in financial networks: the effects of asymptotic independence. (2023). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511.

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2024Monotonic mean-deviation risk measures. (2023). Wang, Ruodu ; Han, Xia ; Wu, Qinyu. In: Papers. RePEc:arx:papers:2312.01034.

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2024Set-valued Star-Shaped Risk Measures. (2024). Jiang, Long ; Tian, Dejian ; Nie, Bingchu. In: Papers. RePEc:arx:papers:2402.18014.

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2024Risk exchange under infinite-mean Pareto models. (2024). Wang, Ruodu ; Embrechts, Paul ; Chen, Yuyu. In: Papers. RePEc:arx:papers:2403.20171.

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2024Coherent risk measures and uniform integrability. (2024). Wang, Ruodu ; Huang, Muqiao. In: Papers. RePEc:arx:papers:2404.03783.

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2024Factor risk measures. (2024). Liu, Peng ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2404.08475.

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2024Extremal cases of distortion risk measures with partial information. (2024). Yin, Chuancun ; Balakrishnan, Narayanaswamy ; Zhao, Mengshuo. In: Papers. RePEc:arx:papers:2404.13637.

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2024Elicitability and identifiability of tail risk measures. (2024). Wei, Linxiao ; Wang, Ruodu ; Liu, Fangda ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2404.14136.

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2024Duet expectile preferences. (2024). Wu, Qinyu ; Wang, Ruodu ; Mao, Tiantian ; Bellini, Fabio. In: Papers. RePEc:arx:papers:2404.17751.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2025Dominance between combinations of infinite-mean Pareto random variables. (2024). Zou, Zhenfeng ; Wang, Ruodu ; Hu, Taizhong ; Chen, Yuyu. In: Papers. RePEc:arx:papers:2404.18467.

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2024Some properties of Euler capital allocation. (2024). Holden, Lars. In: Papers. RePEc:arx:papers:2405.00606.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2024Autonomous Sparse Mean-CVaR Portfolio Optimization. (2024). Li, Cheng ; Lai, Zhao-Rong ; Zhang, Yangyu ; Lin, Yizun. In: Papers. RePEc:arx:papers:2405.08047.

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2024A note on continuity and consistency of measures of risk and variability. (2024). Xanthos, Foivos ; Gao, Niushan. In: Papers. RePEc:arx:papers:2405.09766.

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2024Diversification quotient based on expectiles. (2024). Wang, Hao ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2411.14646.

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2024Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measures. (2024). Wang, Ruodu ; Ren, Qinghua ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2412.00655.

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2024Assessing the Impact of Technical Indicators on Machine Learning Models for Stock Price Prediction. (2024). Fabozzi, Frank J ; Rachev, Svetlozar ; Shirvani, Abootaleb ; Monico, Chris ; Deep, Akash. In: Papers. RePEc:arx:papers:2412.15448.

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2024Quantiles under ambiguity and risk sharing. (2024). Liu, Peng ; Wang, Ruodu ; Mao, Tiantian. In: Papers. RePEc:arx:papers:2412.19546.

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2025AI Governance through Markets. (2025). Franklin, Matija ; Jain, Rupal ; Tomei, Philip Moreira. In: Papers. RePEc:arx:papers:2501.17755.

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2025AlphaSharpe: LLM-Driven Discovery of Robust Risk-Adjusted Metrics. (2025). Yuksel, Kamer Ali ; Sawaf, Hassan. In: Papers. RePEc:arx:papers:2502.00029.

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2024The fatter the tail, the shorter the sail. (2024). Chaudhry, Sajid ; Alzugaiby, Basim ; Alsunbul, Saad ; Boujlil, Rhada. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:331-380.

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2024Good risk measures, bad statistical assumptions, ugly risk forecasts. (2024). Poudyal, Niraj ; Michaelides, Michael. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:519-543.

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2024.

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2024Insurance–finance arbitrage. (2024). Schmidt, Thorsten ; Eisele, Karltheodor ; Artzner, Philippe. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:739-773.

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2024Robust distortion risk measures. (2024). Vanduffel, Steven ; Bernard, Carole ; Pesenti, Silvana M. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:774-818.

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2024.

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2024Risk Budgeting portfolios: Existence and computation. (2024). Guéant, Olivier ; Guant, Olivier ; Fermanian, Jeandavid ; Cetingoz, Adil Rengim. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:896-924.

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2024A Quantile Neural Network Framework for Twostage Stochastic Optimization. (2024). Tsay, Calvin. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:43773.

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2024Reverse impact of capacity markets for a renewable-dominated power system. (2024). Xiang, Yue ; Chen, Sijie ; Li, Ran ; Tao, Junyi ; Qu, Hui. In: Applied Energy. RePEc:eee:appene:v:375:y:2024:i:c:s030626192401537x.

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2024Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602.

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2024A non-zero-sum investment and reinsurance game between two mean–variance insurers with dynamic CVaR constraints. (2024). Wang, Yushuang ; Peng, Xingchun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001973.

