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Publicaties (79)
Individualized life-cycle investing
Design paper 83
Rebalancing for long term investors
DP 05/2017-013, revised version October 12th
Robust models for supervision of pension funds and insurance companies
Robust models for supervision of pension funds and insurance companies
Myopic or Dynamic Liquidity Management? A Study of Hedge Funds around the 2008 Financial Crisis
DP 08/2017-012
Robust models for supervision of pension funds and insurance companies
Robust models for supervision of pension funds and insurance companies
Efficient estimation of integrated volatility and related processes
Econometric Theory, 33 (2), 439-478, April 2017
Robust models for supervision
Robust models for supervision
Health cost risk: A potential solution to the annuity puzzle
Forthcoming in The Economic Journal
Robust models for supervision
Robust models for supervision
Robust Pricing of Fixed Income Securities
DP 08/2016-057
Robust models for supervision of pension funds and insurance companies
Robust models for supervision of pension funds and insurance companies
Parameter Uncertainty: The Missing Piece of the Liquidity Premium Puzzle?
DP 11/2016-056
Robust models for supervision of pension funds and insurance companies
Robust models for supervision of pension funds and insurance companies
Annual VaR from High Frequency Data
DP 08/2016-042
Robust models for supervision of pension funds and insurance companies
Robust models for supervision of pension funds and insurance companies
Robustness for asset-liability management of pension funds
Survey Paper 47 - October 2016
Robust Models for Supervision of Pension Funds and Insurance Companies
Robust Models for Supervision of Pension Funds and Insurance Companies
Interest rate models for pension and insurance regulation
Design Paper 56 - May 2016
Robust models for supervision
Robust models for supervision