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Prof. Dr. Volker Krätschmer

Fakultät für Mathematik

Anschrift
Bimarckstraße 90
47057 Duisburg
Raum
BC 511
Telefon
+49 203 379 2688
E-Mail
volker.kraetschmer@uni-due.de

Funktionen

  • Wissenschaftliche/r Mitarbeiter/in, Stochastik, Versicherungsmathematik

Die folgenden Publikationen sind in der Online-Universitätsbibliographie der Universität Duisburg-Essen verzeichnet. Weitere Informationen finden Sie gegebenenfalls auch auf den persönlichen Webseiten der Person.

    Artikel in Zeitschriften

  • Krätschmer, Volker
    First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
    In: Mathematical Programming: Series A, Series B, Jg. 208, 2024, Nr. 1-2, S. 209 – 242
    DOI (Open Access)
  • Krätschmer, Volker
    Nonasymptotic Upper Estimates for Errors of the Sample Average Approximation Method to Solve Risk-Averse Stochastic Programs
    In: SIAM Journal on Optimization, Jg. 34, 2024, Nr. 2, S. 1264 – 1294
    DOI, Online Volltext (Open Access)
  • Krätschmer, Volker; Urusov, Mikhail
    A Kolmogorov–Chentsov Type Theorem on General Metric Spaces with Applications to Limit Theorems for Banach-Valued Processes
    In: Journal of Theoretical Probability, Jg. 36, 2023, Nr. 3, S. 1454 – 1486
    DOI (Open Access)
  • Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker
    Solving optimal stopping problems under model uncertainty via empirical dual optimisation
    In: Finance and Stochastics, Jg. 26, 2022, Nr. 3, S. 461 – 503
    DOI (Open Access)
  • Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; Nolte, Sascha
    Minimax theorems for American options without time-consistency
    In: Finance and Stochastics, Jg. 23, 2019, Nr. 1, S. 209 – 238
    DOI
  • Guigues, Vincent; Krätschmer, Volker; Shapiro, Alexander
    A central limit theorem and hypotheses testing for risk-averse stochastic programs∗
    In: SIAM Journal on Optimization, Jg. 28, 2018, Nr. 2, S. 1337 – 1366
    DOI, Online Volltext (Open Access)
  • Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J.A.; Schoenmakers, John G.M.; Stadje, Mitja
    Optimal stopping under uncertainty in drift and jump intensity
    In: Mathematics of Operations Research, Jg. 43, 2018, Nr. 4, S. 1177 – 1209
    DOI
  • Krätschmer, Volker; Belomestny, Denis
    Addendum to “Optimal stopping under model uncertainty: Randomized stopping times approach”
    In: The Annals of Applied Probability, Jg. 27, 2017, Nr. 2, S. 1289 – 1293
    DOI (Open Access)
  • Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
    Domains of weak continuity of statistical functionals with a view toward robust statistics
    In: Journal of Multivariate Analysis, Jg. 158, 2017, S. 1 – 19
    DOI, Online Volltext (Open Access)
  • Belomestny, Denis; Krätschmer, Volker
    Optimal stopping under probability distortions
    In: Mathematics of Operations Research, Jg. 42, 2017, Nr. 3, S. 806 – 833
    DOI
  • Grith, Maria; Härdle, Wolfgang; Krätschmer, Volker
    Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle
    In: Review of Finance, Jg. 21, 2017, Nr. 1, S. 269 – 298
    DOI
  • Krätschmer, Volker; Zähle, Henryk
    Statistical Inference for Expectile-based Risk Measures
    In: Scandinavian Journal of Statistics, Jg. 44, 2017, Nr. 2, S. 425 – 454
    DOI, Online Volltext (Open Access)
  • Krätschmer, Volker; Claus, Matthias; Schultz, Rüdiger
    Weak continuity of risk functionals with applications to stochastic programming
    In: SIAM Journal on Optimization, Jg. 27, 2017, Nr. 1, S. 91 – 109
    DOI, Online Volltext (Open Access)
  • Krätschmer, Volker; Belomestny, Denis
    Optimal stopping under model uncertainty : Randomized stopping times approach
    In: The Annals of Applied Probability, Jg. 26, 2016, Nr. 2, S. 1260 – 1295
    DOI, Online Volltext (Open Access)
  • Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
    Comparative and qualitative robustness for law-invariant risk measures
    In: Finance and Stochastics, Jg. 18, 2015, Nr. 2, S. 271 – 295
    DOI
  • Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
    Quasi-Hadamard differentiability of general risk functionals and its application
    In: Statistics and Risk Modeling, Jg. 32, 2015, Nr. 1, S. 25 – 47
    DOI, Online Volltext (Open Access)
  • Belomestny, Denis; Krätschmer, Volker
    Central limit theorems for law-invariant coherent risk measures
    In: Journal of Applied Probability (JAP), Jg. 49, 2012, Nr. 1, S. 1 – 21
    DOI
  • Krätschmer, Volker; Zähle, Henryk; Schied, Alexander
    Qualitative and infinitesimal robustness of tail-dependent statistical functionals
    In: Journal of Multivariate Analysis, Jg. 103, 2012, Nr. 1, S. 35 – 47
    DOI
  • Krätschmer, Volker; Zähle, Henryk
    Sensitivity of risk measures with respect to the normal approximation of total claim distributions
    In: Insurance: Mathematics and Economics, Jg. 49, 2011, Nr. 3, S. 335 – 344
    DOI
  • Krätschmer, Volker; Schoenmakers, John
    Representations for Optimal Stopping under Dynamic Monetary Utility Functionals
    In: SIAM Journal on Financial Mathematics, Jg. 1, 2010, Nr. 1, S. 811 – 832
    DOI
  • Krätschmer, Volker
    Compactness in spaces of inner regular measures and a general Portmanteau lemma
    In: Journal of mathematical analysis and applications, Jg. 351, 2009, Nr. 2, S. 792 – 803
    DOI
  • Giacomini, Enzo; Härdle, Wolfgang; Krätschmer, Volker
    Dynamic semiparametric factor models in risk neutral density estimation
    In: AStA Advances in Statistical Analysis, Jg. 93, 2009, Nr. 4, S. 387 – 402
    DOI
  • Oberlinger, Joachim; Krätschmer, Volker
    The problem to define normally distributed random fuzzy sets
    In: The journal of fuzzy mathematics, Jg. 18, 2008, Nr. 2, S. 229 – 236
  • Krätschmer, Volker
    The uniqueness of extremum estimation
    In: Statistics & probability letters, Jg. 77, 2007, Nr. 10, S. 942 – 951
    DOI
  • Krätschmer, Volker
    Integrals of random fuzzy sets
    In: Test, Jg. 15, 2006, Nr. 2, S. 433 – 469
    DOI
  • Krätschmer, Volker
    Least-squares estimation in linear regression models with vague concepts
    In: Fuzzy sets and systems, Jg. 157, 2006, Nr. 19, S. 2579 – 2592
    DOI
  • Krätschmer, Volker
    Limit distributions of least squares estimators in linear regression models with vague concepts
    In: Journal of multivariate analysis : JMVA, Jg. 97, 2006, Nr. 5, S. 1044 – 1069
    DOI
  • Krätschmer, Volker
    Strong consistency of least-squares estimation in linear regression models with vague concepts
    In: Journal of multivariate analysis : JMVA, Jg. 97, 2006, Nr. 3, S. 633 – 654
    DOI
  • Krätschmer, Volker
    A generalized framework of sampling inspections by attributes
    In: Statistics : a journal of theoretical and applied statistics, Jg. 39, 2005, Nr. 5, S. 445 – 455
    DOI
  • Krätschmer, Volker
    Robust representation of convex risk measures by probability measures
    In: Finance and stochastics, Jg. 9, 2005, Nr. 4, S. 597 – 608
    DOI
  • Krätschmer, Volker
    Probability theory in fuzzy sample spaces
    In: Metrika, Jg. 60, 2004, Nr. 2, S. 167 – 189
    DOI
  • Krätschmer, Volker
    Coherent lower previsions and Choquet integrals
    In: Fuzzy sets and systems, Jg. 138, 2003, Nr. 3, S. 469 – 484
    DOI
  • Krätschmer, Volker
    When fuzzy measures are upper envelopes of probability measures
    In: Fuzzy Sets and Systems, Jg. 138, 2003, Nr. 3, S. 455 – 468
    DOI
  • Krätschmer, Volker
    Limit theorems for fuzzy-random variables
    In: Fuzzy sets and systems, Jg. 126, 2002, Nr. 2, S. 253 – 263
    DOI
  • Krätschmer, Volker
    Some complete metrics on spaces of fuzzy subsets
    In: Fuzzy sets and systems, Jg. 130, 2002, Nr. 3, S. 357 – 365
    DOI
  • Krätschmer, Volker
    A unified approach to fuzzy random variables
    In: Fuzzy sets and systems, Jg. 123, 2001, Nr. 1, S. 1 – 9
    DOI

