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1

Model uncertainty and VaR aggregation

Embrechts, Paul, Puccetti, Giovanni, Rüschendorf, Ludger

Journal:

Journal of Banking & Finance

Year:

2013

Language:

english

File:

PDF, 898 KB

english, 2013

2

Value-at-Risk Bounds With Variance Constraints

Bernard, Carole, Rüschendorf, Ludger, Vanduffel, Steven

Journal:

Journal of Risk and Insurance

Year:

2015

Language:

english

File:

PDF, 291 KB

english, 2015

3

Generalized Statistical Arbitrage Concepts and Related Gain Strategies

Rein, Christian, Rüschendorf, Ludger, Schmidt, Thorsten

Journal:

SSRN Electronic Journal

Year:

2019

Language:

english

File:

PDF, 603 KB

english, 2019

4

On optimal allocation of risk vectors

Swen Kiesel, Ludger Rüschendorf

Journal:

Insurance: Mathematics and Economics

Year:

2010

Language:

english

File:

PDF, 422 KB

english, 2010

5

On the distributional transform, Sklar's theorem, and the empirical copula process

Ludger Rüschendorf

Journal:

Journal of Statistical Planning and Inference

Year:

2009

Language:

english

File:

PDF, 158 KB

english, 2009

6

Construction of multivariate distributions with given marginals

Ludger Rüschendorf

Journal:

Annals of the Institute of Statistical Mathematics

Year:

1985

Language:

english

File:

PDF, 427 KB

english, 1985

7

Minimax and minimal distance martingale measures and their relationship to portfolio optimization

Thomas Goll, Ludger Rüschendorf

Journal:

Finance and Stochastics

Year:

2001

Language:

english

File:

PDF, 183 KB

english, 2001

8

Weak association of random variables

Ludger Rüschendorf

Journal:

Journal of Multivariate Analysis

Year:

1981

Language:

english

File:

PDF, 157 KB

english, 1981

9

Random Fractals and Probability Metrics

John E. Hutchinson and Ludger Rüschendorf

Journal:

Advances in Applied Probability

Year:

2000

Language:

english

File:

PDF, 2.20 MB

english, 2000

10

Optimal payoffs under state-dependent preferences

Bernard, Carole, Moraux, Franck, Rüschendorf, Ludger, Vanduffel, Steven

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 531 KB

english, 2015

11

Asymptotic Distributions of Multivariate Rank Order Statistics

Ludger Ruschendorf

Journal:

The Annals of Statistics

Year:

1976

Language:

english

File:

PDF, 958 KB

english, 1976

12

OPTIMALITY OF PAYOFFS IN LÉVY MODELS

VON HAMMERSTEIN, ERNST AUGUST, LÜTKEBOHMERT, EVA, RÜSCHENDORF, LUDGER, WOLF, VIKTOR

Journal:

International Journal of Theoretical and Applied Finance

Year:

2014

Language:

english

File:

PDF, 819 KB

english, 2014

13

Law invariant convex risk measures for portfolio vectors

Rüschendorf, Ludger

Journal:

Statistics & Decisions

Year:

2006

Language:

english

File:

PDF, 116 KB

english, 2006

14

Ordering of multivariate risk models with respect to extreme portfolio losses

Mainik, Georg, Rüschendorf, Ludger

Journal:

Statistics & Risk Modeling

Year:

2012

Language:

english

File:

PDF, 349 KB

english, 2012

15

How robust is the value-at-risk of credit risk portfolios?

Bernard, Carole, Rüschendorf, Ludger, Vanduffel, Steven, Yao, Jing

Journal:

European Journal of Finance

Year:

2015

Language:

english

File:

PDF, 514 KB

english, 2015

16

On the Method of Optimal Portfolio Choice by Cost-Efficiency

Rüschendorf, Ludger, Wolf, Viktor

Journal:

Applied Mathematical Finance

Year:

2016

Language:

english

File:

PDF, 1.62 MB

english, 2016

17

Random fractal measures via the contraction method

Hutchinson, John, Ruschendorf, Ludger

Journal:

Indiana University Mathematics Journal

Year:

1998

Language:

english

File:

PDF, 220 KB

english, 1998

18

Ordering of Distributions and Rearrangement of Functions

Ruschendorf, Ludger

Journal:

The Annals of Probability

Year:

1981

File:

PDF, 610 KB

1981

19

An Academic Response to Basel 3.5

Embrechts, Paul, Puccetti, Giovanni, Rüschendorf, Ludger, Wang, Ruodu, Beleraj, Antonela

Journal:

Year:

2014

Language:

english

File:

PDF, 375 KB

english, 2014

20

On the computation of Wasserstein barycenters

Puccetti, Giovanni, Rüschendorf, Ludger, Vanduffel, Steven

Journal:

Journal of Multivariate Analysis

Year:

2020

File:

PDF, 12.39 MB

2020

21

On the internal path length of d-dimensional quad trees

Ralph Neininger, Ludger Rüschendorf

Journal:

Random Structures & Algorithms

Year:

1999

Language:

english

File:

PDF, 241 KB

english, 1999

22

On the n-Coupling Problem

Ludger Rüschendorf, Ludger Uckelmann

Journal:

Journal of Multivariate Analysis

Year:

2002

Language:

english

File:

PDF, 148 KB

english, 2002

23

Unbiased estimation of von Mises functionals

Ludger Rüschendorf

Journal:

Statistics & Probability Letters

Year:

1987

Language:

english

File:

PDF, 319 KB

english, 1987

24

On random translation models

Ludger Rüschendorf

Journal:

Statistics & Probability Letters

Year:

1989

Language:

english

File:

