Alois Pichler - Academia.edu (original) (raw)

Uploads

Papers by Alois Pichler

Research paper thumbnail of Distance of probability measures and respective continuity properties of acceptability functionals

Research paper thumbnail of Method and Device for Introducing a Pipe for Optical Cables Into a Solid Laying Foundation

Research paper thumbnail of Wittgenstein: The Philosopher and His Works

... 102 CONTENTS Page 3. WITTGENSTEIN'S EARLY PHILOSOPHY OF LANGUAGE AND THE IDEA OF 'T... more ... 102 CONTENTS Page 3. WITTGENSTEIN'S EARLY PHILOSOPHY OF LANGUAGE AND THE IDEA OF 'THE SINGLE GREAT PROBLEM' IO7 MARIE MCGINN 1. A 'single great problem' 107 2. The significance of Frege and Russell 109 3. Russell's theory of judgement 112 ...

Research paper thumbnail of Nonlinear stochastic programming–With a case study in continuous switching

European Journal of Operational Research, 2016

Research paper thumbnail of Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals

Mathematics of Operations Research, 2016

Research paper thumbnail of On the Geometry Of Acceptability Functionals

In this paper we discuss the geometry of acceptability functionals or risk measures. The dependen... more In this paper we discuss the geometry of acceptability functionals or risk measures. The dependence of the random variable is investigated first. The main contribution and focus of this paper is to study how acceptability functionals vary whenever the underlying probability measure is perturbed.

Research paper thumbnail of On Dynamic Decomposition of Multistage Stochastic Programs

It is well known that risk-averse multistage stochastic optimization problems are often not in th... more It is well known that risk-averse multistage stochastic optimization problems are often not in the form of a dynamic stochastic program, i.e. are not dynamically decomposable. In this paper we demonstrate how some of these problems may be extended in such a way that they are accessible to dynamic algorithms. The key technique is a new recursive formulation for the Average Value-at-Risk. To this end, we introduce the conditional Average Value-at-Risk at random level. We elaborate further dynamic programming equations for specific multistage optimization problems and derive a characterizing martingale property for the value function.

Research paper thumbnail of Multistage Optimization

Research paper thumbnail of SchÄtzen von bestandscharakterisierenden Sterblichkeiten

Research paper thumbnail of Tree approximation for discrete time stochastic processes: a process distance approach

Annals of Operations Research, 2015

Research paper thumbnail of Time-inconsistent multistage stochastic programs: Martingale bounds

European Journal of Operational Research, 2015

Research paper thumbnail of Risk Measures in Multi-Horizon Scenario Trees

International Series in Operations Research & Management Science, 2013

Research paper thumbnail of From Data to Models

Springer Series in Operations Research and Financial Engineering, 2014

Research paper thumbnail of The Problem of Ambiguity in Stochastic Optimization

Springer Series in Operations Research and Financial Engineering, 2014

Research paper thumbnail of Approximations and Bounds

Springer Series in Operations Research and Financial Engineering, 2014

Research paper thumbnail of The Nested Distance

Springer Series in Operations Research and Financial Engineering, 2014

Research paper thumbnail of Examples

Springer Series in Operations Research and Financial Engineering, 2014

Research paper thumbnail of Evaluations of Risk Measures for Different Probability Measures

SIAM Journal on Optimization, 2013

Research paper thumbnail of Construction of life tables

Blätter der DGVFM, 1997

Zusammenfassung Für die Bestimmung der Sterblichkeiten eines Versichertenbestandes oder einer an... more Zusammenfassung Für die Bestimmung der Sterblichkeiten eines Versichertenbestandes oder einer anderen Bevölkerungsgruppe sind in der Literatur sehr viele Verfahren beschrieben, die beispielsweise die rohen Sterblichkeiten als Ausgangsdaten verwenden. Diese Ausgangsdaten weisen jedoch von einer Altersgruppe zur nÄchsten eine sehr hohe Fluktuation auf, daher werden diese in einem zweiten Schritt geglÄttet, wobei man sich bemüht, die statistischen Gegebenheiten im verwendeten GlÄttungsverfahren möglichst

Research paper thumbnail of Anwartschaftsrenten

Blätter der DGVFM, 2000

Zusammenfassung Der Barwert für die Witwenrente kann durch den Erwartungswert E [ä (Kx, Ky)] ang... more Zusammenfassung Der Barwert für die Witwenrente kann durch den Erwartungswert E [ä (Kx, Ky)] angegeben werden: wir beschreiben dazu zunächst die Wahrscheinlichkeitsdichte, die für die Berechnung des Erwartungswertes verwendet werden muß; dann geben wir die Funktion ä(k,j) an. Diese Funktion beschreibt den Barwert der Zeitrente, wenn x nach k Jahren und die zweite Person y, der begünstigte Rentenempfänger, nach j Jahren

