Edit Profile Jorgensen, Bjorn N. Compute Distance To: Compute Author ID: jorgensen.bjorn-n Published as: Jorgensen, Bjorn N.; Jorgensen, Bjørn N.; Jørgensen, B.; Jørgensen, Bjørn N. Documents Indexed: 6 Publications since 2000 all top 5 Co-Authors 0 single-authored 4 Danielsson, Jon 4 de Vries, Casper G. 2 Sarma, Mandira 1 Cumperayot, Phornchanok J. 1 Gron, Anne 1 Polson, Nicholas G. 1 Samorodnitsky, Gennady Pinkhosovich 1 Yang, Xiaoguang Serials 1 Journal of Econometrics 1 Economics Letters 1 Applied Stochastic Models in Business and Industry 1 Annals of Finance Fields 5 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Statistics (62-XX) 1 Probability theory and stochastic processes (60-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH 6 Publications have been cited 35 times in 35 Documents Cited by ▼ Year ▼ Fat tails, VaR and subadditivity. Zbl 1443.62343Daníelsson, Jón; Jorgensen, Bjørn N.; Samorodnitsky, Gennady; Sarma, Mandira; de Vries, Casper G. 12 2013 Domains of attraction to Tweedie distributions. Zbl 1185.60021Jørgensen, B.; Martínez, J. R.; Vinogradov, V. 10 2009 Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Zbl 1233.91239Daníelsson, Jón; Jorgensen, Bjørn N.; de Vries, Casper G.; Yang, Xiaoguang 6 2008 Optimal portfolio choice and stochastic volatility. Zbl 1286.91126Gron, Anne; Jørgensen, Bjørn N.; Polson, Nicholas G. 3 2012 Comparing downside risk measures for heavy tailed distributions. Zbl 1254.91266Daníelsson, Jón; Jorgensen, Bjørn N.; Sarma, Mandira; De Vries, Casper G. 3 2006 On the (ir)relevancy of value-at-risk regulation. Zbl 0978.91048Cumperayot, Phornchanok J.; Danielsson, Jon; Jorgensen, Bjorn N.; de Vries, Caspar G. 1 2000 Fat tails, VaR and subadditivity. Zbl 1443.62343Daníelsson, Jón; Jorgensen, Bjørn N.; Samorodnitsky, Gennady; Sarma, Mandira; de Vries, Casper G. 12 2013 Optimal portfolio choice and stochastic volatility. Zbl 1286.91126Gron, Anne; Jørgensen, Bjørn N.; Polson, Nicholas G. 3 2012 Domains of attraction to Tweedie distributions. Zbl 1185.60021Jørgensen, B.; Martínez, J. R.; Vinogradov, V. 10 2009 Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Zbl 1233.91239Daníelsson, Jón; Jorgensen, Bjørn N.; de Vries, Casper G.; Yang, Xiaoguang 6 2008 Comparing downside risk measures for heavy tailed distributions. Zbl 1254.91266Daníelsson, Jón; Jorgensen, Bjørn N.; Sarma, Mandira; De Vries, Casper G. 3 2006 On the (ir)relevancy of value-at-risk regulation. Zbl 0978.91048Cumperayot, Phornchanok J.; Danielsson, Jon; Jorgensen, Bjorn N.; de Vries, Caspar G. 1 2000 all cited Publications top 5 cited Publications all top 5 Cited by 67 Authors 4 Vinogradov, Vladimir V. 3 Grabchak, Michael 2 Cohen, Joel E. 2 Jørgensen, Bent Søren 2 Molchanov, Stanislav Alekseevich 2 Paris, Richard Bruce 1 Alexander, Carol 1 Amarante, Massimiliano 1 Birgin, Ernesto G. 1 Boonen, Tim J. 1 Brown, Mark 1 Bueno, Luís Felipe 1 Caginalp, Carey 1 Caginalp, Gunduz 1 Cascos, Ignacio 1 Chu, Ba 1 Danielsson, Jon 1 de la Peña, Victor H. 1 de Vries, Casper G. 1 Di Bernardino, Elena 1 Fabozzi, Frank J. 1 Fernández-Ponce, José María 1 Ferrari, Silvia Lopes de Paula 1 Goegebeur, Yuri 1 Gregory-Allen, Russell 1 Hitaj, Asmerilda 1 Hochberg, Kenneth J. 1 Jorgensen, Bjorn N. 1 Käck, Andreas 1 Kang, Qiang 1 Kokonendji, Célestin Clotaire 1 Kou, Steven 1 Krejić, Nataša 1 Laniado, Henry 1 Lillo, Rosa Elvira 1 Lu, Helen 1 Lwin, Khin T. 1 MacCarthy, Bart L. 1 Malick, Jérôme 1 Martínez, José Mario 1 Martínez, José Raúl 1 Mendes, Miguel Ângelo de Sousa 1 Mercuri, Lorenzo 1 Nwogugu, Michael C. I. 1 Palacios-Rodríguez, F. 1 Peng, Xianhua 1 Pinar, Mustafa Çelebi 1 Pinheiro, Eliane C. 1 Qu, Rong 1 Rachev, Svetlozar T. 1 Rodríguez-Griñolo, M. R. 1 Rroji, Edit 1 Samorodnitsky, Gennady Pinkhosovich 1 Sarma, Mandira 1 Shushi, Tomer 1 Stork, Philip 1 Stoyanov, Stoyan V. 1 Sumawong, Anannit 1 Szegö, Giorgio 1 Taksar, Michael I. 1 Teunter, Ruud H. 1 Torres, Raúl 1 Van Ackooij, Wim 1 Wu, Meng 1 Yanushkevichiene, Olga 1 Zeng, Xudong 1 Zhu, Stuart X. all top 5 Cited in 26 Serials 4 European Journal of Operational Research 3 Annals of Finance 2 Lithuanian Mathematical Journal 2 Insurance Mathematics & Economics 2 Economics Letters 1 Theory of Probability and its Applications 1 Journal of Applied Probability 1 Journal of Econometrics 1 Operations Research 1 Theoretical Population Biology 1 Statistics & Probability Letters 1 Optimization 1 Annals of Operations Research 1 Journal of Global Optimization 1 Communications in Statistics. Theory and Methods 1 Journal of Statistical Computation and Simulation 1 Mathematical Programming. Series A. Series B 1 Doklady Mathematics 1 Extremes 1 Brazilian Journal of Probability and Statistics 1 Quantitative Finance 1 Decisions in Economics and Finance 1 Computational Management Science 1 Discrete Mathematics, Algorithms and Applications 1 European Actuarial Journal 1 Journal of Statistical Distributions and Applications all top 5 Cited in 8 Fields 21 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 15 Statistics (62-XX) 14 Probability theory and stochastic processes (60-XX) 6 Operations research, mathematical programming (90-XX) 2 Special functions (33-XX) 2 Approximations and expansions (41-XX) 2 Numerical analysis (65-XX) 1 Biology and other natural sciences (92-XX) Citations by Year