Alfred Müller : Citation Profile

Are you Alfred Müller?

13

H index

16

i10 index

691

Citations

RESEARCH PRODUCTION:

29

Articles

13

Papers

1

Chapters

RESEARCH ACTIVITY:

   27 years (1996 - 2023). See details.
   Cites by year: 25
   Journals where Alfred Müller has often published
   Relations with other researchers
   Recent citing documents: 73.    Total self citations: 14 (1.99 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pml4
   Updated: 2024-12-03    RAS profile: 2024-03-07    
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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 Alfred Müller.

Is cited by:

STUPFLER, Gilles (13)

Chateauneuf, Alain (12)

Vanduffel, Steven (11)

Righi, Marcelo (11)

Franzini, Maurizio (10)

Basili, Marcello (10)

Dhaene, Jan (9)

Scarsini, Marco (9)

Slikker, Marco (8)

Hennessy, David (5)

Norde, Henk (5)

Cites to:

Scarsini, Marco (26)

Rothschild, Michael (8)

Stiglitz, Joseph (7)

Rinott, Yosef (5)

Hong, Tao (5)

Diebold, Francis (4)

Shanthikumar, Jevaveerasingam (4)

Schied, Alexander (4)

Dhaene, Jan (4)

Cohen, Michèle (3)

Machina, Mark (3)

Main data

Where Alfred Müller has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics6
International Journal of Forecasting2
Mathematical Methods of Operations Research2
Journal of Multivariate Analysis2

Working Papers Series with more than one paper published# docs
Post-Print / HAL9
ICER Working Papers - Applied Mathematics Series / ICER - International Centre for Economic Research2

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

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2023Improved 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.

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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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2023Cost-efficient Payoffs under Model Ambiguity. (2022). Vanduffel, Steven ; Lux, Thibaut ; Junike, Gero ; Bernard, Carole. In: Papers. RePEc:arx:papers:2207.02948.

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2023A 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.

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2023Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2301.03517.

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2023On Sufficientarianism. (2023). Ye, Siming ; Chambers, Christopher. In: Papers. RePEc:arx:papers:2301.08666.

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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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2023Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty. (2023). Tian, Dejian ; Li, Weiwei. In: Papers. RePEc:arx:papers:2304.04396.

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2023Multi-fractional Stochastic Dominance: Mathematical Foundations. (2023). Hur, Ozan ; Azmoodeh, Ehsan. In: Papers. RePEc:arx:papers:2307.08651.

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2023Tail 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.

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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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2023A return-diversification approach to portfolio selection. (2023). Giacometti, Rosella ; Cesarone, Francesco ; Tardella, Fabio ; Martino, Manuel Luis. In: Papers. RePEc:arx:papers:2312.09707.

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2024Max-stability under first-order stochastic dominance. (2024). Chambers, Christopher ; Wu, Qinyu ; Wang, Ruodu ; Miller, Alan. In: Papers. RePEc:arx:papers:2403.13138.

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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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2023Strong 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.

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2023Intra?Horizon expected shortfall and risk structure in models with jumps. (2021). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:772-823.

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2024Expectile?based measures of skewness. (2022). Klar, Bernhard ; Eberl, Andreas. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:1:p:373-399.

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2024Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594.

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2024Optimizing electric vehicle charging in distribution networks: A dynamic pricing approach using internet of things and Bi-directional LSTM model. (2024). , Vinopraba ; Ramu, Senthil Kumar. In: Energy. RePEc:eee:energy:v:294:y:2024:i:c:s0360544224005875.

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2023Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment. (2023). Fan, Caiyun ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300368x.

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2023Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:185-197.

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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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2024Inter-order relations between equivalence for Lp-quantiles of the Students t distribution. (2024). Petrella, Lea ; Merlo, Luca ; Bignozzi, Valeria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:44-50.

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2024A novel positive dependence property and its impact on a popular class of concordance measures. (2024). Tschimpke, Marco ; Fuchs, Sebastian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:200:y:2024:i:c:s0047259x23001057.

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2023Worst-case analysis of Omega-VaR ratio optimization model. (2023). Mansini, Renata ; Sharma, Amita ; Sehgal, Ruchika. In: Omega. RePEc:eee:jomega:v:114:y:2023:i:c:s0305048322001372.

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2024Comparative risk aversion vs. threshold choice in the Omega ratio. (2024). Schweizer, Nikolaus ; Chau, Ki Wai ; Balter, Anne G. In: Omega. RePEc:eee:jomega:v:123:y:2024:i:c:s0305048323001561.

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2023Allocating the surplus induced by cooperation in distribution chains with multiple suppliers and retailers. (2023). Puerto, Justo ; Meca, Ana ; Guardiola, Luis A. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:108:y:2023:i:c:s0304406823000824.

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2024Generalized Gini’s mean difference through distortions and copulas, and related minimizing problems. (2024). Pellerey, Franco ; di Crescenzo, Antonio ; Capaldo, Marco. In: Statistics & Probability Letters. RePEc:eee:stapro:v:206:y:2024:i:c:s0167715223002055.

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2023Multiple 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.

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2024An expectile computation cookbook. (2024). Stupfler, Gilles ; Daouia, Abdelaati ; Usseglio-Carleve, Antoine. In: Post-Print. RePEc:hal:journl:hal-04524319.

