Financial mathematics,insurance and risk bounds

MinCovTarget: a new standard for fair allocation. Coauthors: G. Puccetti and S. Vanduffel (pdf) Preprint (2023)
Coskewness under dependence uncertainty. Coauthors: C. Bernard, J. Chen and S. Vanduffel. (pdf) Statistics, Prob. Letters 199, (2023)
Supermodular and directionally convex comparison results for general factor models. Coauthor: J. Ansari. (pdf) J. Mult. Analysis 201, (2024)
Sklar`s Theorem,copula products and ordering results in factor models.Coauthor:J.Ansari. Dependence Modeling 9, (2021), 267 -306 (pdf)
Ordering results in classes of elliptical distributions with applications to risk bounds. Coauthor : J.Ansari ,Preprint 2019 (pdf).Journal Mult.Anal. 182 (2021)
Comparison of path-dependent functions of semimartingales. Coauthor: B. Köpfer, Preprint 2019 (pdf)
Generalized statistical arbitrage concepts and related gain strategies. Coauthors : C.Rein ,T.Schmidt ,Preprint 2019 (pdf).Math.Finance 31 (2021) 563-594
On the construction of optimal payoffs.Coauthor :S.Vanduffel,Preprint 2017 ,Decisions in Economics and Finance 43 (2020) 129-153 (pdf)

Upper risk bounds in internal factor models with constrained specification sets. Coauthor: J.Ansari, Preprint ,Prob.Uncertainty and Quantitative Risk 5 ,(2020), (pdf)
Analysis of risk bounds in partially specified additive factor models. Insurance Mathematics and Economics 86 (2019) 115–121,(pdf)
Ordering of risk bounds in factor models. Coauthor: J. Ansari. Dependence Modeling 6 (2018), 259–287 (pdf)
Risk bounds with additional information on functionals of the risk vector. Dependence Modeling 6 (2018), 102–113 (pdf)
Value-at-Risk bounds with variance constraints. Coauthors: C. Bernard, S. Vanduffel. Preprint (October 2013) (SSRN). The Jourmal of Risk and Insurance 84 (3) (2017), 923–959 (doi:10.1111/jori.12108)
Upper bounds for concave distortion risk measures on moment spaces. Coauthors: D. Cornilly, S. Vanduffel. Insurance, Mathematics, and Economics (IME) 82 (2018), 141–151 (pdf)
Risk excess measures induced by hemi-metrics. Coauthor: O. P. Faugeras. Preprint (2017), Probability, Uncertainty and Quantitative Risk 3:6 (2018), 35 pg. (pdf)
Value-at-Risk bounds with two-sided dependence information. Coauthor: T. Lux. Preprint (2017). Mathematical Finance 29 (2018), 967–1000 (pdf)
Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor. Coauthor: J. Ansari, Preprint (2016), Methodology and Computing in Applied Probability 20(3) (2018), 1–22 (doi:10.1007/s11009-016-9536-1)
Risk bounds and partial dependence information. Preprint (2016) (pdf). In: From Statistics to Mathematical Finance. Festschrift in Honour of Winfried Stute. Eds: D. Ferger, W. González Manteiga, T. Schmidt, J.-L. Wang, Springer (2017) (doi:10.1007/978-3-319-50986-0)
VaR bounds in models with partial dependence information on subgroups. Coauthor: J. Witting. Preprint (2016) (pdf). Dependence Modeling 5 (1) (2017), 59–74 (doi:10.1515/demo-2017-0004)
Improved Hoeffding–Fréchet bounds and applications to VaR estimates. Preprint (2016) (pdf). In: Copulas and Dependence Models with Applications. Contributions in Honor of Roger B. Nelsen. Eds: M. Úbeda Flores, E. de Amo Artero, F. Durante, J. Fernández Sánchez. Springer (2017), 181–202 (doi:10.1007/978-3-319-64221-5_12)
VaR bounds for joint portfolios with dependence constraints. Coauthors: G. Puccetti, D. Manko. Preprint (SSRN). Dependence Modeling 4 (2016), 368–381
Construction and hedging of optimal payoffs in Lévy Models. Coauthor: V. Wolf. Preprint (2015) (pdf). In: Advanced Modelling in Mathematical Finance. Eds.: J. Kallsen and A. Papapantoleon, Springer (2016), 331–377
