All Stories

  1. Identification of hidden Markov chains governing dependent credit-rating migrations

    Article • Communication in Statistics- Theory and Methods, June 2017, Taylor & Francis

    Georg Pflug

  2. Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices

    Article • January 2017, Springer Science + Business Media

    Georg Pflug

  3. Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals

    Article • Mathematics of Operations Research, May 2016, INFORMS

    Georg Pflug

  4. Time-inconsistent multistage stochastic programs: Martingale bounds

    Article • European Journal of Operational Research, February 2016, Elsevier

    Georg Pflug

  5. Measuring Systemic Risk: Structural Approaches

    Article • May 2015, Wiley

    Georg Pflug

  6. Dynamic generation of scenario trees

    Article • Computational Optimization and Applications, May 2015, Springer Science + Business Media

    Georg Pflug

  7. Score Function Method

    Article • November 2014, Wiley

    Georg Pflug

  8. Stochastic vs deterministic programming in water management: the value of flexibility

    Article • Annals of Operations Research, October 2014, Springer Science + Business Media

    Georg Pflug

  9. Lotteries

    Article • September 2014, Wiley

    Georg Pflug

  10. Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches

    Article • European Journal of Operational Research, September 2014, Elsevier

    Georg Pflug

  11. On distributionally robust multiperiod stochastic optimization

    Article • Computational Management Science, July 2014, Springer Science + Business Media

    Georg Pflug

  12. Funding public adaptation to climate-related disasters. Estimates for a global fund

    Article • Global Environmental Change, March 2014, Elsevier

    Georg Pflug

  13. The Nested Distance

    Article • January 2014, Springer Science + Business Media

    Georg Pflug

  14. Time Consistency

    Article • January 2014, Springer Science + Business Media

    Georg Pflug

  15. Shape-restricted nonparametric regression with overall noisy measurements

    Article • Journal of Nonparametric Statistics, June 2013, Taylor & Francis

    Georg Pflug

  16. Flood Risk in a Changing Climate: A Multilevel Approach for Risk Management

    Article • October 2012, Springer Science + Business Media

    Georg Pflug

  17. The 1/N investment strategy is optimal under high model ambiguity

    Article • Journal of Banking & Finance, February 2012, Elsevier

    Georg Pflug

  18. Approximations for Probability Distributions and Stochastic Optimization Problems

    Article • January 2011, Springer Science + Business Media

    Georg Pflug

  19. A difference of convex formulation of value-at-risk constrained optimization

    Article • Optimization, April 2010, Taylor & Francis

    Georg Pflug

  20. Asymptotic distribution of law-invariant risk functionals

    Article • Finance and Stochastics, January 2010, Springer Science + Business Media

    Georg Pflug

  21. Electricity swing options: Behavioral models and pricing

    Article • European Journal of Operational Research, September 2009, Elsevier

    Georg Pflug

  22. A note on pivotal Value-at-Risk estimates

    Article • Statistics & Decisions, January 2009, De Gruyter

    Georg Pflug

  23. Design and management of unit-linked life insurance contracts with guarantees

    Article • January 2008, Elsevier

    Georg Pflug

  24. Ambiguity in portfolio selection

    Article • Quantitative Finance, August 2007, Taylor & Francis

    Georg Pflug

  25. Modeling, Measuring and Managing Risk

    Article • August 2007, World Scientific Pub Co Pte Lt

    Georg Pflug

  26. Modeling, Measuring and Managing Risk

    Article • January 2007, World Scientific Pub Co Pte Lt

    Georg Pflug

  27. Financial scenario generation for stochastic multi-stage decision processes as facility location problems

    Article • Annals of Operations Research, November 2006, Springer Science + Business Media

    Georg Pflug

  28. Score Function Method

    Article • August 2006, Wiley

    Georg Pflug

  29. Subdifferential representations of risk measures

    Article • Mathematical Programming, June 2006, Springer Science + Business Media

    Georg Pflug

  30. On distortion functionals

    Article • Statistics & Decisions, January 2006, De Gruyter

    Georg Pflug

  31. Measuring Risk for Income Streams

    Article • Computational Optimization and Applications, October 2005, Springer Science + Business Media

    Georg Pflug

  32. Value-at-risk in portfolio optimization: properties and computational approach

    Article • The Journal of Risk, February 2005, Incisive Media

    Georg Pflug

  33. The Value of Perfect Information as a Risk Measure

    Article • January 2004, Springer Science + Business Media

    Georg Pflug

  34. INVENTORY PROCESSES: QUASI-REGENERATIVE PROPERTY, PERFORMANCE EVALUATION, AND SENSITIVITY ESTIMATION VIA SIMULATION

    Article • Stochastic Models, September 2002, Taylor & Francis

    Georg Pflug

  35. Birge and Qi Method for Three-Stage Stochastic Programs Using IPM

    Article • January 2002, Springer Science + Business Media

    Georg Pflug

  36. Asymptotic ruin probabilities for risk processes with dependent increments

    Article • Insurance Mathematics and Economics, June 2001, Elsevier

    Georg Pflug

  37. Z-Theorems: Limits of Stochastic Equations

    Article • Bernoulli, October 2000, JSTOR

    Prof Vladimir Anisimov, Georg Pflug

  38. Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk

    Article • January 2000, Springer Science + Business Media

    Georg Pflug

  39. Limit theorems for stationary distributions of birth-and-death processes

    Article • Communications in Statistics Stochastic Models, January 1999, Taylor & Francis

