J. M. Schumacher

University of Amsterdam - Department of Quantitative Economics (KE)

Roetersstraat 11

Amsterdam, 1018 WB

Netherlands

SCHOLARLY PAPERS

25

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SSRN CITATIONS
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Top 17,519

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17

CROSSREF CITATIONS

29

Scholarly Papers (25)

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 544 (50,109)
Citation 14

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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 J. M. Schumacher
affiliation not provided to SSRN and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 163 (183,407)
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 J. M. Schumacher
affiliation not provided to SSRN and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 125 (227,570)

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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
J. M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 78 (311,810)
Citation 2

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risk exchange, Pareto efficiency, financial fairness, cooperative investment

5.

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, retiree and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 70 (331,561)

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Linear Uncertain Systems, Game Theory, Algebraic Riccati Equations

6.

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, 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 68 (336,722)

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

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 58 (365,060)
Citation 2

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convex risk measures, acceptability measures, weak time consistency

8.

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 55 (374,577)

Abstract:

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pension fund regulation, replacement ratio, funding ratio

9.

Distortion Risk Measures, ROC Curves, and Distortion Divergence

Number of pages: 21 Posted: 22 Apr 2017 Last Revised: 19 Oct 2017
J. M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 53 (381,000)

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

10.

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 52 (384,219)

Abstract:

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disturbance decoupling, dynamic games

11.

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, 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 36 (443,717)

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

12.

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 35 (447,906)
Citation 3

Abstract:

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

13.

Design of Benefit Streams without Utility Aggregation

Number of pages: 36 Posted: 15 Nov 2018 Last Revised: 13 Mar 2019
J. M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 34 (452,223)

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trust fund, collective pension fund, endowment, spending rule, fairness

14.

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 retiree
Downloads 34 (452,223)
Citation 2

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Optimal control, Differential games, Threshold effects, Discontinuous dynamics

15.

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 32 (461,073)
Citation 1

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16.

A Contract Completion Approach to Bankruptcy Problems

Number of pages: 41 Posted: 10 May 2018 Last Revised: 05 Aug 2018
J. M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 31 (465,746)

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bankruptcy problem, contract completion, fair division, rationalization

17.

A Multi-Objective Decision Framework for Lifecycle Investment

Number of pages: 17 Posted: 20 Sep 2017
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 25 (496,693)
Citation 1

Abstract:

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

18.

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 19 (531,552)
Citation 3

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

19.

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 retiree
Downloads 16 (549,160)
Citation 1
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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 J. M. Schumacher
affiliation not provided to SSRN, Tilburg University and CentER and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 15 (555,099)

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21.

Efficiency of Institutional Spending and Investment Rules

Number of pages: 27 Posted: 13 Jun 2019 Last Revised: 06 Sep 2019
J. M. Schumacher
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 7 (605,961)

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

22.

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

Number of pages: 26 Posted: 24 Jul 2019
Tilburg University - Center and Faculty of Economics and Business Administration, University of Amsterdam - Department of Quantitative Economics (KE) and retiree
Downloads 6 (612,646)

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

23.

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)

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

24.

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:

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

25.

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:

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