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Publications until 2005 [ download PDF ]

 

Publications from 2006 until now
(in descending order)

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Boreiko, D., Kaniovski, S., Kaniovski, Y., & Pflug, G. (2017). Traces of business cycles in credit-rating migrations. PLoS ONE, 12(4), [e0175911]. DOI: 10.1371/journal.pone.0175911
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Pflug, G., Timonina, A., & Hochrainer, S. (2017). Incorporating model uncertainty into optimal insurance contract design. Insurance: Mathematics and Economics.
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Pflug, G., Gaupp, F., Hochrainer, S., Hall, J., & Dadson, S. (2017). Dependancy of Crop Production between Global Breadbaskets. Risk Analysis: an international journal.
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Pflug, G., & Pichler, A. (2016). Time Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals. Mathematics of Operations Research, 41(2), 682-699. DOI: 10.1287/moor.2015.0747
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Boreiko, D., Kaniovski, Y., & Pflug, G. (2016). Numerical Modeling of Dependent Credit Rating Transitions with Asynchronously Moving Industries. Computational Economics, 47(159).
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Heidergott, B., Haralambie, L., Löpker, A., & Pflug, G. (2016). Perturbation Analysis of finite Markov Chains. Advances of Applied Probability, 48(1), 255-273. DOI: 10.1017/apr.2015.16
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Pflug, G., & Pichler, A. (2016). Time-inconsistent multistage stochastic programs: martingale bounds. European Journal of Operational Research, 249(1), 155-163.
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Pflug, G., & Thoma, P. (2016). Efficient calculation of the Greeks for exponential Levy processes: An application of Measure Valued Differentiation. Quantitative Finance, 16(2), 247-257. DOI: 10.1080/14697688.2015.1114364
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Pflug, G., Boreiko, D., & Kaniovskyi, Y. (2016). Modeling Dependent Credit Rating Transitions: A Comparison of Coupling Schemes and Empirical Evidence. Central European Journal of Operations Research, 24(4), 989-1007. DOI: 10.1007/s10100-015-0415-6
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Pflug, G., & Gross, P. (2016). Behaviorial Pricing of Energy Swing Options by Stochastic Bilvel Optimization. Energy Systems.
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Maggioni, F., & Pflug, G. (2016). Bounds and approximations for multistage stochastic programs. SIAM Journal on Optimization, 26(1), 831–855. DOI: 10.1137/140971889
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Pflug, G., & Pichler, A. (2016). From empirical observations to models for Stochastic Optimization: Convergence properties. SIAM Journal on Optimization, 26(3), 1715-1740. DOI: 10.1137/15M1043376
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Hochrainer, S., Mochizuki, J., & Pflug, G. (2016). Impacts of Global and Climate Change Uncertainties for Disaster Risk Projections: A Case Study on Rainfall-Induced Flood Risk in Bangladesh. Journal of Extreme Events, 3(1).
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Borgomeo, E., Pflug, G., Hall, J., & Hochrainer, S. (2015). Assessing water resource system vulnerability to unprecedented hydrological drought using copulas to characterize drought duration and deficit. Water Resources Research, 51(11), 8927-8948. DOI: 10.1002/2015WR017324
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Kovacevic, R., & Pflug, G. (2015). Measuring Systemic Risk: Structural Approaches. In C. Zopounidis, & E. Galariotis (Eds.), Quantitative Financial Risk Management: Theory and Practice (pp. 3-21). John Wiley & Sons, Ltd..
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Pflug, G., & Pichler, A. (2015). Dynamic Generation of Scenario Trees. Computational Optimization and Applications: an international journal, 62(3), 641-668.
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Timonina, A., Pflug, G., Hochrainer-Stigler, S., Jongmann, B., & Rojas, R. (2015). Structured Coupling of Probability Loss Distributions: Assessing Joint Flood Risk in Multiple River Basins. Risk Analysis: an international journal, 35(11), 2012-2119.