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2024Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk. (2024). Muller, Fernanda Maria ; Righi, Marcelo Brutti ; Foguesatto, Cristian Rogerio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000652.

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2024Index policy for multiarmed bandit problem with dynamic risk measures. (2024). Avu, Ozlem ; Malekipirbazari, Milad. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:627-640.

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2024Portfolio optimization through a network approach: Network assortative mixing and portfolio diversification. (2024). Scozzari, Andrea ; Ricca, Federica. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:700-717.

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2024Robust insurance design with distortion risk measures. (2024). Jiang, Wenjun ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:2:p:694-706.

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2024A theory of multivariate stress testing. (2024). Wang, Ruodu ; Millossovich, Pietro ; Tsanakas, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:851-866.

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2025Optimizing sequential decision-making under risk: Strategic allocation with switching penalties. (2025). Malekipirbazari, Milad. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:160-176.

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2024VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Nakata, Keiichi ; Qiu, Zhiguo. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346.

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2024Does downside risk in the stock market differ by legal origin? The impact of property rights and the rule of law on stock markets. (2024). Tomita, Yosuke. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001029.

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2024When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets. (2024). Shafiullah, Muhammad ; Naeem, Muhammad Abubakr ; Karim, Sitara. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001340.

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2024Do green investments improve portfolio diversification? Evidence from mean conditional value-at-risk optimization. (2024). Yousfi, Mohamed ; Louhichi, Wael ; Ftiti, Zied ; ben Ameur, Hachmi. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400187x.

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2024Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models. (2024). Huang, Yujun. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002527.

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2024Trading strategies and Financial Performances: A simulation approach. (2024). Mazzarino, Laura ; Biondo, Alessio Emanuele ; Pluchino, Alessandro. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003582.

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2024Portfolio optimization with transfer entropy constraints. (2024). Ardakani, Omid M. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005763.

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2024Risk quantification and validation for green energy markets: New insight from a credibility theory approach. (2024). Hakim, Arief ; Syuhada, Khreshna. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001703.

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2024How green screening influences risk transmission among stock-bond indices: Insight into the dependence structure. (2024). Pan, Zhijie ; Zheng, Yanting ; Xu, Dandan ; Wang, Ting. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011759.

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2024Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system. (2024). Armanious, Amir. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000585.

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2024Tail risk network analysis of Asian banks. (2024). Powell, Robert ; Pham, Thach N ; Bannigidadmath, Deepa. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000899.

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2024Adjusted higher-order expected shortfall. (2024). Hu, Taizhong ; Zou, Zhenfeng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:1-12.

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2024Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models. (2024). Xu, Ziqing ; Kwok, Yue Kuen ; Huang, Zhenzhen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:132-150.

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

Works by Philippe Artzner:

Year  ↓Title  ↓Type  ↓Cited  ↓
2022Insurance-Finance Arbitrage In: Papers.
[Full Text][Citation analysis]		paper1
2024Insurance–finance arbitrage In: Mathematical Finance.
[Full Text][Citation analysis]		article0
1995APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES In: Mathematical Finance.
[Full Text][Citation analysis]		article10
1995DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS1 In: Mathematical Finance.
[Full Text][Citation analysis]		article38
1999Coherent Measures of Risk In: Mathematical Finance.
[Full Text][Citation analysis]		article2698
1986Envelopes and geometrical covers of side-payment games and their market representations In: LIDAM Reprints CORE.
[Citation analysis]		paper0
1986Envelopes and Geometrical Covers of Side-Payment Games and their Market Representations.(1986) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
1992Credit Risk and Prepayment Option In: ASTIN Bulletin.
[Full Text][Citation analysis]		article12
2009Risk Measures and Efficient use of Capital 1 In: ASTIN Bulletin.
[Full Text][Citation analysis]		article27
2010Supervisory Insurance Accounting: Mathematics for Provision – and Solvency Capital – Requirements* In: ASTIN Bulletin.
[Full Text][Citation analysis]		article3
1990Finem Lauda or the risks in swaps In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article3
1978Boundary behavior of supply : A continuity property of the maximizing correspondence In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article0
2013MULTIPERIOD BANKING SUPERVISION In: Working Papers of LaRGE Research Center.
[Full Text][Citation analysis]		paper0
2022INSURANCE-FINANCE ARBITRAGE In: Working Papers of LaRGE Research Center.
[Full Text][Citation analysis]		paper0
2007Coherent multiperiod risk adjusted values and Bellman’s principle In: Annals of Operations Research.
[Full Text][Citation analysis]		article85
1999Application of Coherent Risk Measures to Capital Requirements in Insurance In: North American Actuarial Journal.
[Full Text][Citation analysis]		article53
2000Author’s Reply: Application of Coherent Risk Measures to Capital Requirements in Insurance - Discussion by Elias S.W. Shiu In: North American Actuarial Journal.
[Full Text][Citation analysis]		article0

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