All publications

ZORA Publication List

Publications

• Journal Article

  • 2025

    • Bergesio, A., Koch Medina, P., & Munari, C. (2025). Optimal insurance design under limited liability The Journal of Risk and Insurance, 92, 1122–1142. https://doi.org/10.1111/jori.70016

  • 2024

    • Koch-Medina, P., & Munari, C. (2024). Qualitative robustness of utility-based risk measures Annals of Operations Research, 336, 967–980. https://doi.org/10.1007/s10479-022-04885-z

  • 2021

    • Arduca, M., Koch-Medina, P., & Munari, C. (2021). Dual representations for systemic risk measures based on acceptance sets Mathematics and Financial Economics, 15, 155–184. https://doi.org/10.1007/s11579-019-00250-0
    • Bellini, F., Koch-Medina, P., Munari, C., & Svindland, G. (2021). Law-Invariant Functionals on General Spaces of Random Variables SIAM Journal on Financial Mathematics, 12, 318–341. https://doi.org/10.1137/20m1341258
    • Koch-Medina, P., Moreno-Bromberg, S., Ravanelli, C., & Sikic, M. (2021). Revisiting optimal investment strategies of value-maximizing insurance firms Insurance: Mathematics and Economics, 99, 131–151. https://doi.org/10.1016/j.insmatheco.2021.03.013
    • Bellini, F., Koch-Medina, P., Munari, C., & Svindland, G. (2021). Law-invariant functionals that collapse to the mean Insurance: Mathematics and Economics, 98, 83–91. https://doi.org/10.1016/j.insmatheco.2021.03.002

  • 2020

    • Baes, M., Koch-Medina, P., & Munari, C. (2020). Existence, uniqueness, and stability of optimal payoffs of eligible assets Mathematical Finance, 30, 128–166. https://doi.org/10.1111/mafi.12205

  • 2019

    • Koch-Medina, P., Albrecher, H., Bommier, A., Filipović, D., Loisel, S., & Schmeiser, H. (2019). Insurance: models, digitalization, and data science European Actuarial Journal, 9, 349–360. https://doi.org/10.1007/s13385-019-00209-x

  • 2018

    • Albrecher, H., Bauer, D., Embrechts, P., Filipović, D., Koch-Medina, P., Korn, R., Loisel, S., Pelsser, A., Schiller, F., Schmeiser, H., & Wagner, J. (2018). Asset-liability management for long-term insurance business European Actuarial Journal, 8, 9–25. https://doi.org/10.1007/s13385-018-0167-5
    • Koch-Medina, P., & Wenzelburger, J. (2018). Equilibria in the CAPM with non-tradeable endowments Journal of Mathematical Economics, 75, 93–107. https://doi.org/10.1016/j.jmateco.2017.12.004
    • Koch-Medina, P., Munari, C., & Šikić, M. (2018). A simple characterization of tightness for convex solid sets of positive random variables Positivity, 22, 1015–1022. https://doi.org/10.1007/s11117-018-0556-7
    • Koch-Medina, P., Munari, C., & Svindland, G. (2018). Which eligible assets are compatible with comonotonic capital requirements? Insurance: Mathematics and Economics, 81, 18–26. https://doi.org/10.1016/j.insmatheco.2018.04.003

  • 2017

    • Koch-Medina, P., Munari, C., & Šikić, M. (2017). Diversification, protection of liability holders and regulatory arbitrage Mathematics and Financial Economics, 11, 63–83. https://doi.org/10.1007/s11579-016-0171-y

  • 2016

    • Albrecher, H., Embrechts, P., Filipović, D., Harrison, G. W., Koch, P., Loisel, S., Vanini, P., & Wagner, J. (2016). Old-age provision: past, present, future European Actuarial Journal, 6, 287–306. https://doi.org/10.1007/s13385-016-0136-9
    • Koch-Medina, P., & Munari, C. (2016). Unexpected shortfalls of expected Shortfall: Extreme default profiles and regulatory arbitrage Journal of Banking and Finance, 62, 141–151. https://doi.org/10.1016/j.jbankfin.2015.11.006

  • 2015

    • Farkas, W., Koch-Medina, P., & Munari, C. (2015). Measuring risk with multiple eligible assets Mathematics and Financial Economics, 9, 3–27. https://doi.org/10.1007/s11579-014-0118-0
    • Koch-Medina, P., Moreno-Bromberg, S., & Munari, C. (2015). Capital adequacy tests and limited liability of financial institutions Journal of Banking and Finance, 51, 93–102. https://doi.org/10.1016/j.jbankfin.2014.11.002