    Georg Pflug

  40. How to Measure Risk?

    Article • January 1999, Springer Science + Business Media

    Georg Pflug

  41. The likelihood ratio test for simple tree order: A useful asymptotic expansion

    Article • Journal of Statistical Planning and Inference, July 1998, Elsevier

    Georg Pflug

  42. A branch and bound method for stochastic global optimization

    Article • Mathematical Programming, January 1998, Springer Science + Business Media

    Georg Pflug

  43. Configurations of series-parallel networks with maximum reliability

    Article • Microelectronics Reliability, February 1996, Elsevier

    Georg Pflug

  44. Simulation and sensitivity estimation

    Article • January 1996, Springer Science + Business Media

    Georg Pflug

  45. Selection of the best by minimum distance testing

    Article • Metrika, December 1995, Springer Science + Business Media

    Georg Pflug

  46. Asymptotic Stochastic Programs

    Article • Mathematics of Operations Research, November 1995, INFORMS

    Georg Pflug

  47. On an Argmax-Distribution Connected to the Poisson Process

    Article • January 1994, Springer Science + Business Media

    Georg Pflug

  48. Optimization of Discrete-Event Systems

    Article • January 1993, Springer Science + Business Media

    Georg Pflug

  49. Stochastic Approximation and Optimization of Random Systems

    Article • January 1992, Springer Science + Business Media

    Georg Pflug

  50. A note on the comparison of stationary laws of Markov processes

    Article • Statistics & Probability Letters, April 1991, Elsevier

    Georg Pflug

  51. Weakly Adaptive Estimators in Explosive Autoregression

    Article • The Annals of Statistics, June 1990, Institute of Mathematical Statistics

    Georg Pflug

  52. A characterization of translation-invariant experiments admitting adaptive estimates

    Article • Journal of Multivariate Analysis, February 1988, Elsevier

    Georg Pflug

  53. Linear probing with a nonuniform address distribution

    Article • Journal of the ACM, April 1987, ACM (Association for Computing Machinery)

    Georg Pflug

  54. Stochastische Modelle in der Informatik

    Article • January 1986, Springer Science + Business Media

    Georg Pflug

  55. Memory conflicts in MIMD-computers — a performance analysis

    Article • January 1986, Springer Science + Business Media

    Georg Pflug

  56. Optimizing simulated systems

    Article • ACM SIGSIM Simulation Digest, October 1984, ACM (Association for Computing Machinery)

    Georg Pflug

  57. On Kersting’s Theorem on Weak Convergence of Recursions

    Article • January 1983, Springer Science + Business Media

    Georg Pflug

  58. Decision-Theoretic Paradoxes

    Article • January 1983, Elsevier

    Georg Pflug

  59. A statistically important Gaussian Process

    Article • Stochastic Processes and their Applications, July 1982, Elsevier

    Georg Pflug

  60. Probability and Statistical Inference

    Article • January 1982, Springer Science + Business Media

    Georg Pflug

  61. Speculation and Stability on Markets for Exhaustible Resources

    Article • January 1982, Springer Science + Business Media

    Georg Pflug

  62. The Limiting Log-Likelihood Process for Discontinuous Multiparameter Density Families

    Article • January 1982, Springer Science + Business Media

    Georg Pflug

  63. On the Convergence of a Penalty-Type Stochastic Optimization Procedure

    Article • Journal of Information and Optimization Sciences, January 1981, Taylor & Francis

    Georg Pflug

  64. Discrete Stochastic Optimization

    Article • Springer Science + Business Media

    Georg Pflug

  65. Discrete Stochastic Optimization

    Article • Springer Science + Business Media

    Georg Pflug

  66. Stochastic Shape Theory

    Article • Springer Science + Business Media

    Georg Pflug

  67. Derivatives of Markov Processes and their Simulation

    Article • Springer Science + Business Media

    Georg Pflug

  68. Derivatives of Probability Measures

    Article • Springer Science + Business Media

    Georg Pflug

  69. Optimizing simulated Markov processes

    Article • Springer Science + Business Media

    Georg Pflug

  70. Properties And Computation Of Value At Risk Efficient Portfolios Based On Historical Data

    Article • SSRN Electronic Journal, Elsevier

    Georg Pflug

  71. Derivatives of probability measures-concepts and applications to the optimization of stochastic systems

    Article • Springer Science + Business Media

    Georg Pflug

  72. Derivatives of Markov Processes and Their Simulation

    Article • Springer Science + Business Media

    Georg Pflug

  73. Derivatives of Probability Measures

    Article • Springer Science + Business Media

    Georg Pflug