# Selected Bibliography

**Sumitted articles:**

*Asymptotics of solutions of the sample average approximation method to solve risk averse stochastic programs. *preprint

*A general Kolmogorov-Chentsov type theorem with applications to limit theorems for Banach-valued processes *(with Mikhail Urusov). preprint

*First order asymptotics of the sample average approximation method to solve risk averse stochastic programs. *preprint

*Solving optimal stopping problems for convex risk measures via empirical dual optimization *(with* *Denis Belomestny and Tobias Hübner).

**Published or accepted articles:**

**Published or accepted articles:**

*Minimax theorems for American options in incomplete markets without time consistency *(with* *Denis Belomestny, Tobias Hübner and Sascha Nolte), Finance and Stochastics 23 (2019), 209-238. preprint

*Optimal stopping under uncertainty in drift and jump intensity *(with Marcel Ladkau, Roger Laeven, John Schoenmakers, Mitja Stadtje), Mathematics of Operations Research 43 (2018), 1177-1209. preprint

*A central limit theorem and hypotheses testing for risk averse stochastic programs (with Vincent Guigues and Alexander Shapiro), *SIAM Journal on Optimization 28 (2018), 1337-1366*. **preprint*

*Domains of weak continuity of statistical functionals with a view toward robust statistics *(with Alexander Schied and Henryk Zähle), Journal of Multivariate Analysis 158 (2017), 1-19. preprint

*Weak continuity of risk functionals with applications to stochastic programming* (with Matthias Claus and Rüdiger Schultz ), SIAM Journal of Optimization 27 (2017), 91-109. preprint

*Statistical inference for expectile-based risk measures* (with Henryk Zähle), Scandinavian Journal of Statistics 44 (2017), 425-454. preprint

*Optimal stopping under probability distortions and law invariant coherent risk measures *(with Denis Belomestny), Mathematics of Operations Research 42 (2017), 806-833. preprint

*Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle *(with Maria Grith and Wolfgang Härdle), Review of Finance 21 (2017), 269-298.

*Optimal stopping under model uncertainty: A randomized stopping times approach* (with Denis Belomestny), Annals of Applied Probability 26 (2016), 1260-1295. preprint (*Addendum* in Annals of Applied Probability 27 (2017), 1289-1293. preprint)

*Quasi-Hadamard differentiability of general risk functionals and its application ***(**with Alexander Schied and Henryk Zähle), Statistics & Risk Modeling 32 (2015), 25-47*. *preprint

*C**omparative and qualitative robustness of law-invariant risk measures *(with Alexander Schied and Henryk Zähle), Finance and Stochstics 18 (2014), 271-295. preprint

*Central limit theorems for law-invariant coherent risk measures* (with Denis Belomestny), Journal of Applied Probability 49 (2012), 1-21. article

Q*ualitative and infinitesimal robustness of tail-dependent statistical functionals *(with Alexander Schied and Henryk Zähle), Journal of Multivariate Analysis 103 (2012), 35-47. article

*Sensitivity of risk measures with respect to the normal approximation of total claim distributions* (with Henryk Zähle), Insurance: Mathematics and Economics 49 (2011), 335-344. article

*Representations for optimal stopping under dynamic monetary utillity functionals *(with John Schoenmakers), SIAM Journal on Financial Mathematics 1 (2010), 811-832. article

*On Dynamic Semiparametric Faktor Models in Risk Neutral Density Estimation *(with Enzo Giacomini and Wolfgang Härdle), ASTA , Advances in Statistical Analysis 93 (2009), 387-402. article

*Compactness in spaces of inner regular measures and a general Portmanteau lemma*, Journal of Mathematical Analysis and Applications 351 (2009), 792-803. article

*The problem to define normally distributed random fuzzy sets* (with Joachim Oberlinger), Journal of Fuzzy Mathematics 16 (2008), 229-236 .

*The uniqueness of extremum estimation*, Statistics & Probability Letters 77 (2007), 942-951. article

*Integrals of random fuzzy sets*, Test 15 (2006), 433-469. article

*Limit distributions of Least Squares estimators in linear regression models with vague concepts*, Journal of Multivariate Analysis 97 (2006), 1044-1069. article

*Strong consistency of Least Squares estimation in linear regression models with vague concepts*, Journal of Multivariate Analysis 97 (2006), 633-654. article

*Least Squares estimation in linear regression models with vague concepts*, Fuzzy Sets and Systems 157 (2006), 2579-2592. article

*A generalized framework of sampling inspections by attributes*, Statistics 39 (2005), 445-455. article

*Robust representation of convex risk measures by probability measures*, Finance and Stochastics 9 (2005), 597-608. article

*Probability theory in fuzzy sample spaces*, Metrika 60 (2004), 167-189. article

*Coherent lower previsions and Choquet integrals*, Fuzzy Sets and Systems 138 (2003), 469-484. article

*When fuzzy measures are upper envelopes of probability measures*, Fuzzy Sets and Systems 138 (2003), 455-468. article

*Some complete metrics on spaces of fuzzy subsets*, Fuzzy Sets and Systems 130 (2002), 357-365. article

*Limit theorems for fuzzy-random-variables*, Fuzzy Sets and Systems 126 (2002), 253-263. article

*A unified approach to fuzzy-random-variables*, Fuzzy Sets and Systems 123 (2001), 1-9. article

**Refereed contributions to Proceedings and Books: **

*Parametric estimation of risk neutral density functions* (with Maria Grith), in: Duan, J.-Ch. et al. (eds.), Handbook of Computational Finance, Springer Handbooks of Computational Statistics, Heidelberg, 2012 (Springer), 253-275.

*On sigma-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model*, Proceedings of the 5th International Symposium on Imprecise Probability and their Applications, Prague, 2007 (Society for Imprecise Probability: Theory and Aplications), 263-270.

*Few remarks concerning a concept to define normally distributed random fuzzy sets* (with Joachim Oberlinger), in: Lopez-Diaz, M. et al. (eds.), Soft Methodology and Random Information Systems, Heidelberg/New York/Berlin, 2004 (Springer), 212-218.

*Least Squares estimation in linear regression models with vague concepts*, in: Lopez- Diaz , M. et al . (eds.), Soft Methodology and Random Information Systems, Heidelberg/New York/Berlin, 2004 (Springer), 407-414.

*Maximum-Likelihood- Schätzung in Unterfamilien von Exponentialfamilien*, in: Kleinschmidt, P. et al. (eds), Operations Research Proceedings 1995, Berlin, 1996, 212-217.

## Theses:

Induktive Statistik auf Basis unscharfer Messkonzepte am Beispiel linearer Regressionsmodelle, postdoctoral thesis at the Faculty of Law and Economics, Saarland University, Saarbrücken, 2001.

Differentialgeometrische Kleinst - Quadrate - Schätzung in nichtlinearen Regressionsmodellen mit normalverteilten Störgrößen , PhD thesis at the Faculty of Law and Economics, Saarland University, Saarbrücken, 1995.