Details about Philippe Artzner

Access statistics for papers by Philippe Artzner.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: par196

Working Papers

2022

1. INSURANCE-FINANCE ARBITRAGE
   Working Papers of LaRGE Research Center, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg
   Also in Papers, arXiv.org (2022) View citations (1)
   See also Journal Article Insurance–finance arbitrage, Mathematical Finance, Wiley Blackwell (2024) (2024)

2013

2. MULTIPERIOD BANKING SUPERVISION
   Working Papers of LaRGE Research Center, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg

1986

3. Envelopes and Geometrical Covers of Side-Payment Games and their Market Representations
   Post-Print, HAL
   Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1986)

Journal Articles

2024

1. Insurance–finance arbitrage
   Mathematical Finance, 2024, 34, (3), 739-773
   See also Working Paper INSURANCE-FINANCE ARBITRAGE, Working Papers of LaRGE Research Center (2022) (2022)

2010

2. Supervisory Insurance Accounting: Mathematics for Provision – and Solvency Capital – Requirements*
   ASTIN Bulletin, 2010, 40, (2), 569-585 View citations (3)

2009

3. Risk Measures and Efficient use of Capital 1
   ASTIN Bulletin, 2009, 39, (1), 101-116 View citations (27)

2007

4. Coherent multiperiod risk adjusted values and Bellman’s principle
   Annals of Operations Research, 2007, 152, (1), 5-22 View citations (85)

2000

5. Author’s Reply: Application of Coherent Risk Measures to Capital Requirements in Insurance - Discussion by Elias S.W. Shiu
   North American Actuarial Journal, 2000, 4, (1), 116-116

1999

6. Application of Coherent Risk Measures to Capital Requirements in Insurance
   North American Actuarial Journal, 1999, 3, (2), 11-25 View citations (53)
7. Coherent Measures of Risk
   Mathematical Finance, 1999, 9, (3), 203-228 View citations (2698)

1995

8. APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES
   Mathematical Finance, 1995, 5, (1), 1-11 View citations (10)
9. DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS1
   Mathematical Finance, 1995, 5, (3), 187-195 View citations (38)

1992

10. Credit Risk and Prepayment Option
    ASTIN Bulletin, 1992, 22, (1), 81-96 View citations (12)

1990

11. 'Finem Lauda' or the risks in swaps
    Insurance: Mathematics and Economics, 1990, 9, (4), 295-303 View citations (3)

1978

12. Boundary behavior of supply: A continuity property of the maximizing correspondence
    Journal of Mathematical Economics, 1978, 5, (2), 133-152