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Author ID: scherer.matthias Recent zbMATH articles by "Scherer, Matthias"
Published as: Scherer, Matthias

Publications by Year

Citations contained in zbMATH Open

53 Publications have been cited 332 times in 195 Documents Cited by Year
Lévy-frailty copulas. Zbl 1162.62048
Mai, Jan-Frederik; Scherer, Matthias
34
2009
CDO pricing with nested Archimedean copulas. Zbl 1213.91074
Hofert, Marius; Scherer, Matthias
31
2011
Reparameterizing Marshall-Olkin copulas with applications to sampling. Zbl 1206.62101
Mai, Jan-Frederik; Scherer, Matthias
21
2011
Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber. Zbl 1301.65001
Mai, Jan-Frederik; Scherer, Matthias
21
2012
Constructing hierarchical archimedean copulas with Lévy subordinators. Zbl 1194.60017
Hering, Christian; Hofert, Marius; Mai, Jan-Frederik; Scherer, Matthias
19
2010
Exchangeable exogenous shock models. Zbl 1388.62153
Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias
12
2016
\(H\)-extendible copulas. Zbl 1301.62050
Mai, Jan-Frederik; Scherer, Matthias
10
2012
A tractable multivariate default model based on a stochastic time-change. Zbl 1185.91164
Mai, Jan-Frederik; Scherer, Matthias
10
2009
A fictitious energy approach for shape optimization. Zbl 1188.74045
Scherer, M.; Denzer, R.; Steinmann, P.
10
2010
Bivariate extreme-value copulas with discrete Pickands dependence measure. Zbl 1329.62270
Mai, Jan-Frederik; Scherer, Matthias
10
2011
CIID frailty models and implied copulas. Zbl 1273.62070
Mai, Jan-Frederik; Scherer, Matthias; Zagst, Rudi
9
2013
Capturing parameter risk with convex risk measures. Zbl 1277.91072
Bannör, Karl F.; Scherer, Matthias
8
2013
Efficiently pricing barrier options in a Markov-switching framework. Zbl 1231.91473
Hieber, Peter; Scherer, Matthias
8
2010
A note on first-passage times of continuously time-changed Brownian motion. Zbl 1229.91310
Hieber, Peter; Scherer, Matthias
8
2012
Multivariate hierarchical copulas with shocks. Zbl 1201.62063
Durante, Fabrizio; Hofert, Marius; Scherer, Matthias
8
2010
Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals. Zbl 1328.62310
Mai, Jan-Frederik; Scherer, Matthias
7
2014
Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time. Zbl 1310.62072
Mai, Jan-Frederik; Scherer, Matthias
7
2014
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications. Zbl 1430.91121
Bernhart, German; Escobar Anel, Marcos; Mai, Jan-Frederik; Scherer, Matthias
7
2013
Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws. Zbl 1259.62040
Mai, Jan-Frederik; Scherer, Matthias; Shenkman, Natalia
7
2013
Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions. Zbl 1171.62036
Mai, Jan-Frederik; Scherer, Matthias
6
2009
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. Zbl 1329.91065
Hieber, Peter; Korn, Ralf; Scherer, Matthias
6
2015
Shot-noise driven multivariate default models. Zbl 1256.91059
Scherer, Matthias; Schmid, Ludwig; Schmidt, Thorsten
6
2012
Double-barrier first-passage times of jump-diffusion processes. Zbl 1410.91446
Fernández, Lexuri; Hieber, Peter; Scherer, Matthias
4
2013
A multivariate claim count model for applications in insurance. Zbl 1417.91006
Selch, Daniela Anna; Scherer, Matthias
4
2018
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Zbl 1323.60028
Bernhart, German; Mai, Jan-Frederik; Scherer, Matthias
4
2015
What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Zbl 1287.91096
Scherer, Matthias; Mai, Jan-Frederik
4
2013
The Pickands representation of survival Marshall-Olkin copulas. Zbl 1181.62071
Mai, Jan-Frederik; Scherer, Matthias
4
2010
Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber. 2nd edition. Zbl 1367.65002
Mai, Jan-Frederik; Scherer, Matthias
4
2017
Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
3
2016
Extendibility of Marshall-Olkin distributions and inverse Pascal triangles. Zbl 1298.62083
Mai, Jan-Frederik; Scherer, Matthias
3
2013
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
3
2014
Two novel characterizations of self-decomposability on the half-line. Zbl 1405.60049
Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias
3
2017
Subordinators which are infinitely divisible w.r.t. time: construction, properties, and simulation of max-stable sequences and infinitely divisible laws. Zbl 07116305
