## Journal Articles

orcid.org/0000-0001-8876-2429V. Norkin, A. Pichler

**Portfolio reshaping under 1st order stochastic dominance constraints by the exact penalty function methods**[pdf]

Optimization, 2024

G. Marino, A. Pichler, J.-F. Pietschmann

**Uncertainty Analysis for Drift-Diffusion Equations**[pdf]

International Journal for Uncertainty Quantification, 2024

R. Lakshmanan, A. Pichler

**Unbalanced Optimal Transport and Maximum Mean Discrepancies: Interconnections and Rapid Evaluation**[pdf]

Journal of Scientific Computing 2024, 100(72)

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

P. Dommel, A. Pichler

**Stochastic optimization with estimated objectives[pdf]**

Pure and Applied Functional Analysis 8(5), 2023, pp. 1377-1399

O. Ernst, A. Pichler, B. Sprungk

**Wasserstein Sensitivity of Risk and Uncertainty Propagation [pdf]**

SIAM Journal on Uncertainty Quantification, 2022

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-**[pdf]

*in*consistent multistage stochastic programs: martingale boundsEuropean 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

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 (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