Nikolaus Schweizer

Tilburg School of Economics and Management

PO Box 90153

Tilburg, 5000 LE Ti

Netherlands

  • Tilburg School of Economics and Management

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

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1.

Robust Measurement of (Heavy-Tailed) Risks: Theory and Implementation

Number of pages: 37 Posted: 14 Oct 2013 Last Revised: 23 Mar 2015
Judith C. Schneider and Nikolaus Schweizer
University of Muenster - Finance Center Muenster and Tilburg School of Economics and Management
Downloads 276 (114,733)

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Robustness, Model Risk, Worst-Case Risk, Risk Management, Kullback-Leibler Divergence, Divergence Estimation, Sequential Monte Carlo

2.

Cross-Hedging Minimum Return Guarantees: Basis and Liquidity Risk

Number of pages: 36 Posted: 21 Dec 2012 Last Revised: 30 Dec 2013
Stefan Ankirchner, Judith C. Schneider and Nikolaus Schweizer
University of Bonn, University of Muenster - Finance Center Muenster and Tilburg School of Economics and Management
Downloads 239 (133,052)
Citation 2

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Basis risk, least-squares Monte Carlo, liquidity risk, margin calls, model risk, periodic premia, variable annuities

3.

Estimating Residual Hedging Risk with Least-Squares Monte Carlo

Number of pages: 30 Posted: 30 Oct 2012 Last Revised: 06 Mar 2013
Stefan Ankirchner, Christian Pigorsch and Nikolaus Schweizer
University of Bonn, Ludwig Maximilian University of Munich (LMU) - Department of Statistics and Tilburg School of Economics and Management
Downloads 213 (148,673)
Citation 3

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basis risk, cross-hedging, hedging error, incomplete markets, least-squares Monte Carlo

4.

Institutions, Shared Guilt, and Moral Transgression

Downloads 156 (196,459)
Citation 1

Institutions, Shared Guilt, and Moral Transgression

CESifo Working Paper Series No. 5525
Number of pages: 50 Posted: 19 Oct 2015
Dominik Rothenhäusler, Nikolaus Schweizer and Nora Szech
University of Bonn, Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 84 (310,076)

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moral decision making, division of labor, shared guilt, diffusion of responsibility, institutions and morals, committee decisions, moral transgression

Institutions, Shared Guilt, and Moral Transgression

Number of pages: 37 Posted: 05 Jul 2013
Dominik Rothenhäusler, Nikolaus Schweizer and Nora Szech
University of Bonn, Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 72 (340,022)
Citation 1

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Moral Decision Making, Shared Guilt, Group Absolution, Di ffused Responsibility, Institutional Design, Committee Decisions, Moral Transgression

5.

Information Nudges and Self Control

Downloads 140 (213,544)
Citation 1

Information Nudges and Self Control

Number of pages: 40 Posted: 01 May 2018
Thomas Mariotti, Nikolaus Schweizer and Nora Szech
University of Toulouse I, Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 110 (258,906)
Citation 1

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Information Design, Information Nudge, Present-Biased Preferences, Self Control

Information Nudges and Self-Control

CESifo Working Paper No. 7346
Number of pages: 65 Posted: 21 Feb 2019
Thomas Mariotti, Nikolaus Schweizer, Nora Szech and Jonas von Wangenheim
University of Toulouse I, Tilburg School of Economics and Management, Karlsruhe Institute of Technology and Free University of Berlin (FUB)
Downloads 30 (497,803)

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information design, information nudges, present-biased preferences, self-control

6.

The Quantitative View of Myerson Regularity

CESifo Working Paper Series No. 5712
Number of pages: 36 Posted: 23 Feb 2016
Nikolaus Schweizer and Nora Szech
Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 102 (271,438)

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λ-regularity, Myerson regularity, monotone hazard rate, auctions, mechanism design, approximation

7.

Time-Consistency of Optimal Investment under Smooth Ambiguity

Number of pages: 35 Posted: 22 Sep 2017 Last Revised: 28 Feb 2019
Anne Balter, Antje Brigitte Mahayni and Nikolaus Schweizer
Tilburg University, Mercator School of Management and Tilburg School of Economics and Management
Downloads 100 (275,141)

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Optimal Investment, Smooth Ambiguity, Ambiguity Aversion, Time-Consistency, Pre-Commitment

8.

Precautionary Saving and Insurance Under Generalized Mean-Variance Preferences

Number of pages: 31 Posted: 30 Mar 2017
Nicole Branger, Antje Brigitte Mahayni, Nikolaus Schweizer and Cathleen Sende
University of Muenster - Finance Center Muenster, Mercator School of Management, Tilburg School of Economics and Management and University of Duisburg-Essen - Mercator School of Management
Downloads 62 (364,055)

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Precautionary saving, insurance, mean variance preferences

9.

Optimal Revelation of Life-Changing Information

CESifo Working Paper Series No. 5941
Number of pages: 39 Posted: 07 Jul 2016
Nikolaus Schweizer and Nora Szech
Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 56 (382,644)

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test design, revelation of information, design of beliefs, medical tests, anticipatory utility, Huntington’s Disease

10.

The Joint Impact of F-Divergences and Reference Models on the Contents of Uncertainty Sets

Number of pages: 20 Posted: 02 Aug 2018
Thomas Kruse, Judith C. Schneider and Nikolaus Schweizer
University of Duisburg-Essen, University of Muenster - Finance Center Muenster and Tilburg School of Economics and Management
Downloads 43 (428,357)

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F-Divergences, Model Risk, Robustness

11.

Revenues and Welfare in Auctions with Information Release

CESifo Working Paper Series No. 5501
Number of pages: 37 Posted: 06 Oct 2015
Nikolaus Schweizer and Nora Szech
Tilburg School of Economics and Management and Karlsruhe Institute of Technology
Downloads 36 (457,097)

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auctions, information release, information partitions, order statistics, stochastic orders, dispersion, dispersive order, excess wealth order

12.

A Primal–Dual Algorithm for BSDEs

Mathematical Finance, Vol. 27, Issue 3, pp. 866-901, 2017
Number of pages: 36 Posted: 15 Jun 2017
Christian Bender, Nikolaus Schweizer and Jia Zhuo
Saarland University, Tilburg School of Economics and Management and University of Southern California
Downloads 0 (691,973)
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BSDE, numerical approximation, Monte Carlo, option pricing

13.

Faster Comparison of Stopping Times by Nested Conditional Monte Carlo

Journal of Computational Finance, Vol. 20, No. 2, 2016
Number of pages: 24 Posted: 14 Jun 2016
Fabian Dickmann and Nikolaus Schweizer
University of Duisburg-Essen and Tilburg School of Economics and Management
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American options, branching, multilevel Monte Carlo, nested simulation, splitting, variance reduction