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Fakultät für Mathematik
Anschrift
Bimarckstraße 90
47057 Duisburg
47057 Duisburg
Raum
BC 511
Telefon
Funktionen
- Gruppe der akademischen Mitarbeiterinnen und Mitarbeiter, Fakultätsrat
- Wissenschaftliche/r Mitarbeiter/in, Stochastik, Versicherungsmathematik
Aktuelle Veranstaltungen
- 2020 WS
Vergangene Veranstaltungen (max. 10)
- 2020 SS
- 2019 WS
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.
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Minimax theorems for American options without time-consistencyIn: Finance and Stochastics Jg. 23 (2019) Nr. 1, S. 209 - 238
ISSN: 0949-2984; 1432-1122Online Volltext: dx.doi.org/ -
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
ISSN: 1052-6234Online Volltext: dx.doi.org/ Online Volltext (Open Access) -
Optimal stopping under uncertainty in drift and jump intensityIn: Mathematics of Operations Research Jg. 43 (2018) Nr. 4, S. 1177 - 1209
ISSN: 1526-5471; 0364-765XOnline Volltext: dx.doi.org/ -
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
ISSN: 1050-5164Online Volltext: dx.doi.org/ -
Domains of weak continuity of statistical functionals with a view toward robust statisticsIn: Journal of Multivariate Analysis: JMVA Jg. 158 (2017) S. 1 - 19
ISSN: 1095-7243; 0047-259XOnline Volltext: dx.doi.org/ (Open Access) -
Optimal stopping under probability distortionsIn: Mathematics of Operations Research Jg. 42 (2017) Nr. 3, S. 806 - 833
ISSN: 1526-5471; 0364-765XOnline Volltext: dx.doi.org/ -
Reference-Dependent Preferences and the Empirical Pricing Kernel PuzzleIn: Review of Finance Jg. 21 (2017) Nr. 1, S. 269 - 298
ISSN: 1573-692X; 1572-3097Online Volltext: dx.doi.org/ -
Statistical Inference for Expectile-based Risk MeasuresIn: Scandinavian Journal of Statistics Jg. 44 (2017) Nr. 2, S. 425 - 454
ISSN: 1467-9469; 0303-6898Online Volltext: dx.doi.org/ (Open Access) -
Weak continuity of risk functionals with applications to stochastic programmingIn: SIAM Journal on Optimization Jg. 27 (2017) Nr. 1, S. 91 - 109
ISSN: 1052-6234; 1095-7189Online Volltext: dx.doi.org/ (Open Access) -
Optimal stopping under model uncertainty : Randomized stopping times approachIn: The annals of applied probability Jg. 26 (2016) Nr. 2, S. 1260 - 1295
ISSN: 1050-5164Online Volltext: dx.doi.org/ (Open Access) -
Optimal stopping under probability distortions and law invariant coherent risk measuresIn: De.arxiv.org Jg. 2016 (2016) S. 1506.04439
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Comparative and qualitative robustness for law-invariant risk measuresIn: Finance and stochastics Jg. 18 (2015) Nr. 2, S. 271 - 295
ISSN: 1432-1122Online Volltext: dx.doi.org/ -
Quasi-Hadamard differentiability of general risk functionals and its applicationIn: Statistics and Risk Modeling Jg. 32 (2015) Nr. 1, S. 25 - 47
ISSN: 2196-7040; 2193-1402Online Volltext: dx.doi.org/ (Open Access) -
Central limit theorems for law-invariant coherent risk measuresIn: Journal of Applied Probability (JAP) Jg. 49 (2012) Nr. 1, S. 1 - 21
ISSN: 0021-9002; 1475-6072Online Volltext: dx.doi.org/ -
Qualitative and infinitesimal robustness of tail-dependent statistical functionalsIn: Journal of multivariate analysis Jg. 103 (2012) Nr. 1, S. 35 - 47
ISSN: 0047-259XOnline Volltext: dx.doi.org/ -
Sensitivity of risk measures with respect to the normal approximation of total claim distributionsIn: Insurance : mathematics and economics Jg. 49 (2011) Nr. 3, S. 335 - 344
Online Volltext: dx.doi.org/ -
Representations for Optimal Stopping under Dynamic Monetary Utility FunctionalsIn: SIAM journal on financial mathematics : SIFIN Jg. 1 (2010) Nr. 1, S. 811 - 832