  • 2014

    • Koch-Medina, P., & Munari, C. (2014). Law-invariant risk measures: extension properties and qualitative robustness Statistics & Risk Modeling, 31, 1–22. https://doi.org/10.1515/strm-2014-0002
    • Barone-Adesi, G., Farkas, W., & Koch-Medina, P. (2014). Capital levels and risk-taking propensity in financial institutions Accounting and Finance Research, 3, 85–89. https://doi.org/10.5430/afr.v3n1p85
    • Farkas, W., Koch-Medina, P., & Munari, C. (2014). Capital Requirements with Defaultable Securities Insurance: Mathematics and Economics, 55, 58–67. https://doi.org/10.1016/j.insmatheco.2013.11.009

  • 2013

    • Farkas, W., Koch-Medina, P., & Munari, C. (2013). Beyond cash-additive risk measures: When changing the numeraire fails Finance and Stochastics, 18, 145–173. https://doi.org/10.1007/s00780-013-0220-9

  • 2009

    • Artzner, P., Delbaen, F., & Koch-Medina, P. (2009). Risk measures and efficient use of capital ASTIN Bulletin, 39, 101–116. https://doi.org/10.2143/AST.39.1.2038058

  • 2001

    • Hancock, J., Huber, P., & Koch Medina, P. (2001). Value creation in the insurance industry Risk Management and Insurance Review, 4, 1–9. https://doi.org/10.1111/1098-1616.00001

  • 1996

    • Koch-Medina, P., Merino, S., & Hieber, M. (1996). Diffusive logistic growth on RN Nonlinear Analysis: Theory, Methods & Applications, 27, 879–894. https://doi.org/10.1016/0362-546X(95)00035-T
    • Koch-Medina, P., Fraile, J. M., López-Gómez, J., & Merino, S. (1996). Elliptic Eigenvalue Problems and Unbounded Continua of Positive Solutions of a Semilinear Elliptic Equation Journal of Differential Equations, 127, 295–319. https://doi.org/10.1006/jdeq.1996.0071
    • Koch-Medina, P., Hieber, M., & Merino, S. (1996). Linear and Semilinear Parabolic Equations on BUC(ℝN) Mathematische Nachrichten, 179, 107–118. https://doi.org/10.1002/mana.19961790108

  • 1995

    • Koch-Medina, P., & Schätti, G. (1995). Long-time behaviour for reaction-diffusion equations on RN Nonlinear Analysis: Theory, Methods & Applications, 25, 831–870. https://doi.org/10.1016/0362-546X(94)00174-G

  • 1994

    • Koch-Medina, P., & Daners, D. (1994). Exponential stability, change of stability and eigenvalue problems for linear time-periodic parabolic equations on RN Differential and Integral Equations, 7, 1265–1284. https://projecteuclid.org/euclid.die/1369329516
    • Koch-Medina, P., & Daners, D. (1994). Superconvexity of the evolution operator and parabolic eigenvalue problems on RN Differential and Integral Equations Differential and Integral Equations, 7, 235–255. https://projecteuclid.org/journalArticle/Download?urlid=die/1369926977

• Book Section

  • 1996

    • Koch-Medina, P., & Hunziker, J.-P. (1996). Interest rates and life insurance In I. Nelken (Ed.), Option Embedded Bonds (p. n/a). Irwin Professional Publishers.

  • 1995

    • Koch-Medina, P., & Hunziker, J.-P. (1995). Two color rainbow options In I. Nelken (Ed.), A guide to exotic options (p. n/a). Irwin Professional Publishing.

• Dissertation

  • 2023

    • Bergesio, A. (2023). Frictional costs in insurance (Dissertation, University of Zurich) https://doi.org/10.5167/uzh-252690

• Monograph

  • 2020

    • Koch-Medina, P., & Munari, C. (2020). Market-Consistent Prices An Introduction to Arbitrage Theory Springer. https://doi.org/10.1007/978-3-030-39724-1

  • 2003

    • Koch-Medina, P., & Merino, S. (2003). Mathematical Finance and Probability Birkhäuser Verlag. https://doi.org/10.1007/978-3-0348-8041-1

  • 1992

    • Koch-Medina, P., & Daners, D. (1992). Abstract Evolution Equations, Periodic Problems and Applications Chapman and Hall/CRC.

• Working Paper

  • 2021

    • Bergesio, A., Koch-Medina, P., & Munari, C. (2021). Limited Liability and the Demand for Coinsurance by Individuals and Corporations (No. 21–57; SSRN).

  • 2020

    • Bergesio, A., Huber, P., Koch-Medina, P., & Wilhelmy, L. (2020). The Valuation of Insurance Liabilities: A Framework Based on First Principle (No. 20–03; Swiss Finance Institute Research Paper). https://doi.org/10.2139/ssrn.3386182

  • 2015

    • Koch-Medina, P., Munari, C., & Sikic, M. (2015). Diversification, protection of liability holders and regulatory arbitrage (1502.03252; ArXiv.Org).

  • 2014

    • Moreno, S., Koch-Medina, P., & Munari, C. (2014). Capital Adequacy Tests and Limited Liability of Financial Institutions (No. 14–03; Swiss Finance Institute Research Paper). http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2348590