ZORA Publication List

Publications

• 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.

• 2019

  • Ravanelli, Claudia; Svindland, Gregor (2019). Ambiguity sensitive preferences in Ellsberg frameworks Economic Theory, 67(1):53-89.

• 2015

  • Barrieu, Pauline; Ravanelli, Claudia (2015). Robust capital requirements with model risk Economic Notes, 44(1):1-28.

• 2014

  • Ravanelli, Claudia; Svindland, Gregor (2014). Comonotone Pareto optimal allocations for law invariant robust utilities on L 1 Finance and Stochastics, 18(1):249-269.

• 2012

  • Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia (2012). Understanding modelling and managing longevity risk: Key issues and main challenges Scandinavian Actuarial Journal, 2012(3):203-231.

• 2009

  • El Karoui, Nicole; Ravanelli, Claudia (2009). Cash sub-additive risk measures and interest rate ambiguity Mathematical Finance, 19(4):561-590.

• 2005

  • Barone-Adesi, Giovanni; Rasmussen, Henrik; Ravanelli, Claudia (2005). An option pricing formula for the GARCH diffusion model Computational Statistics & Data Analysis, 49(2):287-310.