Nikolaus Schweizer

Tilburg School of Economics and Management

PO Box 90153

Tilburg, 5000 LE Ti

Netherlands

SCHOLARLY PAPERS

13

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1,333

CITATIONS
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16

Scholarly Papers (13)

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 273 (110,074)
Citation 2

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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 233 (129,525)
Citation 3

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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 - Department of Statistics and Tilburg School of Economics and Management
Downloads 210 (143,116)
Citation 2

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

4.
Downloads 144 (199,447)
Citation 4

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 75 (315,996)

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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 69 (331,297)
Citation 5

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

5.
Downloads 118 (231,424)
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 98 (266,996)
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
University of Toulouse I, Tilburg School of Economics and Management, Karlsruhe Institute of Technology and Free University of Berlin (FUB)
Downloads 20 (532,169)

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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 96 (268,712)
Citation 1

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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 83 (294,489)
Citation 2

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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
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 55 (367,088)

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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 51 (379,790)
Citation 3

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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 37 (430,751)

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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 33 (447,255)

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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 (660,893)
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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
Downloads 0 (660,893)
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Abstract:

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American options, branching, multilevel Monte Carlo, nested simulation, splitting, variance reduction