    • Aufsätze

  • Krätschmer, Volker; Belomestny, Denis
    Optimal stopping under probability distortions and law invariant coherent risk measures
    2016
    Online Volltext

    • Beiträge in Sammelwerken und Tagungsbänden

  • Grith, Maria; Krätschmer, Volker
    Parametric Estimation of Risk Neutral Density Functions
    In: Handbook of Computational Finance / Duan, Jin-Chuan; Härdle, Wolfgang Karl; Gentle, James E. (Hrsg.). Berlin, Heidelberg: Springer-Verlag Berlin Heidelberg, 2012, S. 253 – 275
    DOI
  • Krätschmer, Volker
    On sigma-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model
    In: Proceedings of the 5th International Symposium on Imprecise Probability and their Applications / 5th International Symposium on Imprecise Probability and their Applications, Prague, 2007 (Society for Imprecise Probability: Theory and Aplications), 2007, S. 263 – 270
    Online Volltext
  • Oberlinger, Joachim; Krätschmer, Volker
    Few remarks concerning a concept to define normally distributed random fuzzy sets
    In: Soft Methodology and Random Information Systems / Lopez-Diaz, Miguel; Gil, Maria A. (Hrsg.). Berlin [u.a.]: Springer, 2004, S. 212 – 218
    DOI
  • Krätschmer, Volker
    Least Squares Estimation in Linear Regression Models with Vague Concepts
    In: Soft Methodology and Random Information Systems / Lopez-Diaz, Miguel; Gil, Maria A. (Hrsg.). Berlin [u.a.]: Springer Berlin Heidelberg, 2004, S. 407 – 414
    DOI