Philippe Artzner : Citation Profile

Université de Strasbourg

7

H index

7

i10 index

3054

Citations

RESEARCH PRODUCTION:

12

Articles

5

Papers

RESEARCH ACTIVITY:

   46 years (1978 - 2024). See details.
   Cites by year: 66
   Journals where Philippe Artzner has often published
   Relations with other researchers
   Recent citing documents: 313.    Total self citations: 1 (0.03 %)

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   Permalink: http://citec.repec.org/par196
   Updated: 2026-01-03    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 (36)

cotter, john (15)

Zenios, Stavros (15)

Csóka, Péter (15)

Ruszczynski, Andrzej (15)

STUPFLER, Gilles (14)

Schumacher, Johannes (14)

Siu, Tak Kuen (13)

Guillen, Montserrat (10)

Giraud, Gaël (10)

Laeven, Roger (10)

Cites to:

Gilboa, Itzhak (2)

Platen, Eckhard (2)

Stadje, Mitja (1)

Ballotta, Laura (1)

Spreeuw, Jaap (1)

luciano, elisa (1)

Tasche, Dirk (1)

Wallace, Stein (1)

wang, tan (1)

Brennan, Michael (1)

Pelsser, Antoon (1)

Main data

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), Université de Strasbourg2

Recent works citing Philippe Artzner (2025 and 2024)

YearTitle of citing document
2024Optimal Security Design for Risk-Averse Investors. (2024). Strack, Philipp ; Zhang, Mengxi ; Moldovanu, Benny ; Gershkov, Alex. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:325.

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2024Dynamic risk measures with fluctuation of market volatility under Bochne-Lebesgue space. (2024). Hu, Yijun ; Sun, Fei. In: Papers. RePEc:arx:papers:1806.01166.

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

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2025Dual representations of quasiconvex compositions with applications to systemic risk. (2021). Aygun, Mucahit ; Ararat, Ccaugin. In: Papers. RePEc:arx:papers:2108.12910.

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

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

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2025Mean-Covariance Robust Risk Measurement. (2023). Nguyen, Viet Anh ; Abadeh, Soroosh Shafieezadeh ; Kuhn, Daniel ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2112.09959.

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

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2024$\rho$-arbitrage and $\rho$-consistent pricing for star-shaped risk measures. (2024). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2202.07610.

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2024Risk-Averse Markov Decision Processes through a Distributional Lens. (2024). Cheng, Ziteng ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2203.09612.

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2025Robust and Agnostic Learning of Conditional Distributional Treatment Effects. (2023). Kallus, Nathan ; Oprescu, Miruna. In: Papers. RePEc:arx:papers:2205.11486.

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2024Diversification quotients: Quantifying diversification via risk measures. (2024). Han, Xia ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2206.13679.

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2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

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

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2024E-backtesting. (2024). Wang, Ruodu ; Ziegel, Johanna. 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. (2024). Nendel, Max ; Sgarabottolo, Alessandro. In: Papers. RePEc:arx:papers:2210.14340.

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

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

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

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2024STraM: A strategic network design model for national freight transport decarbonization. (2024). Bakker, Steffen Jaap ; van Beesten, Ruben E ; Siqveland, Marit ; Brynildsen, Ingvild Synnove ; Tomasgard, Asgeir ; Sandvig, Anette. In: Papers. RePEc:arx:papers:2304.14001.

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2024Wishful Thinking is Risky Thinking. (2024). Burgh, Jarrod ; Melo, Emerson. In: Papers. RePEc:arx:papers:2307.02422.

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2025Distorted optimal transport. (2023). Zhuang, Sheng Chao ; Wang, Ruodu ; Liu, Haiyan. In: Papers. RePEc:arx:papers:2308.11238.

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2024Uncertainty Propagation and Dynamic Robust Risk Measures. (2024). Pesenti, Silvana ; Moresco, Marlon ; Mailhot, M'Elina. In: Papers. RePEc:arx:papers:2308.12856.

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2025ESG-coherent risk measures for sustainable investing. (2025). Dentcheva, Darinka ; Rachev, Svetlozar T ; Giacometti, Rosella ; Torri, Gabriele ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2309.05866.

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2025Measuring risk contagion in financial networks with CoVaR. (2024). Fasen-Hartmann, Vicky ; Das, Bikramjit. In: Papers. RePEc:arx:papers:2309.15511.

