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Matthias A. Scherer · Study
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Author
Matthias A. Scherer
13 works
· latest 2021
· 1 institutions
cluster: provisional
ORCID 0000-0002-0866-7374
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Citations
693
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Most cited in this library
Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications
2012 · 113 citations
CDO pricing with nested Archimedean copulas
2010 · 110 citations
Simulating Copulas
2011 · 95 citations
Lévy-frailty copulas
2009 · 71 citations
Constructing hierarchical Archimedean copulas with Lévy subordinators
2009 · 67 citations
Works
13 shown
A comprehensive model for cyber risk based on marked point processes and its application to insurance
European Actuarial Journal
·
2021
·
2 authors
·
Open access
47
citations
Editorial to the special issue on Behavioral Insurance: Mathematics and Economics
Insurance Mathematics and Economics
·
2021
·
5 authors
·
editorial
·
Open access
3
citations
The Vine Philosopher
Dependence Modeling
·
2017
·
4 authors
·
Open access
1
citations
Simulating Copulas
Series in quantitative finance
·
2016
·
2 authors
·
book
43
citations
Innovations in Quantitative Risk Management
Springer proceedings in mathematics & statistics
·
2015
·
3 authors
·
book
·
Open access
38
citations
Financial Engineering with Copulas Explained
Palgrave Macmillan UK eBooks
·
2014
·
2 authors
·
book
47
citations
Capturing parameter risk with convex risk measures
European Actuarial Journal
·
2013
·
2 authors
29
citations
Simulating Copulas: Stochastic Models, Sampling Algorithms and Applications
Thammasat University Digital Collections
·
2012
·
2 authors
113
citations
-extendible copulas
Journal of Multivariate Analysis
·
2012
·
2 authors
·
Open access
29
citations
Simulating Copulas
Series in quantitative finance
·
2011
·
2 authors
·
book
95
citations
CDO pricing with nested Archimedean copulas
Quantitative Finance
·
2010
·
2 authors
110
citations
Constructing hierarchical Archimedean copulas with Lévy subordinators
Journal of Multivariate Analysis
·
2009
·
4 authors
·
Open access
67
citations
Lévy-frailty copulas
Journal of Multivariate Analysis
·
2009
·
2 authors
·
Open access
71
citations