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Dr. Claudia Ravanelli - Publications

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

Journal Articles (5)

Robust capital requirements with model risk
Pauline Barrieu, Claudia Ravanelli
In: Economic Notes, Vol. 44 (No. 1), p. 1-28, 2015.


Comonotone Pareto optimal allocations for probabilistic sophisticated variational preferences
Claudia Ravanelli, Gregor Svindland
In: Finance and Stochastics, Vol. 18, p. 249-269, 2014.


Understanding modelling and managing longevity risk: Key issues and main challenges
Pauline Barrieu, Harry Bensusan, Nicole El Karoui, Caroline Hillairet, Stephane Loisel, Claudia Ravanelli, Yahia Salhi
In: Scandinavian Actuarial Journal, Vol. 2012-3, p. 203-231, 2012.


Cash sub-additive risk measures and interest rate ambiguity
Nicole El Karoui, Claudia Ravanelli
In: Mathematical Finance, Vol. 19 (No. 4), p. 561-590, 2009.


An option pricing formula for the GARCH diffusion model
Giovanni Barone-Adesi, Henrik Rasmussen, Claudia Ravanelli
In: Computational Statistics and Data Analysis, Vol. 49, p. 287-310, 2005.


Working Papers (1)