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Prof. Dr. Volker Krätschmer

Fakultät für Mathematik

Anschrift
Bimarckstraße 90
47057 Duisburg
Raum
BC 511
Telefon
+49 203 379 2688
E-Mail
volker.kraetschmer@uni-due.de

Funktionen

  • Wissenschaftliche/r Mitarbeiter/in, Stochastik, Versicherungsmathematik

Die folgenden Publikationen sind in der Online-Universitätsbibliographie der Universität Duisburg-Essen verzeichnet. Weitere Informationen finden Sie gegebenenfalls auch auf den persönlichen Webseiten der Person.

    Artikel in Zeitschriften

  • Krätschmer, Volker
    First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
    In: Mathematical Programming: Series A, Series B Jg. 208 (2024) Nr. 1-2, S. 209 - 242
    Online Volltext: dx.doi.org/ (Open Access)
  • Krätschmer, Volker
    Nonasymptotic Upper Estimates for Errors of the Sample Average Approximation Method to Solve Risk-Averse Stochastic Programs
    In: SIAM Journal on Optimization Jg. 34 (2024) Nr. 2, S. 1264 - 1294
    Online Volltext: dx.doi.org/ (Open Access)
  • Krätschmer, Volker; Urusov, Mikhail
    A Kolmogorov–Chentsov Type Theorem on General Metric Spaces with Applications to Limit Theorems for Banach-Valued Processes
    In: Journal of Theoretical Probability Jg. 36 (2023) Nr. 3, S. 1454 - 1486
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker
    Solving optimal stopping problems under model uncertainty via empirical dual optimisation
    In: Finance and Stochastics Jg. 26 (2022) Nr. 3, S. 461 - 503
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; Nolte, Sascha
    Minimax theorems for American options without time-consistency
    In: Finance and Stochastics Jg. 23 (2019) Nr. 1, S. 209 - 238
    Online Volltext: dx.doi.org/
  • Guigues, Vincent; Krätschmer, Volker; Shapiro, Alexander
    A central limit theorem and hypotheses testing for risk-averse stochastic programs∗
    In: SIAM Journal on Optimization Jg. 28 (2018) Nr. 2, S. 1337 - 1366
    Online Volltext: dx.doi.org/ Online Volltext (Open Access)
  • Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J.A.; Schoenmakers, John G.M.; Stadje, Mitja
    Optimal stopping under uncertainty in drift and jump intensity
    In: Mathematics of Operations Research Jg. 43 (2018) Nr. 4, S. 1177 - 1209
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker; Belomestny, Denis
    Addendum to “Optimal stopping under model uncertainty: Randomized stopping times approach”
    In: The Annals of Applied Probability Jg. 27 (2017) Nr. 2, S. 1289 - 1293
    Online Volltext: dx.doi.org/ (Open Access)
  • Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
    Domains of weak continuity of statistical functionals with a view toward robust statistics
    In: Journal of Multivariate Analysis Jg. 158 (2017) S. 1 - 19
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Krätschmer, Volker
    Optimal stopping under probability distortions
    In: Mathematics of Operations Research Jg. 42 (2017) Nr. 3, S. 806 - 833
    Online Volltext: dx.doi.org/
  • Grith, Maria; Härdle, Wolfgang; Krätschmer, Volker
    Reference-Dependent Preferences and the Empirical Pricing Kernel Puzzle
    In: Review of Finance Jg. 21 (2017) Nr. 1, S. 269 - 298
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker; Zähle, Henryk
    Statistical Inference for Expectile-based Risk Measures
    In: Scandinavian Journal of Statistics Jg. 44 (2017) Nr. 2, S. 425 - 454
    Online Volltext: dx.doi.org/ (Open Access)
  • Krätschmer, Volker; Claus, Matthias; Schultz, Rüdiger
    Weak continuity of risk functionals with applications to stochastic programming
    In: SIAM Journal on Optimization Jg. 27 (2017) Nr. 1, S. 91 - 109
    Online Volltext: dx.doi.org/ (Open Access)
  • Krätschmer, Volker; Belomestny, Denis
    Optimal stopping under model uncertainty : Randomized stopping times approach
    In: The Annals of Applied Probability Jg. 26 (2016) Nr. 2, S. 1260 - 1295
    Online Volltext: dx.doi.org/ (Open Access)
  • Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
    Comparative and qualitative robustness for law-invariant risk measures
    In: Finance and Stochastics Jg. 18 (2015) Nr. 2, S. 271 - 295
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
    Quasi-Hadamard differentiability of general risk functionals and its application
    In: Statistics and Risk Modeling Jg. 32 (2015) Nr. 1, S. 25 - 47
    Online Volltext: dx.doi.org/ (Open Access)
  • Belomestny, Denis; Krätschmer, Volker
    Central limit theorems for law-invariant coherent risk measures
    In: Journal of Applied Probability (JAP) Jg. 49 (2012) Nr. 1, S. 1 - 21
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker; Zähle, Henryk; Schied, Alexander
    Qualitative and infinitesimal robustness of tail-dependent statistical functionals
    In: Journal of multivariate analysis Jg. 103 (2012) Nr. 1, S. 35 - 47
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker; Zähle, Henryk
    Sensitivity of risk measures with respect to the normal approximation of total claim distributions
    In: Insurance : mathematics and economics Jg. 49 (2011) Nr. 3, S. 335 - 344
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker; Schoenmakers, John
    Representations for Optimal Stopping under Dynamic Monetary Utility Functionals
    In: SIAM journal on financial mathematics : SIFIN Jg. 1 (2010) Nr. 1, S. 811 - 832
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    Compactness in spaces of inner regular measures and a general Portmanteau lemma
    In: Journal of mathematical analysis and applications Jg. 351 (2009) Nr. 2, S. 792 - 803
    Online Volltext: dx.doi.org/
  • Giacomini, Enzo; Härdle, Wolfgang; Krätschmer, Volker
    Dynamic semiparametric factor models in risk neutral density estimation
    In: AStA Advances in Statistical Analysis Jg. 93 (2009) Nr. 4, S. 387 - 402
    Online Volltext: dx.doi.org/
  • Oberlinger, Joachim; Krätschmer, Volker
    The problem to define normally distributed random fuzzy sets
    In: The journal of fuzzy mathematics Jg. 18 (2008) Nr. 2, S. 229 - 236
  • Krätschmer, Volker
    The uniqueness of extremum estimation
    In: Statistics & probability letters Jg. 77 (2007) Nr. 10, S. 942 - 951
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    Integrals of random fuzzy sets
    In: Test Jg. 15 (2006) Nr. 2, S. 433 - 469
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    Least-squares estimation in linear regression models with vague concepts
    In: Fuzzy sets and systems Jg. 157 (2006) Nr. 19, S. 2579 - 2592
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    Limit distributions of least squares estimators in linear regression models with vague concepts
    In: Journal of multivariate analysis : JMVA Jg. 97 (2006) Nr. 5, S. 1044 - 1069
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    Strong consistency of least-squares estimation in linear regression models with vague concepts
    In: Journal of multivariate analysis : JMVA Jg. 97 (2006) Nr. 3, S. 633 - 654
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    A generalized framework of sampling inspections by attributes
    In: Statistics : a journal of theoretical and applied statistics Jg. 39 (2005) Nr. 5, S. 445 - 455
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    Robust representation of convex risk measures by probability measures
    In: Finance and stochastics Jg. 9 (2005) Nr. 4, S. 597 - 608
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    Probability theory in fuzzy sample spaces
    In: Metrika Jg. 60 (2004) Nr. 2, S. 167 - 189
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    Coherent lower previsions and Choquet integrals
    In: Fuzzy sets and systems Jg. 138 (2003) Nr. 3, S. 469 - 484
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    When fuzzy measures are upper envelopes of probability measures
    In: Fuzzy Sets and Systems Jg. 138 (2003) Nr. 3, S. 455 - 468
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    Limit theorems for fuzzy-random variables
    In: Fuzzy sets and systems Jg. 126 (2002) Nr. 2, S. 253 - 263
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    Some complete metrics on spaces of fuzzy subsets
    In: Fuzzy sets and systems Jg. 130 (2002) Nr. 3, S. 357 - 365
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    A unified approach to fuzzy random variables
    In: Fuzzy sets and systems Jg. 123 (2001) Nr. 1, S. 1 - 9
    Online Volltext: dx.doi.org/

