Co-author Network
Co-researcher Network
sample of publications
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articles
- Actuarial pricing with financial methods. Scandinavian Actuarial Journal. 2022
- Pareto efficient buy and hold investment strategies under order book linked constraints. Annals of Operations Research. 311:945-965. 2022
- Risk transference constraints in optimal reinsurance. Insurance: Mathematics and Economics. 103:27-40. 2022
- Omega ratio optimization with actuarial and financial applications. European Journal of Operational Research. 292:376-387. 2021
- Constructing dynamic life tables with a single-factor model. Decisions in Economics and Finance. 43:787-825. 2020
- Good deal indices in asset pricing: actuarial and financial implications. International Transactions in Operational Research. 26:1475-1503. 2019
- V@R representation theorems in ambiguous frameworks. Applied Stochastic Models in Business and Industry. 35:414-430. 2019
- Golden options in financial mathematics. Mathematics and Financial Economics. 13:637-659. 2019
- Differential equations connecting VaR and CVaR. Journal of Computational and Applied Mathematics. 326:247-267. 2017
- VaR as the CVaR sensitivity: Applications in risk optimization. Journal of Computational and Applied Mathematics. 309:175-185. 2017
- Good deals and benchmarks in robust portfolio selection. European Journal of Operational Research. 250:666-678. 2016
- Outperforming benchmarks with their derivatives: theory and empirical evidence. Journal of Risk. 18. 2016
- Optimal reinsurance under risk and uncertainty. Insurance: Mathematics and Economics. 60:61-74. 2015
- Special Issue on Risk Management Techniques for Catastrophic and Heavy-Tailed Risks. Risks. 4:467-468. 2014
- Measuring Risk When Expected Losses Are Unbounded. Risks. 411-424. 2014
- Hedging of defaultable claims in a structural model using a locally risk-minimizing approach. Stochastic Processes and their Applications. 124:2868-2891. 2014
- Optimal Reinsurance: A Risk Sharing Approach. Risks. 2:45-56. 2013
- Good deals in markets with friction. Quantitative Finance. 13:827-836. 2013
- Vector Risk Functions. Mediterranean Journal of Mathematics. 9:563-574. 2012
- Stable solutions for optimal reinsurance problems involving risk measures. European Journal of Operational Research. 214:796-804. 2011
- Minimax strategies and duality with applications in Financial Mathematics. Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales - Serie A: Matematicas. 105:291-303. 2011
- Good deals and compatible modification of risk and pricing rules: A regulatory treatment. Mathematics and Financial Economics. 4:253-268. 2011
- Minimizing Measures of Risk by Saddle Point Conditions. Journal of Computational and Applied Mathematics. 234:2924-2931. 2010
- CAPM and APT-Like Models with Risk Measures. Journal of Banking and Finance. 34:1166-1174. 2010
- Extending Pricing Rules with General Risk Functions. European Journal of Operational Research. 201:23-33. 2010
- On the Future Contract Quality Option: A New Look. Applied Financial Economics. 20:1217-1229. 2010
- Good Deals and Compatible Modification of Risk and Pricing Rule: A Regulatory Treatment. Cahiers du GERAD. September 2009:1-16. 2009
- Properties of Distortion Risk Measures. Methodology and Computing in Applied Probability. 11:385-399. 2009
- Compatibility between Pricing rules and Risk Measures: The CCVaR. Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales - Serie A: Matematicas. 103:251-264. 2009
- Martingales and Arbitrage: a New Look. Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales - Serie A: Matematicas. 103:265-275. 2009
- Optimal Reinsurance with General Risk Measures. Insurance: Mathematics and Economics. 44:374-384. 2009
- Portfolio Choice and Optimal Hedging with General Risk functions: A Simplex-like Algorithm. European Journal of Operational Research. 192:603-620. 2009
- Deterministic Regression Model and Visual Basic Code for Optimal Forecasting of Financial Time Series. Computers and Mathematics with Applications. 56:2757-2771. 2008
- Risk Level Upper Bounds with General Risk Functions. Anales del Instituto de Actuarios Españoles. 23-46. 2008
- Sequential Arbitrage Measurements and Interest Rate Envelopes. Journal of Optimization Theory and Applications. 138:361-374. 2008
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conference contributions
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working papers
- Golden options in financial mathematics 2018
- Relationships between the stochastic discount factor and the optimal omega ratio 2018
- Interest Rate Future Quality Options and Negative Interest Rates 2017
- Differential equations connecting VaR and CVaR 2017
- The newsvendor problem with convex risk 2016
- Must an optimal buy and hold strategy contain any derivative? 2016
- Good deal measurement in asset pricing: Actuarial and financial implications 2016
- Coherent Pricing 2016
- VaR as the CVaR sensitivity : applications in risk optimization 2016
- Sequential arbitrage measurement in bond markets : theory and empirical applications in the Euro-zone 2015
- Optimal reinsurance under risk and uncertainty 2014
- Good deals in markets with frictions 2011
- Minimax strategies and duality with applications in financial mathematics 2011
- Capital requirements, good deals and portfolio insurance with risk measures 2010
- Stability of the Optimal Reinsurance with Respect to the Risk Measure 2010
- Optimal Risk in Marketing Resource Allocation 2009
- Compatibility Between Pricing Rules and Risk Measures: The CCVaR 2009
- CAPM and APT like models with risk measures 2009
- Extending pricing rules with general risk 2008
- Optimal reinsurance with general risk functions 2008