Journal Articles
orcid.org/0000-0001-8876-2429
G. Marino, A. Pichler, J.-F. Pietschmann
Uncertainty Analysis for Drift-Diffusion Equations [pdf]
International Journal for Uncertainty Quantification, 2024
V. Norkin, A. Pichler
Portfolio reshaping under 1st order stochastic dominance constraints by the exact penalty function methods [pdf]
Optimization, 2024
D. Uhlig, A. Pichler
Mortality in Germany during the COVID-19 Pandemic [pdf]
Int. J. Environ. Res. Public Health 2023, 20(20)
R. Lakshmanan, A. Pichler
Soft Quantization Using Entropic Regularization [pdf]
Entropy 2023, 25(10), 1435
A. Shapiro, A. Pichler
Conditional Distributionally Robust Functionals [pdf]
Operations Research, 2023
P. Dommel, A. Pichler
Dynamic Programming For Data Independent Decision Sets [pdf]
Journal of Convex Analysis (30), 2023, No. 3, 897–916
R. Lakshmanan, A. Pichler
Expectiles In Risk Averse Stochastic Programming and Dynamic Optimization [pdf]
Pure and Applied Functional Analysis, 2023, in press
R. Lakshmanan, A. Pichler, D. Potts
Nonequispaced Fast Fourier Transform Boost for the Sinkhorn Algorithm [pdf]
Electronic Transactions on Numerical Analysis, ETNA, 2023, 58, 280-315
O. Ernst, A. Pichler, B. Sprungk
Wasserstein Sensitivity of Risk and Uncertainty Propagation [pdf]
SIAM Journal on Uncertainty Quantification, 2022
P. Dommel, A. Pichler
Uniform Function Estimators in Reproducing Kernel Hilbert Spaces [pdf]
Pure and Applied Functional Analysis, 2022, in press
R. Schlotter, A. Pichler
Risk-Averse Optimal Control [pdf]
Mathematics of Operations Research, 2022, in press
F. Kretzschmar, A. Pichler, M. Beggiato
Detection of Discomfort in Autonomous Driving via Stochastic Approximation
Human Factors in Transportation, 2022, 87–92
A. Pichler, A. Shapiro
Mathematical Foundations of Distributionally Robust Multistage Optimization [pdf]
SIAM Journal on Optimization, 2021, 31(4), 3044–3067
A. Pichler, R. Schlotter
Quantification of Risk in Classical Models of Finance [pdf]
Quantitative Finance, 2021
A. Pichler, M. Weinhardt
The nested Sinkhorn divergence to learn the nested distance [pdf]
Computational Management Science, 2021
A. Shapiro, R. P. Liu, A. Pichler
Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping [pdf]
Operations Research, 2021
P. Dommel, A. Pichler, M. Beggiato
Comparison of a Logistic and SVM Modelto Detect Discomfort in Automated Driving
Intelligent Human Systems Integration, 2021, 44–49
G. Consigli, M. Kopa, A. Pichler
Discrete Stochastic Optimization in Finance
Quantitative Finance, 2021, 22(1), 28–30
P. Dommel, A. Pichler
Convex Risk Measures based on Divergence [pdf]
Pure and Applied Functional Analysis 6(6), 2021
J. D. Backhoff Veraguas, M. Beiglböck, M. Eder, A. Pichler
Fundamental Properties of Process Distances [pdf]
Stochastic Processes and their Applications, 2020
K. B. Kirui, G. Ch. Pflug, A. Pichler
ScenTrees.jl: A Julia Package for Generating Scenario Trees and Scenario Lattices for Multistage Stochastic Programming
Journal of Open Source Software, 2020, 5(46), 1912
A. Kumar, N. Leonenko, A. Pichler
Fractional Risk Process in Insurance [pdf]
Mathematics and Financial Economics, 2020, 14(1), 43–65
A. Pichler, R. Schlotter
Entropy Based Risk Measures [pdf]
European Journal on Operational Research, 2020, 285(1), 223–236
S.-E. Fleten, E. Haugom, A. Pichler, C. J. Ullrich
Structural Estimation of Switching Costs for Peaking Power Plants
European Journal on Operational Research, 2020, 285(1), 23–33
S.-E. Fleten, E. Haugom, A. Pichler, C. J. Ullrich
Observed switches and derived profitability indicators for peaking power plants: Northeast U.S. 2001–2009
