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Mutual Excitation in Eurozone Sovereign CDS
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, toExpand
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  • Open Access
Actuarial Risk Measures for Financial Derivative Pricing
We present an axiomatic characterization of price measures that are superadditive and comonotonic additive for normally distributed random variables. The price representation derived involves aExpand
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  • Open Access
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
In an insurance context, the discounted sum of losses within a finite or infinite time period can be described as a randomly weighted sum of a sequence of independent random variables. TheseExpand
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  • Open Access
An optimization approach to the dynamic allocation of economic capital
We propose an optimization approach to allocating economic capital, distinguishing between an allocation or raising principle and a measure for the risk residual. The approach is applied both at theExpand
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  • Open Access
Asset Returns with Self-Exciting Jumps: Option Pricing and Estimation with a Continuum of Moments
We propose an option pricing model with a self-exciting jump component inducing jump clustering, a phenomenon that is empirically relevant when nancial markets are in turmoil. We develop a procedureExpand
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  • Open Access
Risk Measurement with Equivalent Utility Principles
Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measuresExpand
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Modeling financial contagion
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Robust Portfolio Choice and Indifference Valuation
tl;dr
We solve, theoretically and numerically, the problems of optimal portfolio choice and indifference valuation in a general continuous-time setting with a general and possibly infinite activity jump setting. Expand
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  • Open Access
A comonotonic image of independence for additive risk measures
This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guaranteesExpand
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  • Open Access
Entropy Coherent and Entropy Convex Measures of Risk
tl;dr
We introduce two subclasses of convex measures of risk, referred to as entropy coherent and entropy convex, and derive their dual conjugate function and characterize them in terms of properties of the corresponding acceptance sets. Expand
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  • Open Access