ISSN: 1945-497XOnline Volltext: dx.doi.org/ -
Compactness in spaces of inner regular measures and a general Portmanteau lemmaIn: Journal of mathematical analysis and applications Jg. 351 (2009) Nr. 2, S. 792 - 803
Online Volltext: dx.doi.org/ -
Dynamic semiparametric factor models in risk neutral density estimationIn: Advances in statistical analysis : AStA Jg. 93 (2009) Nr. 4, S. 387 - 402
ISSN: 1863-818XOnline Volltext: dx.doi.org/ -
The problem to define normally distributed random fuzzy setsIn: The journal of fuzzy mathematics Jg. 18 (2008) Nr. 2, S. 229 - 236
ISSN: 1066-8950 -
The uniqueness of extremum estimationIn: Statistics & probability letters Jg. 77 (2007) Nr. 10, S. 942 - 951
Online Volltext: dx.doi.org/ -
Integrals of random fuzzy setsIn: Test Jg. 15 (2006) Nr. 2, S. 433 - 469
ISSN: 1863-8260Online Volltext: dx.doi.org/ -
Least-squares estimation in linear regression models with vague conceptsIn: Fuzzy sets and systems Jg. 157 (2006) Nr. 19, S. 2579 - 2592
ISSN: 0165-0114Online Volltext: dx.doi.org/ -
Limit distributions of least squares estimators in linear regression models with vague conceptsIn: Journal of multivariate analysis : JMVA Jg. 97 (2006) Nr. 5, S. 1044 - 1069
Online Volltext: dx.doi.org/ -
Strong consistency of least-squares estimation in linear regression models with vague conceptsIn: Journal of multivariate analysis : JMVA Jg. 97 (2006) Nr. 3, S. 633 - 654
Online Volltext: dx.doi.org/ -
A generalized framework of sampling inspections by attributesIn: Statistics : a journal of theoretical and applied statistics Jg. 39 (2005) Nr. 5, S. 445 - 455
ISSN: 1029-4910Online Volltext: dx.doi.org/ -
Robust representation of convex risk measures by probability measuresIn: Finance and stochastics Jg. 9 (2005) Nr. 4, S. 597 - 608
ISSN: 1432-1122Online Volltext: dx.doi.org/ -
Probability theory in fuzzy sample spacesIn: Metrika Jg. 60 (2004) Nr. 2, S. 167 - 189
ISSN: 1435-926XOnline Volltext: dx.doi.org/ -
Coherent lower previsions and Choquet integralsIn: Fuzzy sets and systems Jg. 138 (2003) Nr. 3, S. 469 - 484
ISSN: 0165-0114Online Volltext: dx.doi.org/ -
When fuzzy measures are upper envelopes of probability measuresIn: Fuzzy Sets and Systems Jg. 138 (2003) Nr. 3, S. 455 - 468
ISSN: 0165-0114Online Volltext: dx.doi.org/ -
Limit theorems for fuzzy-random variablesIn: Fuzzy sets and systems Jg. 126 (2002) Nr. 2, S. 253 - 263
ISSN: 0165-0114Online Volltext: dx.doi.org/ -
Some complete metrics on spaces of fuzzy subsetsIn: Fuzzy sets and systems Jg. 130 (2002) Nr. 3, S. 357 - 365
ISSN: 0165-0114Online Volltext: dx.doi.org/ -
A unified approach to fuzzy random variablesIn: Fuzzy sets and systems Jg. 123 (2001) Nr. 1, S. 1 - 9
ISSN: 0165-0114Online Volltext: dx.doi.org/ -
Parametric Estimation of Risk Neutral Density FunctionsIn: Handbook of Computational Finance Duan, Jin-Chuan; Härdle, Wolfgang KarlGentle, James E. (Hrsg.) 2012, S. 253 - 275
ISBN: 978-3-642-17254-0; 978-3-642-17253-3Online Volltext: dx.doi.org/ -
On sigma-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market modelIn: 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
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Few remarks concerning a concept to define normally distributed random fuzzy setsIn: Soft Methodology and Random Information Systems Lopez-Diaz, Miguel; Gil, Maria A. (Hrsg.) 2004, S. 212 - 218
ISBN: 978-3-540-22264-4; 978-3-540-44465-7Online Volltext: dx.doi.org/ -
Least Squares Estimation in Linear Regression Models with Vague ConceptsIn: Soft Methodology and Random Information Systems Lopez-Diaz, MiguelGil, Maria A. (Hrsg.) 2004, S. 407 - 414
ISBN: 978-3-540-44465-7; 978-3-540-22264-4Online Volltext: dx.doi.org/