research

Current and past research

pre-prints

2022

  1. Nonparametric Value-at-Risk via Sieve Estimation
    Ratz, Philipp
    arXiv preprint arXiv:2205.07101 2022
    arXiv Code

2021

  1. Collaborative Insurance Sustainability and Network Structure
    Charpentier, Arthur, Kouakou, Lariosse, Löwe, Matthias, Ratz, Philipp, and Vermet, Franck
    arXiv preprint arXiv:2107.02764 2021
    arXiv Code


conferences

2022

  1. CFE/CMS Conference
    Invited Session: Recent Developments in Modelling and Forecasting Extremes
    Slides on GitHub

    Informs Annual Meeting
    Invited Session: Decentralized Insurance
    Slides on GitHub

    VieCo on Financial Econometrics
    Nonparametric VaR Forecasting via Sieves
    Poster on GitHub

    CSSC Annual Meeting
    Collaborative Insurance Sustainability and Network Structure
    Poster on GitHub

    2021

    1. IME (Insurance: Mathematics and Economics) Congress 2021
      Collaborative Insurance Sustainability and Network Structure
      Slides on GitHub

      ASTIN 2021 Colloquium
      Collaborative Insurance Sustainability and Network Structure
      Slides on GitHub