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Zeller, G.; Scherer, M.
A comprehensive model for cyber risk based on marked point processes and its application to insurance
European Actuarial Journal
2021
Jan-Frederik Mai, Aleksandra Blagoeva, Matthias Scherer
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence
2021
Scherer, M.; Stahl, G.
The Standard Formula of Solvency II: A critical discussion
European Actuarial Journal
2021
11
3-20
Engel, Janina; Pagano, Andrea; Scherer, Matthias
A block-structured model for banking networks across multiple countries
Journal of Network Theory in Finance
2021
Min, A.; Scherer, M.; Schischke, A.; Zagst, R.
Modeling Recovery Rates of Small- and Medium-Sized Entities in the US
Mathematics
2020
8
11
Mai, Jan-Frederik; Scherer, Matthias
On the structure of exchangeable extreme-value copulas
Journal of Multivariate Analysis
2020
Sloot, H.; Scherer, M.
A probabilistic view on semilinear copulas
Information Sciences
2020
512
258-276
Hüttner, Amelie; Scherer, Matthias; Gräler, Benedikt
Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data
Journal of Banking and Finance
2020
Mai, Jan-Frederik; Scherer, Matthias
Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws
Latin American Journal of Probability and Mathematical Statistics
2019
16
1 - 29
Bienek, T.; Scherer, M.
Valuation of Contingent Guarantees using Least-Squares Monte Carlo
ASTIN Bulletin: The Journal of the IAA
2019
49
1
31-56
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