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Preprints / Publications

 
Publications:

 

for Publications of Alfred Müller see also his Google Scholar Profile

 

  • Müller, A., Scarsini, M., Tsetlin, I., Winkler. R.L. (2017). 
    Between First and Second-Order Stochastic Dominance. Management Science, to appear
  • Bellini, F., Klar, B., Müller A. (2017). Expectiles, Omega ratios and Stochastic Orderings. Methodology and Computing in Applied Probability, to appear 
  • Berk, K., Müller, A. (2016). Probabilistic Forecasting of Medium-Term Electricity Demand: A Comparison of Time Series Models. The Journal of Energy Markets 9, 1-20
  • Bender, J., Wahl, T., Müller, A., Jensen, J. (2016). 
    A multivariate design framework for river confluences.Hydrological Sciences Journal 61, 471-482 
  • Dangendorf, S., Marcos, M., Müller, A., Zorita, E., Riva, R., Berk, K., Jensen, J. (2015). 
    Detecting anthropogenic footprints in sea level rise. Nature Communications 6:7849
  • Müller, J., Hirsch, G., Müller, A. (2015). 
    Modeling the price of natural gas with temperature and oil price as exogenous factors. Innovations in Quantitative Risk Management, Springer Proceedings in Mathematics & Statistics 99, 109-128.
  • Berk, K. (2015). 
    Modeling and Forecasting Electricity Demand: A Risk Management Perspective. Springer Spektrum, Heidelberg.
  • Dangendorf, S., Rybski, D., Mudersbach, C., Müller, A., Kaufmann, E., Zorita, E., Jensen, J. (2014). 
    Evidence for long-term memory in sea level. Geophysical Research Letters 41, 5530-5537.
  • Bellini, F., Klar, B., Müller A. and Rosazza Gianin, E. (2014). 
    Generalized quantiles as risk measures. Insurance: Mathematics and Economics 54, 41-48.
  • Alfred Müller and Moshe Shaked (2013). 
    Stochastic Orders for Stochastic Processes. In: Wiley Encyclopedia of Operations Research and Management Science, pp. 1-7.
  • Alfred Müller (2013). 
    Duality Theory and Transfers for Stochastic Order Relations. In: Stochastic Orders in Reliability and Risk. Lecture Notes in Statistics 208, 41-57.
  • Christiane Barz and Alfred Müller (2012). 
    A tilting algorithm for the estimation of fractional age survival probabilities. Lifetime Data Analysis 18, 234-246.
  • Christiane Barz and Alfred Müller (2012). 
    Comparison and bounds for functionals of future lifetimes consistent with life tables. Insurance: Mathematics and Economics 50, 229-235.
  • Alfred Müller and Marco Scarsini (2012). 
    Fear of loss, inframodularity, and transfers. Journal of Economic Theory 147, 1490-1500.
  • Bäuerle, Nicole, Blatter, Anja and Müller, Alfred (2008). 
    Dependence properties and comparison results for Levy processes. Mathematical Methods of Operations Research 67, 161-186.
  • Müller, Alfred (2007). 
    Certainty equivalents as risk measures. Brazilian Journal of Probability and Statistsics 21, 1-12.
  • Colangelo, Antonio, Müller, Alfred and Scarsini, Marco (2006). 
    Positive Dependence and Weak Convergence. Journal of Applied Probability 43, 48 - 59.
  • Bäuerle, Nicole and Müller, Alfred (2006). 
    Stochastic Orders and Risk Measures: Consistency and Bounds. Insurance: Mathematics and Economics 38, 132 - 148.
  • Müller, Alfred and Scarsini, Marco (2006). 
    Stochastic order relations and lattices of probability measures. SIAM Journal on Optimization 16, 1024 - 1043.
  • Müller, Alfred and Scarsini, Marco (2005). 
    Archimedean copulae and positive dependence. Journal of Multivariate Analysis 93, 434 - 445.
  • Denuit, Michel and Müller, Alfred (2004). 
    Convexity. Encyclopedia of Actuarial Science, B. Sundt and J. L. Teugels (editors), Vol. 1, pp. 362 - 364. John Wiley, Chichester.
  • Denuit, Michel and Müller, Alfred (2004). 
    Stochastic orderings. Encyclopedia of Actuarial Science, B. Sundt and J. L. Teugels (editors), Vol. 3, pp. 1606 - 1610. John Wiley, Chichester.
  • Burger, Markus, Klar, Bernhard, Müller, Alfred and Schindlmayr, Gero (2004). 
    A spot market model for the pricing of derivatives in electricity markets. Quantitative Finance4, 109-122.
  • Hu, Taizhong, Müller, Alfred and Scarsini, Marco (2004). 
    Some counter-examples in positive dependence. Journal of Statistical Planning and Inference 124, 153 - 158.
  • Müller, Alfred and Scarsini, Marco (2003). 
    Sensitivity analysis of a sequential decision problem with learning. Mathematical Methods of Operations Research 57, 321-327.
  • Müller, Alfred (2003). 
    On the interplay between variability and negative dependence for bivariate distributions. Operations Research Letters 31, 90-94.
  • Klar, Bernhard and Müller, Alfred (2003). 
    Characterizations of classes of lifetime distributions generalizing the NBUE class. Journal of Applied Probability 40, 20-32.
  • Müller, Alfred; Scarsini, Marco and Shaked, Moshe (2002). 
    The newsvendor game has a non-empty core. Games and Economic Behavior 38, 118 - 126.
  • Müller, Alfred and Scarsini, Marco (2002). 
    Even risk averters may love risk. Theory and Decision 52, 81 - 99.
  • Denuit, Michel and Müller, Alfred (2002). 
    Smooth generators of integral stochastic orders. Annals of Applied Probability 12, 1174-1184.
  • Müller, Alfred; Stoyan, Dietrich (2002). 
    Comparison Methods for Stochastic Models and Risks. Wiley, Chichester.

