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, 92, 1122–1142. https://doi.org/10.1111/jori.70016

• 2024

  • Koch-Medina, P., & Munari, C. (2024). Qualitative robustness of utility-based risk measures Annals of Operations Research, 336, 967–980. https://doi.org/10.1007/s10479-022-04885-z

• 2021

  • Koch-Medina, P., Moreno-Bromberg, S., Ravanelli, C., & Sikic, M. (2021). Revisiting optimal investment strategies of value-maximizing insurance firms Insurance: Mathematics and Economics, 99, 131–151. https://doi.org/10.1016/j.insmatheco.2021.03.013
  • Bellini, F., Koch-Medina, P., Munari, C., & Svindland, G. (2021). Law-invariant functionals that collapse to the mean Insurance: Mathematics and Economics, 98, 83–91. https://doi.org/10.1016/j.insmatheco.2021.03.002
  • Arduca, M., Koch-Medina, P., & Munari, C. (2021). Dual representations for systemic risk measures based on acceptance sets Mathematics and Financial Economics, 15, 155–184. https://doi.org/10.1007/s11579-019-00250-0
  • Bellini, F., Koch-Medina, P., Munari, C., & Svindland, G. (2021). Law-Invariant Functionals on General Spaces of Random Variables SIAM Journal on Financial Mathematics, 12, 318–341. https://doi.org/10.1137/20m1341258

• 2020

  • Baes, M., Koch-Medina, P., & Munari, C. (2020). Existence, uniqueness, and stability of optimal payoffs of eligible assets Mathematical Finance, 30, 128–166. https://doi.org/10.1111/mafi.12205

• 2019

  • Koch-Medina, P., Albrecher, H., Bommier, A., Filipović, D., Loisel, S., & Schmeiser, H. (2019). Insurance: models, digitalization, and data science European Actuarial Journal, 9, 349–360. https://doi.org/10.1007/s13385-019-00209-x

• 2018

  • Koch-Medina, P., Munari, C., & Svindland, G. (2018). Which eligible assets are compatible with comonotonic capital requirements? Insurance: Mathematics and Economics, 81, 18–26. https://doi.org/10.1016/j.insmatheco.2018.04.003
  • Albrecher, H., Bauer, D., Embrechts, P., Filipović, D., Koch-Medina, P., Korn, R., Loisel, S., Pelsser, A., Schiller, F., Schmeiser, H., & Wagner, J. (2018). Asset-liability management for long-term insurance business European Actuarial Journal, 8, 9–25. https://doi.org/10.1007/s13385-018-0167-5
  • Koch-Medina, P., & Wenzelburger, J. (2018). Equilibria in the CAPM with non-tradeable endowments Journal of Mathematical Economics, 75, 93–107. https://doi.org/10.1016/j.jmateco.2017.12.004
  • Koch-Medina, P., Munari, C., & Šikić, M. (2018). A simple characterization of tightness for convex solid sets of positive random variables Positivity, 22, 1015–1022. https://doi.org/10.1007/s11117-018-0556-7

• 2017

  • Koch-Medina, P., Munari, C., & Šikić, M. (2017). Diversification, protection of liability holders and regulatory arbitrage Mathematics and Financial Economics, 11, 63–83. https://doi.org/10.1007/s11579-016-0171-y

• 2016

  • Albrecher, H., Embrechts, P., Filipović, D., Harrison, G. W., Koch, P., Loisel, S., Vanini, P., & Wagner, J. (2016). Old-age provision: past, present, future European Actuarial Journal, 6, 287–306. https://doi.org/10.1007/s13385-016-0136-9
  • Koch-Medina, P., & Munari, C. (2016). Unexpected shortfalls of expected Shortfall: Extreme default profiles and regulatory arbitrage Journal of Banking and Finance, 62, 141–151. https://doi.org/10.1016/j.jbankfin.2015.11.006

• 2015

  • Koch-Medina, P., Moreno-Bromberg, S., & Munari, C. (2015). Capital adequacy tests and limited liability of financial institutions Journal of Banking and Finance, 51, 93–102. https://doi.org/10.1016/j.jbankfin.2014.11.002
  • Farkas, W., Koch-Medina, P., & Munari, C. (2015). Measuring risk with multiple eligible assets Mathematics and Financial Economics, 9, 3–27. https://doi.org/10.1007/s11579-014-0118-0

• 2014

  • Koch-Medina, P., & Munari, C. (2014). Law-invariant risk measures: extension properties and qualitative robustness Statistics & Risk Modeling, 31, 1–22. https://doi.org/10.1515/strm-2014-0002
  • Farkas, W., Koch-Medina, P., & Munari, C. (2014). Capital Requirements with Defaultable Securities Insurance: Mathematics and Economics, 55, 58–67. https://doi.org/10.1016/j.insmatheco.2013.11.009
  • Barone-Adesi, G., Farkas, W., & Koch-Medina, P. (2014). Capital levels and risk-taking propensity in financial institutions Accounting and Finance Research, 3, 85–89. https://doi.org/10.5430/afr.v3n1p85

Pagination