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

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2025Partial Law Invariance and Risk Measures. (2024). van Oosten, Zachary ; Shen, YI ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2401.17265.

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2024Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk. (2024). Cook, Samantha ; Rigana, Katerina ; Wit, Ernst C. In: Papers. RePEc:arx:papers:2402.06032.

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2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

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2025The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization. (2024). Tu, Phan ; Thormann, Marah-Lisanne ; Zemkoho, Alain B. In: Papers. RePEc:arx:papers:2402.09194.

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2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

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2025Set-valued Star-Shaped Risk Measures. (2025). Tian, Dejian ; Jiang, Long ; Nie, Bingchu. In: Papers. RePEc:arx:papers:2402.18014.

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2025Risk exchange under infinite-mean Pareto models. (2024). Chen, Yuyu ; Wang, Ruodu ; Embrechts, Paul. In: Papers. RePEc:arx:papers:2403.20171.

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2025Coherent risk measures and uniform integrability. (2025). 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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2025Extremal cases of distortion risk measures with partial information. (2024). Balakrishnan, Narayanaswamy ; Zhao, Mengshuo ; Yin, Chuancun. In: Papers. RePEc:arx:papers:2404.13637.

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2025Elicitability and identifiability of tail risk measures. (2024). Fissler, Tobias ; Wang, Ruodu ; Wei, Linxiao ; Liu, Fangda. In: Papers. RePEc:arx:papers:2404.14136.

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2024Disappointment concordance and duet expectiles. (2024). Mao, Tiantian ; Wang, Ruodu ; Wu, Qinyu ; 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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2025Diversification for infinite-mean Pareto models without risk aversion. (2025). Zou, Zhenfeng ; Chen, Yuyu ; Hu, Taizhong ; Wang, Ruodu. 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). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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

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

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2024Risk, utility and sensitivity to large losses. (2024). Khan, Nazem ; Herdegen, Martin ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2405.12154.

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2024An Asymptotic CVaR Measure of Risk for Markov Chains. (2024). Borkar, Vivek ; Patel, Shivam. In: Papers. RePEc:arx:papers:2405.13513.

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2025A note on robust convex risk measures. (2025). Righi, Marcelo. In: Papers. RePEc:arx:papers:2406.12999.

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2024Optimal hedging with variational preferences under convex risk measures. (2024). Righi, Marcelo. In: Papers. RePEc:arx:papers:2407.03431.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2024Analyzing selected cryptocurrencies spillover effects on global financial indices: Comparing risk measures using conventional and eGARCH-EVT-Copula approaches. (2024). Desheng, Wu Dash ; Ahmad, Touqeer ; Ur, Shafique ; Karamoozian, Amirhossein. In: Papers. RePEc:arx:papers:2407.15766.

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2024Counter-monotonic risk allocations and distortion risk measures. (2024). Wang, Ruodu ; Ren, Qinghua ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2407.16099.

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2025Set risk measures. (2025). Righi, Marcelo ; Moresco, Marlon ; Horta, Eduardo. In: Papers. RePEc:arx:papers:2407.18687.

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2024Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements. (2024). de Marco, S ; Lopez-Salas, J G ; Noubiagain, F ; Gobet, E ; Zhou, A ; Agarwal, A. In: Papers. RePEc:arx:papers:2408.01185.

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2025An Integrated Approach to Importance Sampling and Machine Learning for Efficient Monte Carlo Estimation of Distortion Risk Measures in Black Box Models. (2025). Weber, Stefan ; Bettels, Soren. In: Papers. RePEc:arx:papers:2408.02401.

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2024Inventory problems and the parametric measure $m_{\lambda}$. (2024). Georgescu, Irina. In: Papers. RePEc:arx:papers:2408.02700.

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2025Risk sharing with Lambda value at risk under heterogeneous beliefs. (2024). Wei, Yunran ; Liu, Peng ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2408.03147.

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2024The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2408.07271.

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2025Risk-indifference Pricing of American-style Contingent Claims. (2024). Sturm, Stephan ; Kumar, Rohini ; Nasralah, Hussein ; Miller, Frederick Forrest. In: Papers. RePEc:arx:papers:2409.00095.

