All publications

ZORA Publication List

Publications

• Journal Article

  • 2024

    • Koch-Medina, Pablo; Munari, Cosimo (2024). Qualitative robustness of utility-based risk measures. Annals of Operations Research, 336(1-2):967-980.

  • 2021

    • Koch-Medina, Pablo; Moreno-Bromberg, Santiago; Ravanelli, Claudia; Sikic, Mario (2021). Revisiting optimal investment strategies of value-maximizing insurance firms. Insurance: Mathematics and Economics, 99:131-151.
    • 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.
    • Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor (2021). Law-Invariant Functionals on General Spaces of Random Variables. SIAM Journal on Financial Mathematics, 12(1):318-341.
    • 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

    • Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo (2020). Existence, uniqueness, and stability of optimal payoffs of eligible assets. Mathematical Finance, 30:128-166.

  • 2019

    • Koch-Medina, Pablo; Albrecher, Hansjörg; Bommier, Antoine; Filipović, Damir; Loisel, Stéphane; Schmeiser, Hato (2019). Insurance: models, digitalization, and data science. European Actuarial Journal, 9(2):349-360.

  • 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.
    • Albrecher, Hansjörg; Bauer, Daniel; Embrechts, Paul; Filipović, Damir; Koch-Medina, Pablo; Korn, Ralf; Loisel, Stéphane; Pelsser, Antoon; Schiller, Frank; Schmeiser, Hato; Wagner, Joël (2018). Asset-liability management for long-term insurance business. European Actuarial Journal, 8(1):9-25.
    • Koch-Medina, Pablo; Wenzelburger, Jan (2018). Equilibria in the CAPM with non-tradeable endowments. Journal of Mathematical Economics, 75:93-107.
    • 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

    • Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël (2016). Old-age provision: past, present, future. European Actuarial Journal, 6(2):287-306.
    • 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

    • 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.

  • 2014

    • Koch-Medina, Pablo; Munari, Cosimo (2014). Law-invariant risk measures: extension properties and qualitative robustness. Statistics & Risk Modeling, 31(3):1-22.
    • Barone-Adesi, Giovanni; Farkas, Walter; Koch-Medina, Pablo (2014). Capital levels and risk-taking propensity in financial institutions. Accounting and Finance Research, 3(1):85-89.
    • Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo (2014). Capital Requirements with Defaultable Securities. Insurance: Mathematics and Economics, 55:58-67.

  • 2013

    • Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo (2013). Beyond cash-additive risk measures: When changing the numeraire fails. Finance and Stochastics, 18(1):145-173.

  • 2009

    • Artzner, Philippe; Delbaen, Freddy; Koch-Medina, Pablo (2009). Risk measures and efficient use of capital. ASTIN Bulletin, 39(1):101-116.

  • 2001

    • Hancock, John; Huber, Paul; Koch Medina, Pablo (2001). Value creation in the insurance industry. Risk management and insurance review, 4(2):1-9.

  • 1996

    • Koch-Medina, Pablo; Merino, Sandro; Hieber, Matthias (1996). Diffusive logistic growth on RN. Nonlinear Analysis: Theory, Methods & Applications, 27(8):879-894.
    • Koch-Medina, Pablo; Fraile, José M; López-Gómez, Julián; Merino, Sandro (1996). Elliptic Eigenvalue Problems and Unbounded Continua of Positive Solutions of a Semilinear Elliptic Equation. Journal of Differential Equations, 127(1):295-319.
    • Koch-Medina, Pablo; Hieber, Matthias; Merino, Sandro (1996). Linear and Semilinear Parabolic Equations on BUC(ℝN). Mathematische Nachrichten, 179(1):107-118.

  • 1995

    • Koch-Medina, Pablo; Schätti, Guido (1995). Long-time behaviour for reaction-diffusion equations on RN. Nonlinear Analysis: Theory, Methods & Applications, 25(8):831-870.

  • 1994

    • Koch-Medina, Pablo; Daners, Daniel (1994). Exponential stability, change of stability and eigenvalue problems for linear time-periodic parabolic equations on RN. Differential and Integral Equations, 7(5):1265-1284.
    • Koch-Medina, Pablo; Daners, Daniel (1994). Superconvexity of the evolution operator and parabolic eigenvalue problems on RN Differential and Integral Equations. Differential and Integral Equations, 7(1):235-255.

• Book Section

  • 1996

    • Koch-Medina, Pablo; Hunziker, Jean-Pierre (1996). Interest rates and life insurance. In: Nelken, Israel. Option Embedded Bonds. Chicago: Irwin Professional Publishers, n/a.

  • 1995

    • Koch-Medina, Pablo; Hunziker, Jean-Pierre (1995). Two color rainbow options. In: Nelken, Israel. A guide to exotic options. Chicago: Irwin Professional Publishing, n/a.

• Dissertation

  • 2023

    • Bergesio, Andrea. Frictional costs in insurance. 2023, University of Zurich, Faculty of Economics.

• Monograph

  • 2020

    • Koch-Medina, Pablo; Munari, Cosimo (2020). Market-Consistent Prices An Introduction to Arbitrage Theory. Cham: Springer.

  • 2003

    • Koch-Medina, Pablo; Merino, Sandro (2003). Mathematical Finance and Probability. Basel: Birkhäuser Verlag.

  • 1992

    • Koch-Medina, Pablo; Daners, Daniel (1992). Abstract Evolution Equations, Periodic Problems and Applications. London: Chapman and Hall/CRC.

• Working Paper

  • 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.

  • 2020

    • Bergesio, Andrea; Huber, Paul; Koch-Medina, Pablo; Wilhelmy, Lutz (2020). The Valuation of Insurance Liabilities: A Framework Based on First Principle. Swiss Finance Institute Research Paper 20-03, University of Zurich.

  • 2015

    • Koch-Medina, Pablo; Munari, Cosimo; Sikic, Mario (2015). Diversification, protection of liability holders and regulatory arbitrage. ArXiv.org 1502.03252, Cornell University.

  • 2014

    • Moreno, Santiago; Koch-Medina, Pablo; Munari, Cosimo (2014). Capital Adequacy Tests and Limited Liability of Financial Institutions. Swiss Finance Institute Research Paper 14-03, University of Zurich.