Georg Pflug
Emeritus Research Scholar
Systemic Risk and Resilience Research Group
Advancing Systems Analysis Program
Contact
Publications
Maggioni, F. & Pflug, G. (2019). Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs. SIAM Journal on Optimization 29 (1) 454-483. 10.1137/17M1140601.
van Ackooij, W., Escobar, D.D., Glanzer, M., & Pflug, G. (2019). Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. Computational Management Science 10.1007/s10287-019-00358-0.
Glanzer, M., Pflug, G. , & Pichler, A. (2019). Incorporating statistical model error into the calculation of acceptability prices of contingent claims. Mathematical Programming 174 (1-2) 499-524. 10.1007/s10107-018-1352-7.
Hochrainer-Stigler, S., Pflug, G. , Dieckmann, U. , Rovenskaya, E. , Thurner, S., Poledna, S., Boza, G. , Linnerooth-Bayer, J., & Brännström, Å. (2018). Integrating Systemic Risk and Risk Analysis Using Copulas. International Journal of Disaster Risk Science 9 (4) 561-567. 10.1007/s13753-018-0198-1.
Pflug, G. & Pichler, A. (2018). Systemic risk and copula models. Central European Journal of Operations Research 26 (2) 465-483. 10.1007/s10100-018-0525-z.