Mai, Jan-Frederik; Scherer, Matthias
3
2019
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law. Zbl 1338.60044
Brigo, Damiano; Mai, Jan-Frederik; Scherer, Matthias
3
2016
Membership testing for Bernoulli and tail-dependence matrices. Zbl 1420.62254
Krause, Daniel; Scherer, Matthias; Schwinn, Jonas; Werner, Ralf
2
2018
Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li. Zbl 1404.62114
Puccetti, Giovanni; Scherer, Matthias
2
2018
Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. Zbl 1320.01026
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
2
2015
Sampling exchangeable and hierarchical Marshall-Olkin distributions. Zbl 1347.62025
Mai, Jan-Frederik; Scherer, Matthias
2
2013
The number of nonisomorphic two-dimensional algebras over a finite field. Zbl 1195.17001
Petersson, Holger P.; Scherer, Matthias
2
2004
Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Zbl 1366.91005
2
2016
A multivariate default model with spread and event risk. Zbl 1396.91792
Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; Scherer, Matthias
1
2014
My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
Model risk and uncertainty – illustrated with examples from mathematical finance. Zbl 1291.91168
Bannör, Karl F.; Scherer, Matthias
1
2014
Stat trek. An interview with Christian Genest. Zbl 1403.62003
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2016
Extremal dependence for bilateral credit valuation adjustments. Zbl 1396.91793
Scherer, Matthias; Schulz, Thorsten
1
2016
On the calibration of distortion risk measures to bid-ask prices. Zbl 1402.91753
Bannör, Karl F.; Scherer, Matthias
1
2014
Exogenous shock models: analytical characterization and probabilistic construction. Zbl 1432.62354
Scherer, Matthias; Sloot, Henrik
1
2019
A survey of dynamic representations and generalizations of the Marshall-Olkin distribution. Zbl 1365.62187
Bernhart, German; Fernández, Lexuri; Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias
1
2015
The mean of Marshall-Olkin-dependent exponential random variables. Zbl 1365.62189
Fernández, Lexuri; Mai, Jan-Frederik; Scherer, Matthias
1
2015
A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf. Zbl 1329.62016
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
1
2015
The vine philosopher. Zbl 1383.01009
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach. Zbl 1347.60143
Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias
1
2015
On the structure of exchangeable extreme-value copulas. Zbl 1453.60042
Mai, Jan-Frederik; Scherer, Matthias
1
2020
On the structure of exchangeable extreme-value copulas. Zbl 1453.60042
Mai, Jan-Frederik; Scherer, Matthias
1
2020
Subordinators which are infinitely divisible w.r.t. time: construction, properties, and simulation of max-stable sequences and infinitely divisible laws. Zbl 07116305
Mai, Jan-Frederik; Scherer, Matthias
3
2019
Exogenous shock models: analytical characterization and probabilistic construction. Zbl 1432.62354
Scherer, Matthias; Sloot, Henrik
1
2019
A multivariate claim count model for applications in insurance. Zbl 1417.91006
Selch, Daniela Anna; Scherer, Matthias
4
2018
Membership testing for Bernoulli and tail-dependence matrices. Zbl 1420.62254
Krause, Daniel; Scherer, Matthias; Schwinn, Jonas; Werner, Ralf
2
2018
Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li. Zbl 1404.62114
Puccetti, Giovanni; Scherer, Matthias
2
2018
Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber. 2nd edition. Zbl 1367.65002
Mai, Jan-Frederik; Scherer, Matthias
4
2017
Two novel characterizations of self-decomposability on the half-line. Zbl 1405.60049
Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias
3
2017
My introduction to copulas. An interview with Roger Nelsen. Zbl 1404.62052
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
The vine philosopher. Zbl 1383.01009
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2017
Exchangeable exogenous shock models. Zbl 1388.62153
Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias
12
2016
Distributions with given marginals: the beginnings. An interview with Giorgio Dall’Aglio. Zbl 1352.01036
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
3
2016
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law. Zbl 1338.60044
Brigo, Damiano; Mai, Jan-Frederik; Scherer, Matthias
