Journal Publications

ZORA Publication List

Publications

• 2025

  • Bergesio, A., Koch Medina, P., & Munari, C. (2025). Optimal insurance design under limited liability The Journal of Risk and Insurance, Epub ahead of print. https://doi.org/10.1111/jori.70016

• 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?
  • 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.
  • Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo (2014). Capital Requirements with Defaultable Securities Insurance: Mathematics and Economics, 55:58-67.
  • 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.

Pagination