Pablo Koch Medina

Education

• INSEAD Coaching and Consulting for Change 2005 – 2006
• INSEAD Executive Programme 2003 – 2003
• University of Zurich Doctor of Philosophy (Ph.D.) Mathematics 1989 – 1992
• University of Zurich Master’s Degree Mathematics 1983 – 1988

Publications

*Journal Article *

• Existence, uniqueness, and stability of optimal payoffs of eligible assets Koch Medina Pablo, Munari Cosimo, Baes Michel In: Mathematical Finance, Vol. 30, p. 128-166, January 2020
• Dual representations for systemic risk measures based on acceptance sets Koch Medina Pablo, Munari Cosimo, Arduca Maria In: Mathematics and Financial Economics, , January 2020
• Insurance: models, digitalization, and data science Koch Medina Pablo, Albrecher Hansjörg, Bommier Antoine, Filipović Damir, Loisel Stéphane, Schmeiser Hato In: European Actuarial Journal, Vol. 9, (2), p. 349-360, December 2019
• Which eligible assets are compatible with comonotonic capital requirements? Koch Medina Pablo, Munari Cosimo, Svindland Gregor In: Insurance: Mathematics and Economics, Vol. 81, p. 18-26, July 2018
• Asset-liability management for long-term insurance business Koch Medina Pablo, Albrecher Hansjörg, Schmeiser Hato, Schiller Frank, Pelsser Antoon, Loisel Stéphane, Korn Ralf, Filipović Damir, Embrechts Paul, Bauer Daniel, Wagner Joël In: European Actuarial Journal, Vol. 8, (1), p. 9-25, April 2018
• Equilibria in the CAPM with non-tradeable endowments Koch Medina Pablo, Wenzelburger Jan In: Journal of Mathematical Economics, Vol. 75, p. 93-107, March 2018
• A simple characterization of tightness for convex solid sets of positive random variables Koch Medina Pablo, Munari Cosimo, Šikić Mario In: Positivity, Vol. 22, (4), p. 1015-1022, January 2018
• Diversification, protection of liability holders and regulatory arbitrage Koch Medina Pablo, Munari Cosimo, Šikić Mario In: Mathematics and Financial Economics, Vol. 11, (1), p. 63-83, January 2017
• Unexpected shortfalls of expected Shortfall: Extreme default profiles and regulatory arbitrage Koch Medina Pablo, Munari Cosimo In: Journal of Banking and Finance, Vol. 62, p. 141-151, January 2016
• Measuring risk with multiple eligible assets Farkas Erich Walter, Koch Medina Pablo, Munari Cosimo In: Mathematics and Financial Economics, Vol. 9, (1), p. 3-27, January 2015
• Capital adequacy tests and limited liability of financial institutions Koch Medina Pablo, Moreno-Bromberg Santiago, Munari Cosimo In: Journal of Banking and Finance, Vol. 51, p. 93-102, January 2015
• Law-invariant risk measures: extension properties and qualitative robustness Koch Medina Pablo, Munari Cosimo In: Statistics & Risk Modeling, Vol. 31, (3), p. 1-22, September 2014
• Capital Requirements with Defaultable Securities Farkas Erich Walter, Munari Cosimo, Koch Medina Pablo In: Insurance: Mathematics and Economics, Vol. 55, p. 58-67, January 2014
• Capital levels and risk-taking propensity in financial institutions Farkas Erich Walter, Koch Medina Pablo, Barone-Adesi Giovanni In: Accounting and Finance Research, Vol. 3, (1), p. 85-89, January 2014
• Beyond cash-additive risk measures: When changing the numeraire fails Farkas Erich Walter, Koch Medina Pablo, Munari Cosimo In: Finance and Stochastics, Vol. 18, (1), p. 145-173, November 2013
• Risk measures and efficient use of capital Koch Medina Pablo, ARTZNER Philippe, DELBAEN Freddy In: ASTIN Bulletin, Vol. 39, (1), p. 101-116, January 2009