Data in Brief, 2019
W. J. Gutjahr, A. Pichler (ed.)
Uncertainty, economics and optimization: recent developments
Computational Management Science, 2019, 16(1)
B. Hofmann, Ch. Hofmann, A. Pichler
Simultaneous identification of volatility and interest rate functions — a two-parameter regularization approach
ETNA Electronic Transactions on Numerical Analysis (2019), no. 5, 99–117
A. Pichler, R. Schlotter
Martingale Characterizations Of Risk-Averse Stochastic Optimization Problems [pdf]
Mathematical Programming 181(2), 377–403, 2019
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 12 (2018) no. 4, 773–807
A. Pichler
Geometry Of The Expected Value Set And The Set-Valued Sample Mean Process [pdf]
Set-Valued and Variational Analysis 26 (2018), issue 4, 769–788
A. Pichler, H. Xu
Quantitative Stability Analysis for Minimax Distributionally Robust Risk Optimization [pdf]
Mathematical Programming, 2018
Y. Liu, A. Pichler, H. Xu
Discrete Approximations and Quantification in Distributionally Robust Optimization
Mathematics of Operations Research, 2018
M. Glanzer, G. Ch. Pflug, A. Pichler
Incorporating statistical model error into the calculation of acceptability prices of contingent claims [pdf]
Mathematical Programming, 2018
G. Ch. Pflug, A. Pichler,
Systemic Risk And Copula Models [pdf]
Central European Journal of Operations Research 26 (2018), no. 2, 465–483
S. Frydenberg, T. E. Sønsteng Henriksen, A. Pichler, S. Westgaard
Can Commodities Dominate Stock and Bond Portfolios?
Annals of Operations Research, 2018
S. Brelin, M. A. Lien, S.-E. Fleten, J. Keppo, A. Pichler
Implied Efficiency Curves from Analysis of Operational Patterns
HSCM 2018 Conf. Proceedings, 69–75
A. Ahmadi-Javid, A. Pichler
An Analytic Study Of Norms And Banach Spaces Induced By The Entropic Value-at-Risk [pdf]
Mathematics and Financial Economics 11 (2017), no. 4, 527–550
A. Pichler
A quantitative Comparison of Risk Functionals [pdf]
Annals of Operations Research 254 (2017), no. 1, 251–275
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 (2017), no. 3, 1156–1168
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 (2017), no. 1, 367–383
S.-E. Fleten, M. Bogner, J. Keppo, A. Pichler, E. M. Vestbøstad
Backing Out Expectations from Hydropower Release Time Series
IAEE proceedings and papers (2017)
G. Ch. Pflug, A. Pichler
From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties [pdf]
SIAM Journal on Optimization 26 (2016), no. 3, 1715–1740
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 252 (2016), no. 2, 487–501
W. J. Gutjahr, A. Pichler
Stochastic Multi-Objective Optimization: a Survey on Non-Scalarizing Methods [pdf]
Annals of Operations Research 236 (2016), no. 2, 475–499
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-inconsistent multistage stochastic programs: martingale bounds [pdf]
European Journal of Operational Research 249 (2016), no. 1, 155–163
G. Ch. Pflug, A. Pichler
Time-consistent Decisions and Temporal Decomposition of Coherent Risk Functionals [pdf]
Mathematics of Operations Research 41 (2016), no. 2, 682–699
A. Pichler, A. Shapiro
Minimal Representation of Insurance Prices [pdf]
Insurance: Mathematics and Economics 62 (2015), 184–193
A. Pichler
Premiums And Reserves, Adjusted By Distortions [pdf]
Scandinavian Actuarial Journal 2015, no. 4, 332–351
R. M. Kovacevic, A. Pichler
Tree approximation for discrete time stochastic processes: a process distance approach [pdf]
Annals of Operations Research 235 (2015), 395–421
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 (2015), no. 3, 641–668
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 (2014), no. 2, 335–364
A. Pichler
Evaluations of Risk Measures for Different Probability Measures [pdf]
SIAM Journal on Optimization 23 (2013), no. 1, 530–551
A. Pichler