3
2016
Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Zbl 1366.91005
2
2016
Stat trek. An interview with Christian Genest. Zbl 1403.62003
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven
1
2016
Extremal dependence for bilateral credit valuation adjustments. Zbl 1396.91793
Scherer, Matthias; Schulz, Thorsten
1
2016
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. Zbl 1329.91065
Hieber, Peter; Korn, Ralf; Scherer, Matthias
6
2015
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Zbl 1323.60028
Bernhart, German; Mai, Jan-Frederik; Scherer, Matthias
4
2015
Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts. Zbl 1320.01026
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
2
2015
A survey of dynamic representations and generalizations of the Marshall-Olkin distribution. Zbl 1365.62187
Bernhart, German; Fernández, Lexuri; Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias
1
2015
The mean of Marshall-Olkin-dependent exponential random variables. Zbl 1365.62189
Fernández, Lexuri; Mai, Jan-Frederik; Scherer, Matthias
1
2015
A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf. Zbl 1329.62016
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias
1
2015
Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach. Zbl 1347.60143
Mai, Jan-Frederik; Schenk, Steffen; Scherer, Matthias
1
2015
Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals. Zbl 1328.62310
Mai, Jan-Frederik; Scherer, Matthias
7
2014
Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time. Zbl 1310.62072
Mai, Jan-Frederik; Scherer, Matthias
7
2014
Efficiently pricing double barrier derivatives in stochastic volatility models. Zbl 1307.91174
Escobar, Marcos; Hieber, Peter; Scherer, Matthias
3
2014
A multivariate default model with spread and event risk. Zbl 1396.91792
Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; Scherer, Matthias
1
2014
Model risk and uncertainty – illustrated with examples from mathematical finance. Zbl 1291.91168
Bannör, Karl F.; Scherer, Matthias
1
2014
On the calibration of distortion risk measures to bid-ask prices. Zbl 1402.91753
Bannör, Karl F.; Scherer, Matthias
1
2014
CIID frailty models and implied copulas. Zbl 1273.62070
Mai, Jan-Frederik; Scherer, Matthias; Zagst, Rudi
9
2013
Capturing parameter risk with convex risk measures. Zbl 1277.91072
Bannör, Karl F.; Scherer, Matthias
8
2013
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications. Zbl 1430.91121
Bernhart, German; Escobar Anel, Marcos; Mai, Jan-Frederik; Scherer, Matthias
7
2013
Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws. Zbl 1259.62040
Mai, Jan-Frederik; Scherer, Matthias; Shenkman, Natalia
7
2013
Double-barrier first-passage times of jump-diffusion processes. Zbl 1410.91446
Fernández, Lexuri; Hieber, Peter; Scherer, Matthias
4
2013
What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Zbl 1287.91096
Scherer, Matthias; Mai, Jan-Frederik
4
2013
Extendibility of Marshall-Olkin distributions and inverse Pascal triangles. Zbl 1298.62083
Mai, Jan-Frederik; Scherer, Matthias
3
2013
Sampling exchangeable and hierarchical Marshall-Olkin distributions. Zbl 1347.62025
Mai, Jan-Frederik; Scherer, Matthias
2
2013
Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber. Zbl 1301.65001
Mai, Jan-Frederik; Scherer, Matthias
21
2012
\(H\)-extendible copulas. Zbl 1301.62050
Mai, Jan-Frederik; Scherer, Matthias
10
2012
A note on first-passage times of continuously time-changed Brownian motion. Zbl 1229.91310
Hieber, Peter; Scherer, Matthias
8
2012
Shot-noise driven multivariate default models. Zbl 1256.91059
Scherer, Matthias; Schmid, Ludwig; Schmidt, Thorsten
6
2012
CDO pricing with nested Archimedean copulas. Zbl 1213.91074
Hofert, Marius; Scherer, Matthias
31
2011
Reparameterizing Marshall-Olkin copulas with applications to sampling. Zbl 1206.62101
Mai, Jan-Frederik; Scherer, Matthias
21
2011
Bivariate extreme-value copulas with discrete Pickands dependence measure. Zbl 1329.62270
Mai, Jan-Frederik; Scherer, Matthias
10
2011
Constructing hierarchical archimedean copulas with Lévy subordinators. Zbl 1194.60017
Hering, Christian; Hofert, Marius; Mai, Jan-Frederik; Scherer, Matthias
19
2010
A fictitious energy approach for shape optimization. Zbl 1188.74045
Scherer, M.; Denzer, R.; Steinmann, P.