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Yousaf Shad, M., & Pflug, G. (2014). Stochastic vs. Deterministic Programming in Water Management. The value of flexibility. Annals of Operations Research, 223(1), 309-328. DOI: 10.1007/s10479-013-1455-8
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Pflug, G., & Kovacevic, R. (2014). Electricity Swing Options Pricing by Stochastic BilevelOptimization: a Survey and New Approaches. European Journal of Operational Research, 389-403. DOI: 10.1016/j.ejor.2013.12.029
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Hochrainer-Stigler, S., Mechler, R., Pflug, G., & Williges, K. (2014). Funding public adaptation to climate-related disasters: Estimates for a global fund. Global Environmental Change. DOI: 10.1016/j.gloenvcha.2014.01.011
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Pflug, G., & Kovacevic, R. (2014). Are Time Consistent Valuations Information Monotone? International Journal of Theoretical and Applied Finance, 17(1), [1450003]. DOI: 10.1142/S0219024914500034
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Pflug, G., Kovacevic, R., & Pichler, A. (2014). Measuring and Managing Risk. In K. H. Baker, & G. Filbeck (Eds.), Investment Risk Management [Chapter 2] Oxford University Press.
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Pflug, G., Jongmann, B., Mechler, R., Hochrainer-Stigler, S., Feyen, L., Aerts, J.,... Ward, P. (2014). Increasing Stress on Disaster Risk Finance due to Large Floods. Nature Climate Change, 4, 264-268.
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Pflug, G., & Analui, B. (2014). On Distributionally Robust Multiperiod Stochastic Optimization. Computational Management Science, 11, 197-220. DOI: 10.1007/s10287-014-0213-y
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Pflug, G., & Pichler, A. (2014). Multistage Stochastic Optimization. (Springer Series in Operations Research and Financial Engineering). Springer.
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Pflug, G., van der Velde, M., Fritz, S., & Hochrainer, S. (2014). Remote Sensing Data for Managing Climate Risks: Index based insurance and growth related applications for smallhold farmers in Ethiopia. Climate Risk Management, 6, 27-38.
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Kovacevic, R., & Pflug, G. (2013). Pricing of Energy Contracts - from Replication Pricing to Swing Option Pricing. In R. Kovacevic, G. Pflug, & M. T. Vespucci (Eds.), Handbook of Risk Management in Energy Production and Trading (pp. 387-412). (International Series in Operations Research & Management Science). Springer.
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Kovacevic, R., Pflug, G., & Gross, P. (2013). Energy Markets. In R. Kovacevic, G. Pflug, & M. T. Vespucci (Eds.), Handbook of Risk Management in Energy Production and Trading (Vol. 199, pp. 3-24). (International Series in Operations Research & Management Science). Springer.
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Kovacevic, R., Pflug, G., & Vespucci, M. T. (2013). Handbook of Risk Management in Energy Production and Trading. (Internatinal Series in Operations research and Management Science). Springer.
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Hochrainer, S., Mechler, R., & Pflug, G. (2013). Modeling Macro Scale Disaster Risk: The CATSIM Model. In A. Amendola, T. Ermolieva, J. Linneroth-Bayer, & R. Mechler (Eds.), Integrated Catastrophe Risk Modeling: Supporting Policy Processes (pp. 119-143). Springer Netherlands. DOI: 10.1007/978-94-007-2226-2_8
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Hochrainer-Stigler, S., Pflug, G., & Lugeri, N. (2013). Flood Risk in a Changing Climate: A Multilevel Approach for Risk Management. In A. Amendola, T. Ermolieva, J. Linnerooth-Bayer, & R. Mechler (Eds.), Integrated Catastrophe Risk Modeling: Supporting Policy Processes (pp. 263-279). Springer Netherlands. DOI: 10.1007/978-94-007-2226-2_16
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Pflug, G., & Wets, R. J-B. (2013). Shape-restricted nonparametric regression with overall noisy measurements. Journal of Nonparametric Statistics, 25(2), 323-338. DOI: 10.1080/10485252.2012.754890
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Pflug, G., Hochrainer, S., & Mechler, R. (2013). Public sector fiscal vulnerability to disasters: The CATSIM model. In J. Birkmann (Ed.), Measuring Vulnerability to Natural Hazards (pp. 479-504). UN University Press.