  • Müller, Alfred (2001). 
    Bounds for optimal stopping values of dependent random variables with given marginals. Statistics and Probability Letters 52, 73 - 78.
  • Müller, Alfred and Pflug, Georg (2001). 
    Asymptotic ruin probabilities for risk processes with dependent increments. Insurance: Mathematics and Economics 28, 381 - 392.
  • Müller, Alfred (2001). 
    Stochastic orders generated by generalized convex functions. Lecture Notes in Economics and Mathematical Systems 502, 264 - 278.
  • Müller, Alfred (2001). 
    Stochastic ordering of multivariate normal distributions. Annals of the Institute of Statistical Mathematics 53, 567 - 575.
  • Müller, Alfred and Rüschendorf, Ludger (2001). 
    On the optimal stopping values induced by general dependence structures. Journal of Applied Probability 38, 672 - 684.
  • Müller, Alfred and Scarsini, Marco (2001). 
    Stochastic comparison of random vectors with a common copula. Mathematics of Operations Research 26, 723 - 740.
  • Müller, Alfred (2000). 
    Expected Utility Maximization of Optimal Stopping Problems. European Journal of Operational Research 122, 102 - 115.
  • Müller, Alfred and Scarsini, Marco (2000). 
    Some Remarks on the Supermodular Order. Journal of Multivariate Analysis 73, 107 - 119.
  • Müller, Alfred (2000). 
    On the Waiting Times in Queues with Dependency between Interarrival and Service Times. Operations Research Letters 26, 43 - 47.
  • Müller, Alfred (1999). 
    Invited discussion of "Bounds for Actuarial Present Values under the Fractional Independence Age Assumption" by Werner Hürlimann. North American Actuarial Journal 3, 81 - 82.
  • Müller, Alfred (1998). 
    On a Conjecture of Koole. Probability in the Engineering and Informational Sciences 12,141 - 142.
  • Bäuerle, Nicole and Müller, Alfred (1998). 
    Modeling and Comparing Dependencies in Multivariate Risk Portfolios. ASTIN Bulletin 28, 59 - 76.
  • Müller, Alfred (1998). 
    Another tale of two tails: On characterizations of comparative risk. Journal of Risk and Uncertainty 16, 187 - 197.
  • Müller, Alfred (1998). 
    Comparing Risks with Unbounded Distributions. Journal of Mathematical Economics 30, 229 - 239.
  • Müller, Alfred (1997). 
    Stochastic Orders generated by Integrals: A Unified Study. Advances in Applied Probability 29, 414 - 428.
  • Müller, Alfred (1997). 
    Integral Probability Metrics and their Generating Classes of Functions. Advances in Applied Probability 29, 429 - 443.
  • Hinderer, Karl and Müller, Alfred (1997). 
    Cost-Minimal Immunization in the Greenwood Epidemic Model. Mathematical Biosciences 142, 31 - 58.
  • Müller, Alfred (1997). 
    How does the Value Function of a Markov Decision Process depend on the Transition Probabilities? Mathematics of Operations Research 22, 872 - 885.
  • Müller, Alfred (1997). 
    Stop-Loss Order for Portfolios of Dependent Risks. Insurance: Mathematics and Economics 21, 219 - 223.
  • Müller, Alfred (1996). 
    Ordering of risks: A comparative study via stop-loss transforms. Insurance: Mathematics and Economics 17, 215-222.
  • Müller, Alfred (1996). 
    Optimal Selection from Distributions with unknown Parameters: Robustness of Bayesian Models. Mathematical Methods of Operations Research 44, 371-386.