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2023Acceleration of U.S. Southeast and Gulf coast sea-level rise amplified by internal climate variability. (2023). Wahl, Thomas ; Calafat, Francisco M ; Frederikse, Thomas ; Ezer, Tal ; Klinck, John ; Sun, Qiang ; Hendricks, Noah ; Dangendorf, Sonke ; Tornqvist, Torbjorn E. In: Nature Communications. RePEc:nat:natcom:v:14:y:2023:i:1:d:10.1038_s41467-023-37649-9.

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2023Forecasting 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.

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2023Multidimensional 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.

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2023Robustness 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.

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2023Robust 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.

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2023Stochastic 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.

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2024Boundedly rational demand. (2024). Stewart, Colin ; Steiner, Jakub ; Kocourek, Pavel. In: Theoretical Economics. RePEc:the:publsh:5796.

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2024Extreme 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.

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2023Bias-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.

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2023An expectile computation cookbook. (2023). Usseglio-Carleve, Antoine ; Stupfler, Gilles ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:128323.

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2023Testing 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.

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Works by Alfred Müller:

YearTitleTypeCited
1998Modeling and Comparing Dependencies in Multivariate Risk Portfolios In: ASTIN Bulletin.
[Full Text][Citation analysis]		article5
2000Expected utility maximization of optimal stopping problems In: European Journal of Operational Research.
[Full Text][Citation analysis]		article1
2002The Newsvendor Game Has a Nonempty Core In: Games and Economic Behavior.
[Full Text][Citation analysis]		article52
2002The newsvendor game has a non-empty core.(2002) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 52		paper
1996Orderings of risks: A comparative study via stop-loss transforms In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article12
1997Stop-loss order for portfolios of dependent risks In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article48
2001Asymptotic ruin probabilities for risk processes with dependent increments In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article7
2006Stochastic orders and risk measures: Consistency and bounds In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article30
2012Comparison and bounds for functionals of future lifetimes consistent with life tables In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article2
2014Generalized quantiles as risk measures In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article131
2018Probabilistic forecasting of industrial electricity load with regime switching behavior In: International Journal of Forecasting.
[Full Text][Citation analysis]		article11
2023A copula-based time series model for global horizontal irradiation In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2012Fear of loss, inframodularity, and transfers In: Journal of Economic Theory.
[Full Text][Citation analysis]		article20
2000Some Remarks on the Supermodular Order In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article57
2000Some remarks on the supermodular order.(2000) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 57		paper
2005Archimedean copulæ and positive dependence In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article51
2005Archimedean copulae and positive dependence.(2005) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2003Archimedean Copulae and Positive Dependence..(2003) In: ICER Working Papers - Applied Mathematics Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
1998Comparing risks with unbounded distributions In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article4
1996Comparing Risks with Unbounded Distributions.(1996) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2001Bounds for optimal stopping values of dependent random variables with given marginals In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2006Positive dependence and weak convergence In: Post-Print.
[Citation analysis]		paper1
2006Stochastic order relations and lattices of probability measures In: Post-Print.
[Citation analysis]		paper17
2004Some counterexamples in positive dependence In: Post-Print.
[Citation analysis]		paper7
2003Some 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
2003Sensitivity analysis of a sequential decision problem with learning In: Post-Print.
[Citation analysis]		paper0
2003Sensitivity 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
2002Even Risk-Averters May Love Risk In: Post-Print.
[Citation analysis]		paper3
2002Even Risk-Averters may Love Risk.(2002) In: Theory and Decision.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2001Stochastic comparison of random vectors with a common copula In: Post-Print.
[Citation analysis]		paper42
2017Between First- and Second-Order Stochastic Dominance In: Management Science.
[Full Text][Citation analysis]		article15
1997How Does the Value Function of a Markov Decision Process Depend on the Transition Probabilities? In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article5
2001Stochastic Comparison of Random Vectors with a Common Copula In: Mathematics of Operations Research.
[Full Text][Citation analysis]		article40
1998Another Tale of Two Tails: On Characterizations of Comparative Risk. In: Journal of Risk and Uncertainty.
[Full Text][Citation analysis]		article1
1996Another tale of two tails: On characterizations of comparative risk.(1996) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2015Detecting anthropogenic footprints in sea level rise In: Nature Communications.
[Full Text][Citation analysis]		article3
2001Stochastic Ordering of Multivariate Normal Distributions In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]		article21
2008Dependence properties and comparison results for Lévy processes In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]		article5
2018Expectiles, Omega Ratios and Stochastic Ordering In: Methodology and Computing in Applied Probability.
[Full Text][Citation analysis]		article10
2004A spot market model for pricing derivatives in electricity markets In: Quantitative Finance.
[Full Text][Citation analysis]		article88
1999“Bounds for Actuarial Present Values Under the Fractional Independence Assumption”, Werner Hürlimann, July, 1999 In: North American Actuarial Journal.
[Full Text][Citation analysis]		article0
2020Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference In: Dependence Modeling.
[Full Text][Citation analysis]		article1
2018On Consistency of the Omega Ratio with Stochastic Dominance Rules In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter1

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