Monge-Kantorovich transportation problem, couplings and dependence models

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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)
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Bounds for joint portfolios of dependent risks, Coauthor: G. Puccetti, Statistics & Risk Modeling 29 (2) (2012), 107-132. (pdf)
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Comparison of Markov processes via infinitesimal generators, Coauthor: V. Wolf, Statistics & Decisions, 28 (2) (2011), 151–168. (pdf)
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On comonotonicity of Pareto optimal risk sharing, Coauthor: M. Ludkovski, Statistics and Probability Letters 78 (2008), 1181-1188. (pdf)
Monge-Kantorovich transportation problem and optimal couplings. Jahresbericht der DMV 109 (2007), 113–137 (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)
Variance minimization and random variables with constant sum, Coauthor: L. Uckelmann, Distributions with given marginals. Eds.: Cuadras, et al., Kluwer (2002), 211-222. (pdf)
Numerical and analytical results for the transportation problem of Monge-Kantorovich, Coauthor: L. Uckelmann, Metrika 51 (2000), 245-258. (pdf)
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Duality theorems for assignments with upper bounds, Coauthor: D. Ramachandran, In Proceedings of Prague 1996 conference on marginal problems, Eds.: V. Benes, I. Stepan. Kluwer (1997), 283-290. (pdf)
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