Johannes M. Schumacher

University of Amsterdam - Department of Quantitative Economics (KE)

Roetersstraat 11

Amsterdam, 1018 WB

Netherlands

  • University of Amsterdam - Department of Quantitative Economics (KE)

SCHOLARLY PAPERS

28

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27

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12

Scholarly Papers (28)

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1.

Model Risk and Regulatory Capital

Number of pages: 54 Posted: 24 Feb 2002
Jeroen Kerkhof, Johannes M. Schumacher and Bertrand Melenberg
Lehman Brothers International, Europe, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)
Downloads 594 (71,077)
Citation 17

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Model risk, Capital requirements, (Coherent) risk measurement, Derivative pricing models

2.

An Irregular Grid Approach for Pricing High-Dimensional American Options

Number of pages: 30 Posted: 21 Jan 2003
Steffan John Berridge and Johannes M. Schumacher
affiliation not provided to SSRN and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 175 (261,847)
Citation 4

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American options, high-dimensional problems, free boundary problems, optimal stopping, variational inequalities, numerical methods, unstructured mesh, Markov chain approximation

3.

Pricing High-Dimensional American Options Using Local Consistency Conditions

CentER Discussion Paper No. 2004-19
Number of pages: 33 Posted: 28 Jul 2004
Steffan John Berridge and Johannes M. Schumacher
affiliation not provided to SSRN and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 136 (322,139)

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American options, high-dimensional problems, free boundary problems, optimal stopping, variational inequalities, numerical methods, unstructured mesh, Markov chain approximation

4.

Linear versus Nonlinear Allocation Rules in Risk Sharing Under Financial Fairness

Number of pages: 32 Posted: 05 Jan 2017 Last Revised: 05 Aug 2018
Johannes M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 111 (373,785)
Citation 4

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risk exchange, Pareto efficiency, financial fairness, cooperative investment

5.

A Cohort-Specific Collar Approach to Retirement Security

Netspar Discussion Paper No. 06/2011-059
Number of pages: 17 Posted: 14 Jul 2011
Sjoerd Timmermans, Johannes M. Schumacher and Eduard H.M. Ponds
Algemene Pensioen Groep (APG), University of Amsterdam - Department of Quantitative Economics (KE) and Algemene Pensioen Groep (APG)
Downloads 86 (442,047)

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retirement security redesign, life cycle investment, contingent claims analysis, dynamic portfolio selection

6.

An Evaluation of the nFTK. Technical Appendix

Number of pages: 26 Posted: 18 Jun 2016
Lei Shu, Bertrand Melenberg and Johannes M. Schumacher
Tilburg University, Students, Tilburg University - Center for Economic Research (CentER) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 85 (445,239)

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pension fund regulation, replacement ratio, funding ratio

7.

A Game Theoretic Approach to Linear Systems with L2-Bounded Disturbances

CentER Discussion Paper No. 2000-38
Number of pages: 12 Posted: 26 Oct 2000
W.A. van den Broek, Jacob C. Engwerda and Johannes M. Schumacher
affiliation not provided to SSRN, retiree and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 77 (471,663)

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Linear Uncertain Systems, Game Theory, Algebraic Riccati Equations

8.

Utilitarian versus Neutralitarian Design of Endowment Fund Policies

Number of pages: 38 Posted: 15 Nov 2018 Last Revised: 20 Jan 2022
Johannes M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 72 (489,622)

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endowment funds, saturation, fair division, variable perpetuity, assumed interest rate

9.

Distortion Risk Measures, ROC Curves, and Distortion Divergence

Number of pages: 21 Posted: 22 Apr 2017 Last Revised: 19 Oct 2017
Johannes M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 70 (497,035)

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distortion risk measures, hypothesis testing, receiver operating characteristic, divergence

10.

Time Consistency of Nonconvex Risk Measures

Netspar Discussion Paper No. 01/2009-006
Number of pages: 32 Posted: 21 Nov 2009
Berend Roorda and Johannes M. Schumacher
University of Twente - Department of Technology and Management and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 70 (497,035)

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convex risk measures, acceptability measures, weak time consistency

11.

Ex-Ante Estate Division under Strong Pareto Efficiency

Number of pages: 31 Posted: 10 May 2018 Last Revised: 23 Apr 2021
Johannes M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 65 (516,702)

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bankruptcy problem, contract completion, fair division, rationalization

12.

Disturbance Decoupling in Dynamic Games

Tilburg University, CentER Working Paper No. 1999-67
Number of pages: 9 Posted: 24 Mar 2000
W.A. van den Broek and Johannes M. Schumacher
affiliation not provided to SSRN and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 63 (524,984)

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disturbance decoupling, dynamic games

13.

Multi-Period Risk Sharing Under Financial Fairness

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 46 Posted: 15 Nov 2015 Last Revised: 17 Oct 2016
Hailong Bao, Eduard H.M. Ponds and Johannes M. Schumacher
Tilburg University - Center for Economic Research (CentER), Algemene Pensioen Groep (APG) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 55 (560,118)
Citation 2

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Inter-temporal risk sharing, Pareto efficiency, financial fairness, contract design

14.

A Multi-Objective Decision Framework for Lifecycle Investment

Number of pages: 17 Posted: 20 Sep 2017
Sjoerd Timmermans, Johannes M. Schumacher and Eduard H.M. Ponds
Algemene Pensioen Groep (APG), University of Amsterdam - Department of Quantitative Economics (KE) and Algemene Pensioen Groep (APG)
Downloads 51 (579,164)
Citation 1

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Pension Plan Design, Choice Architecture, Lifecycle Investment, Dynamic Asset Allocation

15.