Research paper thumbnail of Distance of probability measures and respective continuity properties of acceptability functionals

Research paper thumbnail of Method and Device for Introducing a Pipe for Optical Cables Into a Solid Laying Foundation

Research paper thumbnail of Wittgenstein: The Philosopher and His Works

... 102 CONTENTS Page 3. WITTGENSTEIN'S EARLY PHILOSOPHY OF LANGUAGE AND THE IDEA OF 'T... more ... 102 CONTENTS Page 3. WITTGENSTEIN'S EARLY PHILOSOPHY OF LANGUAGE AND THE IDEA OF 'THE SINGLE GREAT PROBLEM' IO7 MARIE MCGINN 1. A 'single great problem' 107 2. The significance of Frege and Russell 109 3. Russell's theory of judgement 112 ...

Research paper thumbnail of Nonlinear stochastic programming–With a case study in continuous switching

European Journal of Operational Research, 2016

Research paper thumbnail of Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals

Mathematics of Operations Research, 2016

Research paper thumbnail of On the Geometry Of Acceptability Functionals

In this paper we discuss the geometry of acceptability functionals or risk measures. The dependen... more In this paper we discuss the geometry of acceptability functionals or risk measures. The dependence of the random variable is investigated first. The main contribution and focus of this paper is to study how acceptability functionals vary whenever the underlying probability measure is perturbed.

Research paper thumbnail of On Dynamic Decomposition of Multistage Stochastic Programs

It is well known that risk-averse multistage stochastic optimization problems are often not in th... more It is well known that risk-averse multistage stochastic optimization problems are often not in the form of a dynamic stochastic program, i.e. are not dynamically decomposable. In this paper we demonstrate how some of these problems may be extended in such a way that they are accessible to dynamic algorithms. The key technique is a new recursive formulation for the Average Value-at-Risk. To this end, we introduce the conditional Average Value-at-Risk at random level. We elaborate further dynamic programming equations for specific multistage optimization problems and derive a characterizing martingale property for the value function.

Research paper thumbnail of Multistage Optimization

Research paper thumbnail of SchÄtzen von bestandscharakterisierenden Sterblichkeiten

Research paper thumbnail of Tree approximation for discrete time stochastic processes: a process distance approach

Annals of Operations Research, 2015

Research paper thumbnail of Time-inconsistent multistage stochastic programs: Martingale bounds

European Journal of Operational Research, 2015

Research paper thumbnail of Risk Measures in Multi-Horizon Scenario Trees

International Series in Operations Research & Management Science, 2013

Research paper thumbnail of From Data to Models

Springer Series in Operations Research and Financial Engineering, 2014

Research paper thumbnail of The Problem of Ambiguity in Stochastic Optimization

Springer Series in Operations Research and Financial Engineering, 2014

Research paper thumbnail of Approximations and Bounds

Springer Series in Operations Research and Financial Engineering, 2014

Research paper thumbnail of The Nested Distance

Springer Series in Operations Research and Financial Engineering, 2014

Research paper thumbnail of Examples

Springer Series in Operations Research and Financial Engineering, 2014

Research paper thumbnail of Evaluations of Risk Measures for Different Probability Measures

SIAM Journal on Optimization, 2013

Research paper thumbnail of Construction of life tables

Blätter der DGVFM, 1997

Zusammenfassung Für die Bestimmung der Sterblichkeiten eines Versichertenbestandes oder einer an... more Zusammenfassung Für die Bestimmung der Sterblichkeiten eines Versichertenbestandes oder einer anderen Bevölkerungsgruppe sind in der Literatur sehr viele Verfahren beschrieben, die beispielsweise die rohen Sterblichkeiten als Ausgangsdaten verwenden. Diese Ausgangsdaten weisen jedoch von einer Altersgruppe zur nÄchsten eine sehr hohe Fluktuation auf, daher werden diese in einem zweiten Schritt geglÄttet, wobei man sich bemüht, die statistischen Gegebenheiten im verwendeten GlÄttungsverfahren möglichst

Research paper thumbnail of Anwartschaftsrenten

Blätter der DGVFM, 2000

Zusammenfassung Der Barwert für die Witwenrente kann durch den Erwartungswert E [ä (Kx, Ky)] ang... more Zusammenfassung Der Barwert für die Witwenrente kann durch den Erwartungswert E [ä (Kx, Ky)] angegeben werden: wir beschreiben dazu zunächst die Wahrscheinlichkeitsdichte, die für die Berechnung des Erwartungswertes verwendet werden muß; dann geben wir die Funktion ä(k,j) an. Diese Funktion beschreibt den Barwert der Zeitrente, wenn x nach k Jahren und die zweite Person y, der begünstigte Rentenempfänger, nach j Jahren

Log In