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2025Robust Elicitable Functionals. (2025). Pesenti, Silvana M ; Miao, Kathleen E. In: Papers. RePEc:arx:papers:2409.04412.

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2024Mitigating Extremal Risks: A Network-Based Portfolio Strategy. (2024). Wang, Tiandong ; Hui, Qian. In: Papers. RePEc:arx:papers:2409.12208.

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2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516.

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2025Risk measures based on target risk profiles. (2025). Sass, Jorn ; Laudag, Christian ; Alexander, Jascha. In: Papers. RePEc:arx:papers:2409.17676.

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2024Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information. (2024). Yin, Chuancun ; Zhao, Mengshuo. In: Papers. RePEc:arx:papers:2409.19902.

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2025Computing Systemic Risk Measures with Graph Neural Networks. (2024). Weber, Niklas ; Meyer-Brandis, Thilo ; Gonon, Lukas. In: Papers. RePEc:arx:papers:2410.07222.

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2024Discrete approximation of risk-based prices under volatility uncertainty. (2024). Blessing, Jonas ; Sgarabottolo, Alessandro ; Kupper, Michael. In: Papers. RePEc:arx:papers:2411.00713.

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2024Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets. (2024). Jha, Ayush ; Shirvani, Abootaleb ; Fabozzi, Frank J ; Rachev, Svetlozar T. In: Papers. RePEc:arx:papers:2411.02804.

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2024Diversification quotient based on expectiles. (2024). Wang, Ruodu ; 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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2025Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading. (2025). 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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2025Robust and Efficient Deep Hedging via Linearized Objective Neural Network. (2025). Cai, Lin ; Zhao, Lei. In: Papers. RePEc:arx:papers:2502.17757.

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2025Escaping the Subprime Trap in Algorithmic Lending. (2025). Tolbert, Alexander Williams ; Bouyamourn, Adam. In: Papers. RePEc:arx:papers:2502.17816.

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2025Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978.

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2025Numerical methods for two-dimensional G-heat equation. (2025). Zheng, X T ; Yue, X Y ; Pei, Z T. In: Papers. RePEc:arx:papers:2503.02395.

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2025Systemic Risk Management via Maximum Independent Set in Extremal Dependence Networks. (2025). Wang, Tiandong ; Hui, Qian. In: Papers. RePEc:arx:papers:2503.15534.

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2025Robust distortion risk measures with linear penalty under distribution uncertainty. (2025). Zhang, Hui ; Tian, Dejian ; Du, Yuxin. In: Papers. RePEc:arx:papers:2503.15824.

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2025Bayesian Optimization for CVaR-based portfolio optimization. (2025). Li, Jinglai ; Millar, Robert. In: Papers. RePEc:arx:papers:2503.17737.

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2025Dimension Reduction of Distributionally Robust Optimization Problems. (2025). Pesenti, Silvana M ; Tam, Brandon. In: Papers. RePEc:arx:papers:2504.06381.

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2025On monotone completion of risk markets: Limit results for incomplete risk markets. (2025). Zakeri, Golbon ; Ralph, Danny ; Pritchard, Geoffrey ; Khajepour, Iman. In: Papers. RePEc:arx:papers:2504.18436.

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2025Marginal expected shortfall: Systemic risk measurement under dependence uncertainty. (2025). Lin, Sheldon X ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2504.19953.

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2025Systemic Risk in the European Insurance Sector. (2025). Borri, Nicola ; di Giorgio, Giorgio ; Consiglio, Andrea ; Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:2505.02635.

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2025Learning to optimize convex risk measures: The cases of utility-based shortfall risk and optimized certainty equivalent risk. (2025). Gupte, Sumedh ; Bhat, Sanjay P. In: Papers. RePEc:arx:papers:2506.01101.

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2025Explaining Risks: Axiomatic Risk Attributions for Financial Models. (2025). Chen, Dangxing. In: Papers. RePEc:arx:papers:2506.06653.

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2025Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling. (2025). Limmer, Yannick ; Buehler, Hans ; Horvath, Blanka ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:2506.07299.

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2025Partial comonotonicity and distortion riskmetrics. (2025). Huang, Muqiao. In: Papers. RePEc:arx:papers:2506.07472.

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2025Dynamic Reinsurance Treaty Bidding via Multi-Agent Reinforcement Learning. (2025). Finlay, James R ; Dong, Stella C. In: Papers. RePEc:arx:papers:2506.13113.