    • Aufsätze

  • Krätschmer, Volker; Belomestny, Denis
    Optimal stopping under probability distortions and law invariant coherent risk measures
    (2016)
    Online Volltext

    • Beiträge in Sammelwerken und Tagungsbänden

  • Grith, Maria; Krätschmer, Volker
    Parametric Estimation of Risk Neutral Density Functions
    In: Handbook of Computational Finance / Duan, Jin-Chuan; Härdle, Wolfgang Karl; Gentle, James E. (Hrsg.) 2012, S. 253 - 275
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    On sigma-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model
    In: Proceedings of the 5th International Symposium on Imprecise Probability and their Applications / 5th International Symposium on Imprecise Probability and their Applications, Prague, 2007 (Society for Imprecise Probability: Theory and Aplications) 2007, S. 263 - 270
    Online Volltext
  • Oberlinger, Joachim; Krätschmer, Volker
    Few remarks concerning a concept to define normally distributed random fuzzy sets
    In: Soft Methodology and Random Information Systems / Lopez-Diaz, Miguel; Gil, Maria A. (Hrsg.) 2004, S. 212 - 218
    Online Volltext: dx.doi.org/
  • Krätschmer, Volker
    Least Squares Estimation in Linear Regression Models with Vague Concepts
    In: Soft Methodology and Random Information Systems / Lopez-Diaz, Miguel; Gil, Maria A. (Hrsg.) 2004, S. 407 - 414
    Online Volltext: dx.doi.org/