European and Asian Greeks for general jump diffusions with nonvanishing Brownian motion part. Coauthor: A. Hudde. Preprint (2016) (arXiv:1603.00920v1)
Reduction of Value-at-Risk bounds via independence and variance information. Coauthors: G. Puccetti, D. Small, and S. Vanduffel. Preprint (2015) (SSRN). Scandinavian Actuarial Journal 3 (2017), 245–266 (doi:10.1080/03461238.2015.1119717 )
Cost-effciency in multivariate Lévy models. Coauthor: V. Wolf. Preprint (pdf). Dependence and Risk Modelling 3 (2015), 1–16
On the method of optimal portfolio choice by cost-efficiency. Coauthor: V. Wolf. Preprint (October 2014) (pdf). Applied Mathematical Finance 23 (2) (2016), 158–173 (doi:10.1080/1350486X.2016.1204238)
Risk bounds for factor models. Coauthors: C. Bernard, S. Vanduffel and R. Wang. Preprint (2015) (SSRN, doi:10.2139/ssrn.2572508). Finance and Stochastics 3 (2017), 631–659 (doi:10.1007/s00780-017-0328-4)
How robust is the Value-at-Risk of credit risk portfolios? Coauthors: C. Bernard, S. Vanduffel and J. Yao. Preprint (September 2014) (pdf, SSRN). The European Journal of Finance 23(6) (2017), 507–534
Reducing model risk via positive and negative dependence assumptions. Coauthors: V. Bignozzi and G. Puccetti (pdf, SSRN). Insurance: Mathematics and Economics 61 (2015), 17–26
Construction of cost-efficient self-quanto calls and puts in exponential Lévy models. Coauthors: E.A.v. Hammerstein, E. Lütkebohmert and V. Wolf. Proceedings AFMATH Conference 2014, 49–61 (pdf)
An Academic Response to Basel 3.5. Coauthors: P. Embrechts, G. Puccetti, R. Wang and A. Beleraj. Risks 2 (1) (2014), 25–48 (doi:10.3390/risks2010025)
Value-at-Risk bounds with variance constraints. Coauthors: C. Bernard and S. Vanduffel. Preprint (October 2013) (pdf, SSRN). Journal of Risk and Insurance (2015) (doi:10.1111/jori.12108)
Optimal claims with fixed payoff structure. Coauthors: C. Bernard and S. Vanduffel. Preprint (2013; version: May 2014) (pdf). Journal of Applied Probability 51A (2014), 175–188
Optimal payoffs under state-dependent constraints. Coauthors: C. Bernard, F. Moraux and S. Vanduffel. Preprint (June 2014) (pdf). Quantitative Finance, 15 (7) (2015), 1157–1173
Optimality of payoffs in Lévy models. Coauthors: E. A. v. Hammerstein, E. Lütkebohmert and V. Wolf. Preprint (May 2013) (pdf). International Journal of Theoretical and Applied Finance 17 (6), 1450041, (2014) 49-61 (doi:10.1142/S0219024914500411)
Portfolio optimization for heavy-tail assets: Extreme Risk Index vs. Markowitz. Coauthors: G. Mainik and G. Mitov. Preprint (October 2013) (pdf, arXiv:1505.04045). Journal of Empirical Finance 32 (2015), 115–134 (doi:10.1016/j.jempfin.2015.03.003)
Optimal risk allocation for convex risk functionals in general domains. Coauthor: S. Kiesel. Preprint (2013) (pdf). Statistics & Risk Modeling 31 (3–4) (2014), 335–365 (doi:10.1515/strm-2012-1156)
On the optimal reinsurance problem. Coauthor: S. Kiesel. Preprint (2013) (pdf). Applicationes Mathematicae 40(3) (2013), 259–280 (doi:10.4064/am40-3-1 )
Model uncertainty and VaR aggregation. Coauthors: P. Embrechts and G. Puccetti. Preprint (2012) (pdf, SSRN). Journal of Banking and Finance 37(8) (2013), 2750–2764
Computation of sharp bounds on the expected value of a supermodular function of risks with given marginals. Coauthor: G. Puccetti. Preprint (2012; version: March 2013) (pdf, SSRN). Communications in Statistics-Simulation and Computation 44 (2015), 705–718 (doi:10.1080/03610918.2013.791368 ).
