Publications of PRisMa Lab Members

Publications with Peer Review

• S. Gerhold, U. Schmock, R. Warnung: "A Generalization of the Panjer Recursion and Numerically Stable Risk Aggregation"; Finance and Stochastics, 14 (2010), 1; S. 81 - 128. DOI: 10.1007/s00780-009-0104-1
• B. Acciaio: "Short Note on Inf-Convolution Preserving the Fatou Property"; Annals of Finance, 5 (2009), 2; S. 281 - 287. DOI: 10.1007/s10436-008-0107-5
• B. Acciaio, G. Svindland: "Optimal risk sharing with different reference probabilities"; Insurance Mathematics and Economics, 44 (2009), 3; S. 426 - 433. DOI: 10.1016/j.insmatheco.2008.12.002
• S. Gerhold: "Asymptotic Analysis of Some Discrete Distributions by the Saddle Point Method"; Communications in Statistics - Theory and Methods, 38 (2009), 2; S. 262 - 271. DOI: 10.1080/03610920802192489
• S. Gerhold: "The Shape of the Value Sets of Linear Recurrence Sequences"; Journal of Integer Sequences, 12 (2009), 3; 4 S.
• S. Gerhold, R. Warnung: "Finding efficient recursions for risk aggregation by computer algebra"; Journal of Computational and Applied Mathematics, 223 (2009), S. 499 - 507. DOI: 10.1016/j.cam.2008.01.025
• F. Hubalek, C. Sgarra: "On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps"; Stochastic Processes and Their Applications, 119 (2009), 7; S. 2137 - 2157. DOI: 10.1016/j.spa.2008.10.005
• S. Klöppel, R. Reda, W. Schachermayer: "A rotationally invariant technique for rare event simulation"; Risk magazine, 22 (2009), 10; S. 90 - 94.
• W. Schachermayer, U. Schmock, J. Teichmann: "Non-monotone convergence in the quadratic Wasserstein distance"; in: "Séminaire de Probabilités XLII", Springer Verlag, Berlin / Heidelberg, 2009, ISBN: 978-3-642-01762-9, S. 131 - 136. DOI: 10.1007/978-3-642-01763-6_3
• P. Shevchenko, G. Temnov: "Modeling operational risk data reported above a time-varying threshold"; The Journal of Operational Risk, 4 (2009), 2; S. 19 - 42.
• J. Leitner: "Risk-adjusted value allocation for (non-traded) assets with performance ratios"; Quantitative Finance 8(1), pp. 93-102, (2008).
• J. Leitner: "Fair (intra-bank transfer) prices for credits with stochastic recovery"; Annals of Finance 4(2), pp. 243-253, (2008).
• E. Jouini, W. Schachermayer, N. Touzi: "Optimal risk sharing for law invariant monetary utility functions"; Mathematical Finance 18(2), pp. 269-292, (2008).
• W. Schachermayer, J. Teichmann: "How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?"; Mathematical Finance, Vol. 18(1), pp. 55-76, (2008).
• H. Alzer, S. Gerhold, M. Kauers, A. Lupas: "On Turán's inequality for Legendre polynomials"; Expo. Math. 25(2), pp. 181-186, (2007).
• J.P. Bell, S. Gerhold: "On the positivity set of a linear recurrence sequence"; Israel J. Math. 157, pp. 333-345, (2007).
• S. Klöppel, M. Schweizer: "Dynamic indifference valuation via convex risk measures"; Mathematical Finance 17(4), pp. 599-627, (2007).
• M. Jeanblanc, S. Klöppel, Y. Miyahara: "Minimal fq-martingale measures for exponential Lévy processes"; Annals of Applied Probability 17(5), pp. 1618-1638, (2007).
• P. Grandits, F. Hubalek, W. Schachermayer, M. Zigo: "Optimal expectedexponential utility of dividend payments in Brownian risk model"; Scandinavian Actuarial Journal, Vol. 2, pp. 73-107, (2007).

Other Publications

• E. Glogova, R. Warnung: "Modeling dependent credit risks for application to off-site banking supervision"; Financial Stability Report 12, OeNB, 2006.
• U. Schmock: "Modelling dependent credit risks with extensions of CreditRisk+ and application to operational risk", Lecture Notes.
• W. Schachermayer, J. Teichmann: "Wie K. Itô den stochastischen Kalkül revolutionierte"; Internationale Mathematische Nachrichten, Vol. 205, pp. 11-22. (2007).

Accepted papers

• P. Flajolet, S. Gerhold, B. Salvy: "Lindelöf Representations and (Non)Holonomic Sequences", 2008. To appear in the Electronic Journal of Combinatorics.
• S. Gerhold: "Unimodality of Two Distributions Related to the Negative Binomial Distribution", to appear in Journal of Statistical Theory and Applications, 2009. (preprint)
• S. Gerhold, "Asymptotic Estimates for Some Number Theoretic Power Series", 2009. To appear in Acta Arithmetica.
• P. Grandits and G. Temnov (2009): "A global consistency result for the two-dimensional Pareto distribution in the presence of mis-specified inflation" To appear in "Finance and Stochastics"
• G. Temnov (2007): "Risk models with stochastic income of premiums as extensions of the collective risk theory", to appear in: "Selected Topics of Insurance Mathematics" - Editors: V.Korolev, R.Norberg, H.Schmidli. VSP Utrecht.

Submitted papers

• B. Acciaio and S. Herzel: "An affine intensity model for large credit portfolios", submitted, 2008.
• M. Baron, P. Hofmarcher, Ch. Konvicka, J. Leitner: "Portfolio optimization using a risk-adjusted value approach". 2008. Submitted.
• S. Gerhold, M. Zeiner: "Convergence Properties of Kemp's q-Binomial Distribution", 2008. Submitted.
• S. Gerhold: "Lévy-Sheffer Systems and the Longstaff-Schwartz Algorithm for American Option Pricing", 2008. Submitted.
• V. Goldammer: "Estimation and modelling of dependent credit rating transition matrices"; submitted, 2009.
• V. Goldammer, U. Schmock: "Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality"; submitted in October 2008.
• P. Grandits, R. Kainhofer, G. Temnov: "On the impact of hidden trends for a compound Poisson model with Pareto-type claims.", Submitted 2008
• F. Hubalek and A. E. Kyprainou: "Old and new examples of scale functions for spectrally negative Lévy processes", Submitted 2007.
• F. Hubalek and P. Posedel: "Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models", submitted, 2008.
• M. Siopacha, J. Teichmann: "Weak and Strong Taylor methods for numerical solutions of stochastic differential equations", submitted, 2007.
• T. Tsuchiya: "Stochastic flows with non-Lipschitzian coefficients of SDEs driven by multi-dimensional symmetric \alpha stable processes" submitted, 2009.