J. M. Schumacher

University of Amsterdam - Department of Quantitative Economics (KE)

Roetersstraat 11

Amsterdam, 1018 WB

Netherlands

SCHOLARLY PAPERS

20

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CITATIONS
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30

Scholarly Papers (20)

1.

Model Risk and Regulatory Capital

Number of pages: 54 Posted: 24 Feb 2002
Jeroen Kerkhof, J. 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 483 (42,861)
Citation 15

Abstract:

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 J. M. Schumacher
affiliation not provided to SSRN and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 152 (152,304)
Citation 3

Abstract:

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 J. M. Schumacher
affiliation not provided to SSRN and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 122 (187,798)

Abstract:

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

4.

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 J. M. Schumacher
affiliation not provided to SSRN, Tilburg University - Department of Economics and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 65 (283,481)

Abstract:

Linear Uncertain Systems, Game Theory, Algebraic Riccati Equations

5.

A Cohort-Specific Collar Approach to Retirement Security

Netspar Discussion Paper No. 06/2011-059
Number of pages: 29 Posted: 14 Jul 2011
Sjoerd Timmermans, J. 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 61 (292,828)

Abstract:

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

6.

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 J. M. Schumacher
affiliation not provided to SSRN and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 50 (321,967)

Abstract:

disturbance decoupling, dynamic games

7.

Time Consistency of Nonconvex Risk Measures

Netspar Discussion Paper No. 01/2009-006
Number of pages: 32 Posted: 21 Nov 2009
Berend Roorda and J. M. Schumacher
University of Twente - Department of Technology and Management and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 46 (319,143)

Abstract:

convex risk measures, acceptability measures, weak time consistency

8.

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

Netspar Discussion Paper No. 05/2013-072
Number of pages: 33 Posted: 10 Feb 2014 Last Revised: 07 Apr 2017
Jaroslav Pazdera, J. 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 22 (427,543)

Abstract:

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

9.

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
Tilburg University - Center and Faculty of Economics and Business Administration, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Department of Economics
Downloads 21 (389,807)

Abstract:

Optimal control, Differential games, Threshold effects, Discontinuous dynamics

10.

Coherent Acceptability Measures in Multiperiod Models

Mathematical Finance, Vol. 15, No. 4, pp. 589-612, October 2005
Number of pages: 24 Posted: 02 Oct 2005
Berend Roorda, J. M. Schumacher and Jacob C. Engwerda
University of Twente - Department of Technology and Management, University of Amsterdam - Department of Quantitative Economics (KE) and Tilburg University - Department of Economics
Downloads 15 (458,352)
Citation 12
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Abstract:

11.

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, J. 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 14 (407,754)

Abstract:

12.

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 J. M. Schumacher
affiliation not provided to SSRN, Tilburg University and CentER and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 10 (478,880)

Abstract:

13.

Distortion Risk Measures, ROC Curves, and Distortion Divergence

Number of pages: 20 Posted: 22 Apr 2017
J. M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 0 (443,079)

Abstract:

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

14.

Linear Versus Nonlinear Allocation Rules in Risk Sharing Under Financial Fairness

Number of pages: 27 Posted: 05 Jan 2017 Last Revised: 24 Mar 2017
J. M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 0 (453,252)

Abstract:

risk exchange, Pareto efficiency, financial fairness, cooperative investment

15.

Financial Fairness and Conditional Indexation

Number of pages: 25 Posted: 17 Aug 2016 Last Revised: 01 Sep 2016
Torsten Kleinow and J. M. Schumacher
Humboldt University of Berlin and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 0 (468,737)

Abstract:

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

16.

An Evaluation of the nFTK. Technical Appendix

Number of pages: 26 Posted: 18 Jun 2016
Lei Shu, Bertrand Melenberg and J. M. Schumacher
Tilburg University, Students, Tilburg University - Center for Economic Research (CentER) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 0 (417,405)

Abstract:

pension fund regulation, replacement ratio, funding ratio

17.

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 J. M. Schumacher
Tilburg University - Center for Economic Research (CentER), Algemene Pensioen Groep (APG) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 0 (417,405)

Abstract:

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

18.

Testing Hedge Effectiveness for Option Positions

Journal of Risk, Vol. 8, No. 2, Winter 2005-2006
Posted: 10 May 2006
Jeroen Kerkhof, J. 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:

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

19.

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 J. M. Schumacher
affiliation not provided to SSRN and University of Amsterdam - Department of Quantitative Economics (KE)

Abstract:

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

20.

Testing Expected Shortfall Models for Derivative Positions

CentER Working Paper No. 2003-24
Posted: 26 May 2004
Jeroen Kerkhof, J. 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:

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