Asymptotic equivalence of conservative VaR- and ES-based capital charges. Coauthor: G. Puccetti. Preprint (2012; version: July 2013) (pdf). Journal of Risk 16(3) (2014), 1–19
Sharp bounds for sums of dependent risks. Coauthor: G. Puccetti. Preprint (2011) (pdf). J. Appl. Probab. 50(1) (2013), 42–53
Risk bounds, worst case dependence and optimal claims and contracts. Preprint (2011) ( pdf). Proceedings of the AFMATH Conference, Brussels (2012), 23–36
Bounds for joint portfolios of dependent risks. Coauthor: G. Puccetti. Statistics & Risk Modeling 29(2) (2012), 107–132 (pdf)
Computation of sharp bounds on the distribution of a function of dependent risks. Coauthor: G. Puccetti. J. Comp. Appl. Math. 236(7) (2012), 1833–1840 (pdf)
Ordering of multivariate probability distributions with respect to extreme portfolio losses. Coauthor: G. Mainik. Statistics & Risk Modeling 29(1) (2012), 73–106 (arXiv:1010.5171, doi:10.1524/strm.2012.1103)
On optimal allocation of risk vectors. Coauthor: S. Kiesel. Preprint (pdf). Insurance: Mathematics and Economics 47 (2010), 167–175 (doi:10.1016/j.insmatheco.2010.05.005)
Worst case portfolio vectors and diversification effects. Preprint (March 2010; 1st version: September 2009) (pdf). Finance and Stochastics 16 (2012), 155–175
On optimal portfolio diversification with respect to extreme risks. Coauthor: G. Mainik. Finance and Stochastics 14 (2010), 593–623 (doi10.1007/s00780-010-0122-z, pdf)
On the distributional transform, Sklar's Theorem, and the empirical copula process. Journal of Statistical Planning and Inference 139 (2009), 3921–3927 (pdf)
Characterization of optimal risk allocations for convex risk functionals. Coauthor: S. Kiesel. Statistics and Decisions 26 (2008), 303–319 (doi:10.1524/stnd.2008.1001)
Comparison results for path-dependent options. Coauthor: J. Bergenthum. Statistics & Decisions 26 (2008), 53–72 (doi:10.1524/stnd.2008.0912)
On convex risk measures on L^p-spaces. Coauthor: M. Kaina. Mathematical Methods in Operations Research (MMDR) 69 (2009), 475–495, (doi 10.1007/s00186-008-0248-3). (pdf)
On comonotonicity of Pareto optimal risk sharing. Coauthor: M. Ludkovski. Statistics and Probability Letters 78 (2008), 1181–1188. (pdf)
Convex ordering criteria for Lévy Processes. Coauthor: J. Bergenthum. Advances Data Analysis Classification 1 (2007), 143–173. (pdf)
Risk measures for portfolio vectors and allocation of risks. Preprint (2005). In: Risk Assessment: Decisions in Banking and Finance, Eds: G. Bol, S. T. Rachev, R. Würth, Springer/Physica-Verlag (2009), 153–164.
Law invariant convex risk measures for portfolio vectors. Statistics & Decisions 24 (2006), 97–108 (pdf)
Oldenbourg Wissenschaftsverlag, München (http://statistics-international.de)
Comparison of semimartingales and Lévy processes. Coauthor: J. Bergenthum. Annals of Probability 35 (1) (2007), 228–254. (pdf)
On the optimal risk allocation problem. Coauthor: C. Burgert. Statistics & Decisions 24 (2006), 153–171 (pdf)
Oldenbourg Wissenschaftsverlag, München (http://statistics-international.de)
Consistent risk measures for portfolio vectors. Coauthor: C. Burgert. Insurance: Mathematics and Economics 38 (2006), 289–297. (pdf)
Optimal consumption strategies under model uncertainty. Coauthor: C. Burgert. Statistics & Decisions 23 (2005), 1–14. (pdf)
Oldenbourg Wissenschaftsverlag, München (http://statistics-international.de)
Allocation of risks and equilibrium in markets with finitely many traders. Coauthor: C. Burgert. Preprint (2005). Insurance: Mathematics and Economics, 42 (2008), 177–188. (pdf)
Comparison of option prices in semimartingale models. Coauthor: J. Bergenthum. Finance and Stochastics 10 (2006), 222–249. (pdf)
Stochastic ordering of risks, influence of dependence and a.s. constructions. In: Advances on Models, Characterizations and Applications. Eds: N. Balakrishnan, I. G. Bairamov, O. L. Gebizlioglu, Chapman & Hall/CRC Press (2005), 19–56. (pdf)
Comparison of multivariate risks and positive dependence. Journal of Applied Probability 41 (2004), 391–406. (pdf)
On upper and lower prices in discrete time models. Proc. Steklov Math. Inst. 237 (2002), 134–139. (ps)
Minimal distance martingale measures and optimal portfolios consistent with observed market prices. Coauthor: T. Goll. In: Stoch. Processes and Related Topics (2002), 141–154, Taylor & Francis, Stochastics Monographs. Eds: R. Buckdahn, H.J. Engelbert, and M. Yor. (pdf)
Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Coauthor: T. Goll. Finance and Stochastics 5 (2001), 557–581 (pdf)
Models for option prices. Coauthor: S. T. Rachev. Theory Probab. Appl. 39(1) (1995), 150–152 (pdf, doi:10.1137/1139005)
On the Cox, Ross and Rubinstein model for option prices. Coauthor: S. T. Rachev. In: Proceeding of Conference in Financial Mathematics, Mexico (1994), 25 pg.