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Pflug, G. (2012). Optimal Decision Making. Computational Management Science, 9(2).
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Pflug, G., & Pichler, A. (2012). A distance for multi-stage stochastic optimization models. SIAM Journal on Optimization, 22(1), 1-22.
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Pflug, G., Pichler, A., & Wozabal, D. (2012). The 1/N investment strategy is optimal under high model ambiguity. Journal of Banking & Finance, 36(2), 410-417. DOI: 10.1016/j.jbankfin.2011.07.018
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Pflug, G., & Hochrainer, S. (2012). Risk management against extremes in a changing environment: A risk-layer approach using copulas. Environmetrics, 23(8), 663-672.
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Kovacevic, R., & Pflug, G. (2011). Does insurance help to escape the poverty trap? – A ruin theoretic approach. Journal of Risk and Insurance, 78(4), 1003 - 1028. DOI: 10.1111/j.1539-6975.2010.01396.x
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Pflug, G., & Pichler, A. (2011). Approximations for Probability Distributions and Stochastic Optimization Problems. In M. Bertocchi, G. Consigli, & M. A. Dempster (Eds.), International Series in Operations Research & Management Science, Stochastic Optimization Methods in Finance and Energy (pp. 343-387). [Chapter 15] New York: Springer.
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Pflug, G., & Wozabal, N. (2010). Asymptotic distribution of law-invariant risk functionals. Finance and Stochastics, 14(3), 397-418. DOI: 10.1007/s00780-009-0121-0
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Pflug, G., Hochreiter, R., & Wozabal, D. (2010). A D.C. Formulation of Value-at-Risk constrained Optimization. Optimization: a journal of mathematical programming and operations research, 59(3), 377-400. DOI: 10.1080/02331931003700731
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Pflug, G., Hochrainer, S., & Mechler, R. (2010). Assessing Current and Future Risks due to Climate-related Extreme Events and Global Change The Case of Bangladesh. Risk Analysis: an international journal.
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Wozabal, N., & Pflug, G. (2010). Consistency of risk measures. Finance and Stochastics, 14, 379-418.
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Bertocchi, M., Pflug, G., & Vladimirou, H. (2009). Special issue on Stocastic Dynamic Modeling of Investments and Risks in Financial Markets Preface. Annals of Operations Research, 165(1), 1-4.
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Kovacevic, R., & Pflug, G. (2009). Time consistency and information monotonicitiy of multiperiod acceptability functionals. In W. J. Runggaldier, & W. Schachermayer (Eds.), Advanced Financial Modelling (Vol. 8, pp. 347-369). (Radon Series on Computational and Applied Mathematics). Walter de Gruyter.
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Hochrainer, S., & Pflug, G. (2009). Natural Disaster Risk Bearing Ability of Governments: Consequences of kinked utility. Journal of Natural Disaster Science, 11-21. DOI: 10.2328/jnds.31.11
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Schaller, P., & Pflug, G. (2009). A note on pivotal Value-at-Risk estimates. Statistics and Decisions: an international mathematical journal for stochastic methods and models, 27(3), 201-209.
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Pflug, G., & Römisch, W. (2009). The role of information in multi-period risk measurement. Stochastic Programming E-Print Series.
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Pflug, G., & Kaniovski, Y. (2009). Approximating credit portfolio loss distributions using empirical estimates for correlated rating transitions. Stochastic Programming E-Print Series.
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Pflug, G., & Kilianova, S. (2009). Optimal pension fund management under multi-period risk minimization. Annals of Operations Research, 166(1), 261-270. DOI: 10.1007/s10479-008-0405-3
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University of Vienna

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