ZORA Publication List

Publications

• 2022

  • Koch-Medina, Pablo; Munari, Cosimo (2022). Qualitative robustness of utility-based risk measures. Annals of Operations Research:Epub ahead of print.
  • Liebrich, Felix-Benedikt; Munari, Cosimo (2022). Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity. Mathematics and Financial Economics, 16(3):447-480.
  • Burzoni, Matteo; Munari, Cosimo; Wang, Ruodu (2022). Adjusted Expected Shortfall. Journal of Banking and Finance, 134:106297.

• 2021

  • Bergesio, Andrea; Koch-Medina, Pablo; Munari, Cosimo (2021). Limited Liability and the Demand for Coinsurance by Individuals and Corporations. SSRN 21-57, University of Zurich.
  • Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor (2021). Law-invariant functionals that collapse to the mean. Insurance: Mathematics and Economics, 98:83-91.
  • Munari, Cosimo (2021). Multi-utility representations of incomplete preferences induced by set-valued risk measures. Finance and Stochastics, 25(1):77-99.
  • Arduca, Maria; Koch-Medina, Pablo; Munari, Cosimo (2021). Dual representations for systemic risk measures based on acceptance sets. Mathematics and Financial Economics, 15(1):155-184.

• 2020

  • Gao, Niushan; Munari, Cosimo (2020). Surplus-invariant risk measures. Mathematics of operations research, 45(4):1342-1370.
  • Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo (2020). Risk measures based on benchmark loss distributions. Journal of Risk and Insurance, 87(2):437-475.
  • Baes, Michel; Munari, Cosimo (2020). A continuous selection for optimal portfolios under convex risk measures does not always exist. Mathematical Methods of Operations Research, 91(1):5-23.
  • Koch-Medina, Pablo; Munari, Cosimo (2020). Market-Consistent Prices An Introduction to Arbitrage Theory. Cham: Springer.
  • Gao, Niushan; Munari, Cosimo; Xanthos, Foivos (2020). Stability properties of Haezendonck–Goovaerts premium principles. Insurance: Mathematics and Economics, 94:94-99.
  • Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo (2020). Existence, uniqueness, and stability of optimal payoffs of eligible assets. Mathematical Finance, 30:128-166.

• 2018

  • Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor (2018). Which eligible assets are compatible with comonotonic capital requirements?. Insurance: Mathematics and Economics, 81:18-26.
  • Gao, Niushan; Leung, Denny; Munari, Cosimo; Xanthos, Foivos (2018). Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. Finance and Stochastics, 22(2):395-415.
  • Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario (2018). A simple characterization of tightness for convex solid sets of positive random variables. Positivity, 22(4):1015-1022.

• 2017

  • Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario (2017). Diversification, protection of liability holders and regulatory arbitrage. Mathematics and Financial Economics, 11(1):63-83.

• 2016

  • Koch-Medina, Pablo; Munari, Cosimo (2016). Unexpected shortfalls of expected Shortfall: Extreme default profiles and regulatory arbitrage. Journal of Banking and Finance, 62:141-151.

• 2015

  • Koch-Medina, Pablo; Munari, Cosimo; Sikic, Mario (2015). Diversification, protection of liability holders and regulatory arbitrage. ArXiv.org 1502.03252, Cornell University.
  • Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo (2015). Measuring risk with multiple eligible assets. Mathematics and Financial Economics, 9(1):3-27.
  • Koch-Medina, Pablo; Moreno-Bromberg, Santiago; Munari, Cosimo (2015). Capital adequacy tests and limited liability of financial institutions. Journal of Banking and Finance, 51:93-102.

Pagination