Profilbild

Dr. Claudia Ravanelli

Senior Research Associate

@illenavar.aidualcbf.uzh.ch
AND-2.56, Andreasstr. 15, 8050 Zürich
+41 44 634 29 81
CV vCard Details Team Koch Medina Publications

Working Papers:

"Ambiguity aversion in Ellsberg frameworks" (with G. Svindland) (submitted) 
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2294514

 

Papers:

1) "Robust capital requirements under model risk" (with P. Barieu), Economic Notes, 2015, Vol. 44, Issue 1, 1-28
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2555076

 

2) "Comonotone Pareto optimal allocations for law invariant robust utilities on L^1'' (with G. Svindland), Finance and Stochastics, 2014, Vol. 18, 249-269
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1884108

 

3) "Understanding modelling and managing longevity risk: Key issues and main challenges'' (with P. Barrieu, H. Bensusan, N. El Karoui, C. Hillairet, S. Loisel and Y. Salhi), Scandinavian Actuarial Journal, 2012, Vol. 2012-3, 203—231
http://www.tandfonline.com/doi/abs/10.1080/03461238.2010.511034

 

4) "Cash sub-additive risk measures under interest rate ambiguity'' (with N. El Karoui), Mathematical Finance, 2009, Vol. 19, 561—590  http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1491822

 

5) "An option pricing formula for the GARCH diffusion model'', Computational Statistics and Data Analysis, 2005, Vol. 49, 287--310 (with G. Barone-Adesi and H. Rasmussen) 
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=451200