The Composite Iteration Algorithm for Finding Efficient and Financially Fair Risk-Sharing Rules

Journal of Mathematical Economics 72 (2017), 122-133
Number of pages: 33 Posted: 10 Feb 2014 Last Revised: 18 May 2018
Jaroslav Pazdera, Johannes M. Schumacher and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)
Downloads 50 (584,163)
Citation 1

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risk sharing, fair division, Perron-Frobenius theory, eigenvector computation, collectives

16.

Optimal Management and Differential Games in the Presence of Threshold Effects - The Shallow Lake Model

CentER Discussion Paper Series No. 2012-001
Number of pages: 28 Posted: 03 Jan 2012
Puduru Viswanadha Reddy, Johannes M. Schumacher and Jacob C. Engwerda
Indian Institute of Technology Madras, University of Amsterdam - Department of Quantitative Economics (KE) and retiree
Downloads 46 (604,687)
Citation 2

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Optimal control, Differential games, Threshold effects, Discontinuous dynamics

17.

Cooperative Investment in Incomplete Markets Under Financial Fairness

Netspar Discussion Paper No. 05/2014-016
Number of pages: 32 Posted: 01 Jul 2014 Last Revised: 27 Sep 2016
Jaroslav Pazdera, Johannes M. Schumacher and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)
Downloads 42 (626,605)
Citation 2

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18.

Analysis of Optimal Control Problems for Hybrid Systems with One State Variable

Number of pages: 28 Posted: 24 Jul 2019 Last Revised: 29 Jul 2020
Puduru Viswanadha Reddy, Johannes M. Schumacher and Jacob C. Engwerda
Indian Institute of Technology Madras, University of Amsterdam - Department of Quantitative Economics (KE) and retiree
Downloads 38 (649,377)

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regime switching models, hybrid systems, infinite horizon optimal control, multiple equilibria, Skiba points

19.

Solving Maxmin Optimization Problems via Population Games

Number of pages: 34 Posted: 15 Nov 2022
Anne Balter, Johannes M. Schumacher and Nikolaus Schweizer
Tilburg University, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg School of Economics and Management
Downloads 37 (655,563)

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Maxmin optimization, population games, collective decision, Nash equilibrium, Pareto map

20.

Benefit Provision in a Cyclic Economy

Netspar Discussion Paper No. 03/2012-006
Number of pages: 34 Posted: 16 Mar 2012
Renxiang Dai, Juan Carlos Rodriguez and Johannes M. Schumacher
affiliation not provided to SSRN, Tilburg University and CentER and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 31 (693,873)

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21.

Financial Fairness and Conditional Indexation

Number of pages: 25 Posted: 17 Aug 2016 Last Revised: 01 Sep 2016
Torsten Kleinow and Johannes M. Schumacher
Humboldt University of Berlin and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 28 (714,518)
Citation 4

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collective pensions, conditional indexation, intergenerational risk sharing, overlapping generations models.

22.

Efficiency of Institutional Spending and Investment Rules

Number of pages: 27 Posted: 13 Jun 2019 Last Revised: 06 Sep 2019
Johannes M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 26 (728,950)

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benefit policy, investment policy, consumption/savings, endowment fund, collective pension fund

23.

Dynamic Stability in Population Games derived from Social Decision Problems

Number of pages: 25 Posted: 15 Nov 2022
Anne Balter, Johannes M. Schumacher and Nikolaus Schweizer
Tilburg University, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg School of Economics and Management
Downloads 24 (744,142)

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Maxmin optimization, population games, collective decision, Nash equilibrium, local stability

24.

A Note on Gollier’s Model for a Collective Pension Scheme

Number of pages: 30 Posted: 31 Oct 2019 Last Revised: 01 Feb 2020
Johannes M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 24 (744,142)
Citation 1

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collective pension fund, autarky scheme, horizon lengthening, participation constraint

25.

Jump Equilibria in Public-Good Differential Games with a Single State Variable

Number of pages: 31 Posted: 08 Jul 2021 Last Revised: 29 Nov 2021
Johannes M. Schumacher, Puduru Viswanadha Reddy and Jacob C. Engwerda
University of Amsterdam - Department of Quantitative Economics (KE), Indian Institute of Technology Madras and retiree
Downloads 22 (759,430)
Citation 1

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public-good games, jump equilibria, international pollution control, discontinuous feedback

26.

Testing Hedge Effectiveness for Option Positions

Journal of Risk, Vol. 8, No. 2, Winter 2005-2006
Posted: 10 May 2006
Jeroen Kerkhof, Johannes M. Schumacher and Bertrand Melenberg
Lehman Brothers International, Europe, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)

Abstract:

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risk measures, value-at-risk, VAR, tail distribution, hedge errors, delta-hedged options, autoregressive model

27.

Using Localized Quadratic Functions on an Irregular Grid for Pricing High-Dimensional American Options

CentER Discussion Paper No. 2004-20
Posted: 22 Jun 2004
Steffan John Berridge and Johannes M. Schumacher
affiliation not provided to SSRN and University of Amsterdam - Department of Quantitative Economics (KE)

Abstract:

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American options, high-dimensional problems, free boundary problems, optimal stopping, variational inequalities, numerical methods, unstructured mesh, Markov chain approximation

28.

Testing Expected Shortfall Models for Derivative Positions

CentER Working Paper No. 2003-24
Posted: 26 May 2004
Jeroen Kerkhof, Johannes M. Schumacher and Bertrand Melenberg
Lehman Brothers International, Europe, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Center for Economic Research (CentER)

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Risk management, backtesting, expected shortfall, value-at-risk