10
2010
Efficiently pricing barrier options in a Markov-switching framework. Zbl 1231.91473
Hieber, Peter; Scherer, Matthias
8
2010
Multivariate hierarchical copulas with shocks. Zbl 1201.62063
Durante, Fabrizio; Hofert, Marius; Scherer, Matthias
8
2010
The Pickands representation of survival Marshall-Olkin copulas. Zbl 1181.62071
Mai, Jan-Frederik; Scherer, Matthias
4
2010
Lévy-frailty copulas. Zbl 1162.62048
Mai, Jan-Frederik; Scherer, Matthias
34
2009
A tractable multivariate default model based on a stochastic time-change. Zbl 1185.91164
Mai, Jan-Frederik; Scherer, Matthias
10
2009
Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions. Zbl 1171.62036
Mai, Jan-Frederik; Scherer, Matthias
6
2009
The number of nonisomorphic two-dimensional algebras over a finite field. Zbl 1195.17001
Petersson, Holger P.; Scherer, Matthias
2
2004
all top 5

Cited by 293 Authors

27 Mai, Jan-Frederik
27 Scherer, Matthias
14 Durante, Fabrizio
13 Hofert, Marius
7 Hieber, Peter
6 Genest, Christian
5 Cossette, Hélène
5 Fernández-Sánchez, Juan
5 Marceau, Étienne
5 Rivest, Louis-Paul
4 Omladič, Matjaž
4 Puccetti, Giovanni
4 Schenk, Steffen
4 Úbeda-Flores, Manuel
3 Bäuerle, Nicole
3 Bernhart, German
3 Gapeev, Pavel V.
3 Girard, Stéphane
3 Hering, Christian
3 Nešlehová, Johanna G.
3 Ressel, Paul
3 Schmidt, Thorsten
3 Sloot, Henrik
3 Trutschnig, Wolfgang
3 Yang, Jingping
2 Antonelli, Fabio
2 Barro, Diakarya
2 Cherubini, Umberto
2 Côté, Marie-Pier
2 Embrechts, Paul
2 Gadoury, Simon-Pierre
2 Górecki, Jan
2 Košir, Tomaž
2 Lakhal-Chaieb, Lajmi
2 Leimcke, Gregor
2 Mazo, Gildas
2 Mesiar, Radko
2 Mtalai, Itre
2 Mulinacci, Sabrina
2 Nadarajah, Saralees
2 Nelsen, Roger B.
2 Ramponi, Alessandro
2 Robert, Christian Yann
2 Rodríguez Lallena, José Antonio
2 Romdhani, Hela
2 Ruß, Jochen
2 Ružić, Nina
2 Scarlatti, Sergio
2 Shenkman, Natalia
2 Stoev, Yavor I.
2 Tounkara, Fodé
2 Werner, Ralf
2 Xie, Jiehua
1 Abundo, Mario
1 Ackerer, Damien
1 Afuecheta, Emmanuel
1 Albrecher, Hansjörg
1 Albrecht, Peter
1 Alexandrova, Maria
1 Araujo-Acuna, José Carlos
1 Arbel, Julyan
1 Arias García, José De Jesús
1 Avanzi, Benjamin
1 Baglioni, Angelo
1 Bagré, Remi Guillaume
1 Bahraoui, Tarik
1 Bannör, Karl F.
1 Barrera, Javiera
1 Beer, Simone
1 Beirlant, Jan
1 Benth, Fred Espen
1 Beran, Jan
1 Bian, N’dri Hubert
1 Bohnert, Alexander
1 Bouezmarni, Taoufik
1 Braun, Alexandre Luis
1 Brechmann, Eike Christian
1 Brigo, Damiano
1 Brockhaus, Oliver
1 Castañer, Anna
1 Cha, Ji Hwan
1 Chan, Stephen Chi-fai
1 Chaoubi, Ihsan
1 Charpentier, Arthur
1 Chen, An
1 Choe, Geon Ho
1 Cifarelli, Donato Michele
1 Claramunt, M. Mercè
1 Ćmiel, Bogdan
1 Crispino, Marta
