Professoren
o. Prof. Mag. Dr Georg Pflug

o. Prof. Mag. Dr Georg Pflug

Books

Modeling, Measuring and Managing Risk.
(CA: W. Römisch)
301 pages, World Scientific 2007, ISBN 978-981-270-740-6


Edited books

Coping with Uncertainty. Lecture Notes in Economics and Mathematical Systems 581. Springer Verlag, ISBN 3-540-35258-9
(CE: Yu. Ermoliev, M. Makowski, K. Marti)

Dynamic Stochastic Optimization. Lecture Notes in Economics and Mathematical Systems 532. Springer Verlag, ISBN 3-540-40506-2
(CE: Yu. Ermoliev, K. Marti)

Quantitative Fund Management.
CRC Press, London, ISBN 987-1-4200-8191-6
(CE: Yu. M. Dempster, G. Mitra)


Chapters in books

Optimal management of unit linked life insurance
(CA: R. Hochreiter, V. Paulsen). In: Handbook of asset and liability management, Vol. 2, Chapter 14, 627-662, 2007, ISBN 978-0-444-52802-5
(ED: B. Ziemba and S. Zenios)


Edited Journal Volumes

Computational Management Science, Vol. 6, No. 2, (2009)
Special Inssue on Computational Optimization under Uncertainty
(CE: Ronald Hochreiter)


Articles

Version-independence and nested distributions in multistage stochastic optimization. To appear in: SIAM J. Optimization (2010)

Natural Disaster Risk Bearing Ability of Governments.
Journal of the Japan Society for Natural Disaster Science. (2009)
(CA: S. Hochrainer)

Climate change and financial adaptation in Africa. Investigating the impact of climate change on the robustness of index-based microinsurance in Malawi.
Mitig. Adapt. Strateg. Glob. Change, 14, 231--260 (2009). DOI 101007/s11027-008-9162-5
(CA: S. Hochrainer, R. Mechler)

On the Asymptotic Distribution of Coherent Risk Functionals. To appear in: Finance and Stochastics 2009
(CA: Nancy Wozabal)

Gradient estimation by measure valued differentiation. To appear in: ACM Transactions on Modeling and Computer Simulation (2009).
(CA: B. Heidergott, F. Vasquez-Abad)

Optimal pension fund management under multi-period risk minimization.
Annals of Operations Research 166 (1), 261-270 (2009).
(CA: S. Kilianova)

Electricity Swing Options: Behavioral Models and Pricing.
European Journal of OR 197 (39), 1041-1050 (2009)
(CA: N. Broussev)

Sovereign financial disaster risk management: the case of Mexico. Environmental Hazards 7(1): 40-53 (2007).
(CA: Cardenas, V., Hochrainer, S., Mechler, R., Linnerooth-Bayer, J.).

Ambiguity in Portfolio selection.
Quantitative Finance, 7 (4), 435 - 442 (2007)
(CA: D. Wozabal)

Tree approximations of stochastic dynamic programs.
SIAM Journal on Optimization 18 (3), 1082-1105 (2007)
(CA: R. Mirkov)

Risk assessment for credit portfolios: a coupled Markov Chain model.
Journal of Banking and Finance, 31, 2303-2323 (2007)
(CA: Yu. Kaniovski)

Financial scenario generation for stochastic multi-stage decision processes as facility location problems. Annals of Operations Research. 152(1): 257-272. 2007. ( DOI ).
(CA: Ronald Hochreiter)

Subdifferential representations of risk measures. Mathematical programming.
108(2-3), 339-354 (2007)

On distortion functionals. Statistics and Decisions 24, 45 - 60 (2006)

Polynomial algorithms for pricing path-dependent interest rate instruments. Computational Economics 28(3): 291-309. 2006 ( DOI ).
(CA: R. Hochreiter)

Multi-stage stochastic electricity portfolio optimization in liberalized energy markets. In: System Modeling and Optimization. Volume 199 of Springer IFIP International Federation for Information Processing Series: 219-226. 2006 (DOI).
(CA: R. Hochreiter, D. Wozabal)

A value-of-information approach to measuring risk in multiperiod economic activity. Journal of Banking and Finance 30 (2) 695 - 715 (2006)

Refocusing Disaster Aid. Science Vol. 309, 1044-1046 (2005)
(CA: Joanne Linneroth-Bayer, Reinhard Mechler)

Public sector financial vulnerability to disasters: The IIASA CATSIM model. In: Measuring Vulnerability to Natural Hazards. UN University Press, Tokyo, New York, Paris (ED: Joern Birkmann), pp. 380 -- 398
(CA: R. Mechler, J. Linneroth-Bayer, S. Hochrainer)

Measuring risk for income streams. Computational Optimzation and Applications 32 (1-2), 161 - 178 (2005)
(CA: A. Ruszczynski)

Value-at-risk in portfolio optimization: properties and computational approach,
Journal of Risk, 7 (2) Winter 2004/05, 1-31 (2005)
(CA: A. Gaivoronski)

Probability gradient estimation by set-valued calculus and applications in
network design. SIAM Journal on Optimization 15 (3), 898-914 (2005)
(CA: Heinz Weisshaupt)

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