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2025On Design of Representative Distributionally Robust Formulations for Evaluation of Tail Risk Measures. (2025). Deo, Anand. In: Papers. RePEc:arx:papers:2506.16230.

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2025Machine Learning Based Stress Testing Framework for Indian Financial Market Portfolios. (2025). Chakrabarty, Siddhartha P ; Ali, Shifat ; Sagar, Vidya. In: Papers. RePEc:arx:papers:2507.02011.

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2025Quantum Stochastic Walks for Portfolio Optimization: Theory and Implementation on Financial Networks. (2025). Chang, Yen Jui ; Wang, Yun-Yuan ; Chen, Kuan-Cheng ; Liu, Chen-Yu. In: Papers. RePEc:arx:papers:2507.03963.

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2025Function approximations for counterparty credit exposure calculations. (2025). Demeterfi, Domagoj ; Glau, Kathrin ; Wunderlich, Linus. In: Papers. RePEc:arx:papers:2507.09004.

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2025Towards Realistic and Interpretable Market Simulations: Factorizing Financial Power Law using Optimal Transport. (2025). Izumi, Kiyoshi ; Hashimoto, Ryuji. In: Papers. RePEc:arx:papers:2507.09863.

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2025Quantitative Risk Management in Volatile Markets with an Expectile-Based Framework for the FTSE Index. (2025). Oketunji, Abiodun Finbarrs. In: Papers. RePEc:arx:papers:2507.13391.

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2025Higher-order Gini indices: An axiomatic approach. (2025). Han, Xia ; Wu, Qinyu ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2508.10663.

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2025Higher moments under dependence uncertainty with applications in insurance. (2025). Vanduffel, Steven ; Bernard, Carole ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2508.16600.

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2025The Interplay between Utility and Risk in Portfolio Selection. (2025). Baggiani, Leonardo ; Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2509.10351.

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2025Risk-Sensitive Option Market Making with Arbitrage-Free eSSVI Surfaces: A Constrained RL and Stochastic Control Bridge. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.04569.

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2025Inverse Portfolio Optimization with Synthetic Investor Data: Recovering Risk Preferences under Uncertainty. (2025). Cha, Jinho ; Lee, Jaejin ; Cho, Jaeyoung ; le Hoa, Thi ; Pham, Long. In: Papers. RePEc:arx:papers:2510.06986.

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2025A high-frequency approach to Realized Risk Measures. (2025). Mazzarisi, Piero ; Lillo, Fabrizio ; Gatta, Federico. In: Papers. RePEc:arx:papers:2510.16526.

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2025Risk-constrained stochastic scheduling of multi-market energy storage systems. (2025). Solis, Erik ; Goodridge, Maldon ; Ganesan, Nandhini ; Shah, Nilay ; West, Kevin ; Tsay, Calvin ; Blom, Evelin ; Angarita, Jorge ; Jahangir, Hamidreza ; Zhang, DI ; Patr, Gabriel D. In: Papers. RePEc:arx:papers:2510.27528.

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

Works by Philippe Artzner:

YearTitleTypeCited
2022Insurance-Finance Arbitrage In: Papers.
[Full Text][Citation analysis]		paper2
2024Insurance–finance arbitrage.(2024) In: Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2022INSURANCE-FINANCE ARBITRAGE.(2022) In: Working Papers of LaRGE Research Center.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
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]		article2816
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.
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2010Supervisory Insurance Accounting: Mathematics for Provision – and Solvency Capital – Requirements* In: ASTIN Bulletin.
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1990Finem Lauda or the risks in swaps In: Insurance: Mathematics and Economics.
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1978Boundary behavior of supply : A continuity property of the maximizing correspondence In: Journal of Mathematical Economics.
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2013MULTIPERIOD BANKING SUPERVISION In: Working Papers of LaRGE Research Center.
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2007Coherent multiperiod risk adjusted values and Bellman’s principle In: Annals of Operations Research.
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1999Application of Coherent Risk Measures to Capital Requirements in Insurance In: North American Actuarial Journal.
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2000Author’s Reply: Application of Coherent Risk Measures to Capital Requirements in Insurance - Discussion by Elias S.W. Shiu In: North American Actuarial Journal.
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