1 Cuadras, Carles M.
1 Date, Paresh M.
1 De Baets, Bernard
1 De Giuli, Maria Elena
1 De Kock, Johan
1 De Meyer, Hans E.
1 Deelstra, Griselda
1 Dere, Ahmet Murat
1 Desmettre, Sascha
1 Detering, Nils
...and 193 more Authors
all top 5

Cited in 70 Serials

22 Journal of Multivariate Analysis
19 Dependence Modeling
12 Insurance Mathematics & Economics
7 Extremes
6 Statistics & Probability Letters
6 Computational Statistics and Data Analysis
6 Methodology and Computing in Applied Probability
5 Fuzzy Sets and Systems
4 Metrika
4 Information Sciences
4 Journal of Computational and Applied Mathematics
4 International Journal of Theoretical and Applied Finance
4 Scandinavian Actuarial Journal
4 ASTIN Bulletin
4 European Actuarial Journal
3 The Canadian Journal of Statistics
3 Applied Mathematical Finance
3 Brazilian Journal of Probability and Statistics
3 Quantitative Finance
3 Review of Derivatives Research
3 Statistics & Risk Modeling
2 Journal of Mathematical Analysis and Applications
2 Physica A
2 International Journal of Mathematics and Mathematical Sciences
2 Kybernetika
2 Journal of Theoretical Probability
2 Communications in Statistics. Theory and Methods
2 Journal of Statistical Computation and Simulation
2 Statistical Papers
2 Bernoulli
2 Probability Surveys
1 Advances in Applied Probability
1 Scandinavian Journal of Statistics
1 The Annals of Statistics
1 Biometrics
1 Journal of Applied Probability
1 Mathematics and Computers in Simulation
1 Metron
1 Results in Mathematics
1 Statistica
1 Stochastic Analysis and Applications
1 Statistics
1 Statistical Science
1 Journal of Economic Dynamics & Control
1 Annals of Operations Research
1 Applied Mathematical Modelling
1 European Journal of Operational Research
1 Test
1 Lifetime Data Analysis
1 Journal of Nonparametric Statistics
1 Mathematical Finance
1 Australian & New Zealand Journal of Statistics
1 Communications in Nonlinear Science and Numerical Simulation
1 The ANZIAM Journal
1 Stochastic Models
1 Iranian Journal of Science and Technology. Transaction A: Science
1 North American Actuarial Journal
1 Computational Management Science
1 Networks and Spatial Economics
1 Statistical Methodology
1 ALEA. Latin American Journal of Probability and Mathematical Statistics
1 Nonlinear Analysis. Hybrid Systems
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 SIAM Journal on Financial Mathematics
1 Afrika Statistika
1 Statistics and Computing
1 East Asian Journal on Applied Mathematics
1 Mathematics
1 Journal of Applied Mathematics, Statistics and Informatics
1 Probability, Uncertainty and Quantitative Risk

Citations by Year