Journal Articles

ORCID iD iconorcid.org/0000-0001-8876-2429

Y. Liu, A. Pichler, H. Xu
Discrete Approximations and Quantification in Distributionally Robust Optimization
Mathematics of Operations Research, 2017, in press

A. Pichler
Geometry Of The Expected Value Set And The Set-Valued Sample Mean Process [pdf]
Set-Valued and Variational Analysis, 2017

Th. Kalmes, A. Pichler
On Banach Spaces of vector-valued Random Variables and their Duals motivated by Risk Measures [pdf]
Banach Journal of Mathematical Analysis, 2017

A. Pichler, A. Ahmadi-Javid
Norms and Banach Spaces Induced by the Entropic Value-at-Risk [pdf]
Mathematics and Financial Economics, 11(4), 527-550, 2017

A. Pichler
A quantitative Comparison of Risk Functionals [pdf]
Annals of Operations Research, 245(1), 251-275, 2017

S. Séguin, S.-E. Fleten, P. Côté, A. Pichler, Ch. Audet
Stochastic short-term hydropower planning with inflow scenario trees [pdf]
European Journal on Operational Research, 259(3), 1156-1168, 2017

R. G. Egging, A. Pichler, Ø. Inversen Kalvø and T. Walle-Hansen
Risk Aversion in Imperfect Natural Gas Markets
European Journal on Operational Research, 259(1), 367-383, 2017

G. Ch. Pflug, A. Pichler
From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties [pdf]
SIAM Journal on Optimization, 26(3), 1715-1740, 2016

E. Haugom, Ø. Mydland, A. Pichler
Long Term Oil Prices
Energy Economics, Vol. 58, 84-94, 2016

A. Pichler, A. Tomasgard
Nonlinear Stochastic Programming With a Case Study in Continuous Switching [pdf]
European Journal of Operational Research, Vol. 252(2), 487-501, 2016

S.-E. Fleten, M. Johansen, A. Pichler, C. Ullrich
Policy Uncertainty and Real Options in Switching of Peak Generators [abstract]
IAEE Intl. Conference, Conference Proceedings, 2016

G. Ch. Pflug, A. Pichler
Time consistent Decisions and Temporal Decomposition of Coherent Risk Functionals [pdf]
Mathematics of Operations Research, Vol. 41(2), 682-699, 2015

A. Pichler, A. Shapiro
Minimal Representation of Insurance Prices [pdf]
Insurance: Mathematics and Economics, Vol. 62, 184-193, 2015

A. Pichler
Premiums And Reserves, Adjusted By Distortions [pdf]
Scandinavian Actuarial Journal, Issue 4, 332-351, 2015

R. M. Kovacevic, A. Pichler
Tree approximation for discrete time stochastic processes: a process distance approach [pdf]
Annals of Operations Research, Vol. 235(1), 395-421, 2015
G. Ch. Pflug, A. Pichler
Time-inconsistent multistage stochastic programs: martingale bounds [pdf]
European Journal of Operational Research, Vol. 249(1), 155-163, 2015

R. M. Kovacevic, G. Ch. Pflug, A. Pichler
Measuring and Managing Risk
Investment Risk Management, Oxford University Press, 17-41, 2015

G. Ch. Pflug, A. Pichler
Dynamic Generation of Scenario Trees [pdf]
Computational Optimization and Applications 62(3): 641-668, 2015

G. Ch. Pflug, A. Pichler
Multistage Stochastic Optimization,
Springer Series in Operations Research and Financial Engineering, 2014


A. Pichler
Insurance Pricing under Ambiguity [pdf]
European Actuarial Journal 4(2): 335-364, 2014

A. Pichler
Evaluations of Risk Measures for Different Probability Measures [pdf]
SIAM Journal on Optimization, 23, 530-551, 2013

W. J. Gutjahr, A. Pichler
Stochastic Multi-Objective Optimization: a Survey on Non-Scalarizing Methods [pdf]
Annals of Operations Research 236(2), 475-499, 2013

A. Pichler
The Natural Banach Space for Version Independent Risk Measures [pdf]
Insurance: Mathematics and Economics 53, 405-415, 2013

L. Hellemo, K. T. Midthun, A. Pichler, A. Tomasgard, A. S. Werner
Risk Measures in multi-horizon Scenario Trees
Risk Management in Energy Production and Trading, Springer, 199, 183-208, 2013

G. Ch. Pflug, A. Pichler, D. Wozabal
The 1/N investment strategy is optimal under high model ambiguity [pdf]
Journal of Banking & Finance. Volume 36(2): 410-417, 2012

G. Ch. Pflug, A. Pichler
A distance for multistage stochastic optimization models [pdf]
SIAM Journal on Optimization, 22, 1-23, 2012

A. Pichler
On a rapidly converging series for Riemann's Zeta function [pdf]
JP Journal of Algebra, Number Theory and Applications 26 (1), 75-101, 2012

G. Ch. Pflug, A. Pichler
Approximations for Probability Distributions and Stochastic Optimization Problems [pdf]
Stochastic Optimization Methods in Finance and Energy, Springer New York, 163, 343‑387, 2011

A. Pichler
Deferred Life Annuities
European Actuarial Journal (Blätter der DGVFM), 24, 541-546, 2000

A. Pichler
Construction of Life Tables
European Actuarial Journal (Blätter der DGVFM), 23, 107-119, 1997



A. Pichler
Stochastic Optimization and Risk Management with Applications in Insurance and Finance
Habilitation treatise, University of Vienna, 2014/ 15

A. Pichler
Distance of probability measures and respective continuity properties of acceptability functionals
PhD thesis, University of Vienna, 2010


▼ Submissions

Ch. Helmberg, A. Pichler
Dynamic Scaling and Submodel Selection in Bundle Methods for Convex Optimization

J. D. Backhoff Veraguas, M. Beiglböck, M. Eder, A. Pichler
Fundamental Properties of Process Distances

S.-E. Fleten, E. Haugom, A. Pichler, C. J. Ullrich
A New Structural Estimation Method for Switching Options
   Semifinalist for the best paper award at the FMA intl. annual meeting

S. Frydenberg, T. E. Sønsteng Henriksen, A. Pichler, S. Westgaard
Can Commodities Dominate Stock and Bond Portfolios?

A. Pichler, H. Xu
Quantitative Stability Analysis for Minimax Distributionally Robust Risk Optimization

A. Shapiro and A. Pichler
Time and Dynamic Consistency of Risk Averse Stochastic Programs


► Working papers

► Technical reports




Articles for Actuaries and Related Areas


Insurance — The Banker's Perspective
INsure, 2007

Leitfaden zur Bilanzierung nach IAS/ US-GAAP in
österreichischen Versicherungsunternehmen
Mitteilungen der Aktuarvereinigung Österreichs (Actuarial Association of Austria), 1‑41, 2001, with N. N.

Internationale Grundlagen zur Bewertung von Sozialkapital
Der Wirtschaftstreuhänder, 1998
with T. Keplinger and K. Kühnen



Outreach: Selected Presentations and Talks