PDF, 484 KB

english, 1989

25

On c-optimal random variables

Ludger Rüschendorf

Journal:

Statistics & Probability Letters

Year:

1996

Language:

english

File:

PDF, 197 KB

english, 1996

26

Inference for random sampling processes

Ludger Rüschendorf

Journal:

Stochastic Processes and their Applications

Year:

1989

Language:

english

File:

PDF, 706 KB

english, 1989

27

On regression representations of stochastic processes

Ludger Rüschendorf, Vincent de Valk

Journal:

Stochastic Processes and their Applications

Year:

1993

Language:

english

File:

PDF, 840 KB

english, 1993

28

A remark on the spectral domain of nonstationary processes

Jiří Michálek, Ludger Rüschendorf

Journal:

Stochastic Processes and their Applications

Year:

1994

Language:

english

File:

PDF, 545 KB

english, 1994

29

On attainable distribution and classification vectors

Ludger Rüschendorf

Journal:

Journal of Statistical Planning and Inference

Year:

1987

Language:

english

File:

PDF, 328 KB

english, 1987

30

Allocation of risks and equilibrium in markets with finitely many traders

Christian Burgert, Ludger Rüschendorf

Journal:

Insurance: Mathematics and Economics

Year:

2008

Language:

english

File:

PDF, 368 KB

english, 2008

31

On comonotonicity of Pareto optimal risk sharing

Michael Ludkovski, Ludger Rüschendorf

Journal:

Statistics & Probability Letters

Year:

2008

Language:

english

File:

PDF, 356 KB

english, 2008

32

An approximation result for nets in functional estimation

Sebastian Döhler, Ludger Rüschendorf

Journal:

Statistics & Probability Letters

Year:

2001

Language:

english

File:

PDF, 110 KB

english, 2001

33

Rates of convergence for Quicksort

Ralph Neininger, Ludger Rüschendorf

Journal:

Journal of Algorithms

Year:

2002

Language:

english

File:

PDF, 97 KB

english, 2002

34

Approximation of optimal stopping problems

Robert Kühne, Ludger Rüschendorf

Journal:

Stochastic Processes and their Applications

Year:

2000

Language:

english

File:

PDF, 201 KB

english, 2000

35

Convergence of two-dimensional branching recursions

Michael Cramer, Ludger Rüschendorf

Journal:

Journal of Computational and Applied Mathematics

Year:

2001

Language:

english

File:

PDF, 175 KB

english, 2001

36

The Wasserstein distance and approximation theorems

Ludger Rüschendorf

Journal:

Probability Theory and Related Fields

Year:

1985

Language:

english

File:

PDF, 555 KB

english, 1985

37

Inequalities for the expectation ofΔ-monotone functions

Ludger Rüschendorf

Journal:

Probability Theory and Related Fields

Year:

1980

Language:

english

File:

PDF, 351 KB

english, 1980

38

Sharpness of Fréchet-bounds

Ludger Rüschendorf

Journal:

Probability Theory and Related Fields

Year:

1981

Language:

english

File:

PDF, 399 KB

english, 1981

39

Characterization of dependence concepts in normal distributions

Ludger Rüschendorf

Journal:

Annals of the Institute of Statistical Mathematics

Year:

1981

Language:

english

File:

PDF, 570 KB

english, 1981

40

Numerical and analytical results for the transportation problem of Monge-Kantorovich

Ludger Rüschendorf, Ludger Uckelmann

Journal:

Year:

2000

Language:

english

File:

PDF, 1.01 MB

english, 2000

41

Comparison of Option Prices in Semimartingale Models

Jan Bergenthum, Ludger Rüschendorf

Journal:

Finance and Stochastics

Year:

2006

Language:

english

File:

PDF, 303 KB

english, 2006

42

On optimal portfolio diversification with respect to

Georg Mainik, Ludger Rüschendorf

Journal:

Finance and Stochastics

Year:

2010

Language:

english

File:

PDF, 761 KB

english, 2010

43

Worst case portfolio vectors and diversification effects

Ludger Rüschendorf

Journal:

Finance and Stochastics

Year:

2012

Language:

english

File:

PDF, 659 KB

english, 2012

44

Convex ordering criteria for Lévy processes

Jan Bergenthum, Ludger Rüschendorf

Journal:

Advances in Data Analysis and Classification

Year:

2007

Language:

english

File:

PDF, 369 KB

english, 2007

45

On the empirical process of multivariate, dependent random variables

Ludger Rüschendorf

Journal:

Journal of Multivariate Analysis

Year:

1974

Language:

english

File:

PDF, 490 KB

english, 1974

46

Consistent risk measures for portfolio vectors

Christian Burgert, Ludger Rüschendorf

Journal:

Insurance: Mathematics and Economics

Year:

2006

Language:

english

File:

PDF, 163 KB

english, 2006

47

Bounds for joint portfolios of dependent risks

Puccetti, Giovanni, Rüschendorf, Ludger

Journal:

Statistics & Risk Modeling

Year:

2012

Language:

english

File:

PDF, 228 KB

english, 2012

48

Computation of sharp bounds on the distribution of a function of dependent risks

Giovanni Puccetti, Ludger Rüschendorf

Journal:

Journal of Computational and Applied Mathematics

Year:

2012

Language:

english

File:

PDF, 303 KB

english, 2012

49

Optimal consumption strategies under model uncertainty

Burgert, Christian, Rüschendorf, Ludger

Journal:

Statistics & Decisions

Year:

2005

Language:

english

File:

PDF, 116 KB

english, 2005

50

Two remarks on order statistics

Ludger Rüschendorf

Journal:

Journal of Statistical Planning and Inference

Year:

1985

Language:

english

File:

PDF, 178 KB

english, 1985