The Natural Banach Space for Version Independent Risk Measures [pdf]
Insurance: Mathematics and Economics 53 (2013), 405–415
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 (2012), no. 1, 1–23
A. Pichler
On a rapidly converging series for Riemann's zeta function [pdf]
JP Journal of Algebra, Number Theory and Applications 26 (2012), no. 1, 75–101
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
H.-J. Bart, B. Wachter, H.-J. Wacker, A. Pichler
Simulation of the behaviour of liquid/ liquid dispersions in countercurrent columns
Computers & Chemical Engineering, 17, 305–310
H.-J. Bart, B. Wachter, H.-J. Wacker, A. Pichler
Simulation of the behaviour of liquid/ liquid dispersions in countercurrent columns
European Symposium on Computer-Aided Process Engineering (ESCAPE), Toulouse
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
► 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
- Fractional risk, Cameroon, 2019
- CMS + MMEI, Chemnitz, DE, 2019
- Optimization and Inversion under Uncertainty, Linz, AT, 2019
- Optimization under uncertainty, Karlsruhe, DE, 2019
- Risk averse dynamic optimization, Trondheim, NO, 2019
- Uncertainty quantification, Oberwolfach, DE, 2019
- Stopping risk functionals, Oberwolfach, DE, 2018
- Approximation of Stochastic Processes. NTNU, NO, 2018
- NOSTOP 2018. Humboldt Universität, Berlin, 2018
- Entropy. Freiburg, DE, 2018
- Uncertainty Quantification. Dortmund, DE, 2018
- Continuity of multistage programs. Technion, Haifa, IL, 2017
- Entropic Risk. Rome, IT, 2017
- Math Finance. AIMS, M'bour, SN, 2017
- Continuity with respect to nested distances. Jindřichův Hradec, CZ, 2017
- CMS 2017 — invited plenary talk. Bergamo, IT, 2017
- Time consistency. TU Ilmenau, D, 2017
- Ambiguity in stochastic optimization. Univerzita Karlova, Prague, CZ, 2017
- Die riemannsche Vermutung, TU Chemnitz, 2017
- XIV Intl. Conferenc on Stochastic Programming — semi-plenary talk. Búzios, Brazil, 2016
- CORMSIS Centre of Operational Research. Southampton, UK, 2016
- Optimal hedges for insurance. Milano-Bicocca, IT, 2015
- Statistical foundations for the generation of scenario paths. OR 2015, Vienna, AT, 2015
- Switching options for peak power plants. CMS, Prague, CZ, 2015
- Transmission switching, Generation of stochastic Scenarios. Kvitfjell, NO, 2015
- Tree generation with kernels. VOCAL, Veszprém, HU, 2014
- Structural Estimation. Institut Henri Poincaré, Paris, F, 2014
- Insurance Pricing under Ambiguity. European Actuarial J. Conference, Vienna, A, 2014
- Scenario Generation and Reduction. Rio de Jenairo, BR, 2014
- Transmission switching and electricity dispatch. Berkeley (CA), USA, 2014
- The natural domain of risk measures. Davis (CA), USA, 2014,
and Stevens Institute of Technology, Hoboken (NJ), USA - m-Symposium on time consistency, and scientific committee, 13th Conference on Stochastic Programming. Bergamo, IT, 2013
- Lecture on Stochastic Programming. Trondheim, NO, 2012
- Approximation of Stochastic Processes and Decisions. ISMP 2012 (invited session), Berlin, D, 2012
- Decomposition of Risk Measures. EURO 2012 (invited session), Vilnius, LI, 2012
- Distance for Stochastic Processes. Berlin, D, 2011
- Multistage Distance. Davis (CA), USA, 2011
- Acceptability Functionals and Their Relation to Multistage Optimization. Chiba University, Tokyo, JP, 2011
- Optimal Quantizers for Scenario Generation. CMS, Vienna, A, 2010
- Continuity Properties of Acceptability Functionals. 12th Conference on Stochastic Programming, Halifax, CA, 2010
- Sample Average Approximation. Conference with Finance Academy, Moscow, Vienna, A, 2010
- Scenario Generation based on Quantization. Finance Academy, Moscow, RU, 2009
- Quantization by Unit Cubes in High Dimensions. Stochastic Programming School, Bergamo, IT, 2009