Research Output 1969 2020

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2017

Approximating the cone of copositive kernels to estimate the stability number of infinite graphs

Kuryatnikova, O. & Vera Lizcano, J., Nov 2017, In : Electronic Notes in Discrete Mathematics. 62, p. 303-308

Research output: Contribution to journalArticleScientificpeer-review

Stability number
Infinite Graphs
Cone
kernel
Estimate

A primal-dual algorithm for BSDEs

Bender, C., Schweizer, N. & Zhuo, J., 1 Jul 2017, In : Mathematical Finance. 27, 3, p. 866-901

Research output: Contribution to journalArticleScientificpeer-review

Reflected Backward Stochastic Differential Equation
Primal-dual Algorithm
Backward Stochastic Differential Equation
Pricing
Differential equations
41 Downloads (Pure)

A structural characterization for certifying robinsonian matrices

Laurent, M., Seminaroti, M. & Tanigawa, S., 5 May 2017, In : The Electronic Journal of Combinatorics: EJC. 24, 2, p. 1-22 22 p., P2.21.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Interval Graphs
Unit
Adjacency Matrix
Weighted Graph
Substructure

Bound-constrained polynomial optimization using only elementary calculations

de Klerk, E., Lasserre, J. B., Laurent, M. & Sun, Z., Aug 2017, In : Mathematics of Operations Research. 42, 3, p. 834-853

Research output: Contribution to journalArticleScientificpeer-review

Hypercube
Polynomials
Polynomial
Optimization
Rate of Convergence
104 Downloads (Pure)

Can survey participation alter household saving behaviour?

Crossley, T., de Bresser, J., Delaney, L. & Winter, J., Nov 2017, In : The Economic Journal. 127, 606, p. 2332-2357

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Participation
Saving behavior
Household saving
Retirement
Household
45 Downloads (Pure)

Centered solutions for uncertain linear equations

Zhen, J. & den Hertog, D., Oct 2017, In : Computational Management Science. 14, 4, p. 585-610

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Linear equations
Uncertainty
Robust optimization

Convergence analysis for Lasserre's measure-based hierarchy of upper bounds for polynomial optimization

de Klerk, E., Laurent, M. & Sun, Z., Mar 2017, In : Mathematical Programming . 162, 1, p. 363-392

Research output: Contribution to journalArticleScientificpeer-review

Convergence Analysis
Compact Set
Probability density function
Polynomials
Upper bound

Cooperative games with restricted formation of coalitions

Koshevoy, G., Suzuki, T. & Talman, D., Feb 2017, In : Discrete Applied Mathematics. 218, p. 1-13 218.

Research output: Contribution to journalArticleScientificpeer-review

Cooperative Game
Coalitions
Choice Function
Set Systems
Game

Cost allocation for elastic single-attribute situations

Karsten, F., Slikker, M. & Borm, P., Jun 2017, In : Naval Research Logistics. 64, 4, p. 271-286

Research output: Contribution to journalArticleScientificpeer-review

Cost Allocation
Attribute
Costs
Rationality
Fairness
170 Downloads (Pure)

Decomposition of network communication games

Dietzenbacher, B., Borm, P. & Hendrickx, R., Jun 2017, In : Mathematical Methods of Operations Research. 85, 3, p. 407-423

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Network Communication
Telecommunication networks
Game
Decomposition
Decompose

Development cost capitalization during R&D races

Waegenaere, A. M. B., Sansing, R. C. & Wielhouwer, J. L., Sep 2017, In : Contemporary Accounting Research. 34, 3, p. 1522-1546

Research output: Contribution to journalArticleScientificpeer-review

Capitalization
Costs
Aggregate investment
Firm investment
Investment decision
42 Downloads (Pure)

Distance-regular Cayley graphs with least eigenvalue -2

van Dam, E., Abdollahi, A. & Jazaeri, M., 2017, In : Designs, Codes and Cryptography. 84, 1-2, p. 73-85

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Least Eigenvalue
Distance-regular Graph
Cayley Graph
Graph in graph theory
Line Graph

Does everyone use probabilities? The role of cognitive skills

Binswanger, J. S. & Salm, M., Sep 2017, In : European Economic Review. 98, p. 73-85

Research output: Contribution to journalArticleScientificpeer-review

Cognitive skills
Subjective probability
Stock returns
Uncertainty
Stock market returns

Do neighbours influence value-added-tax introduction? A spatial duration analysis

Cizek, P., Lei, J. & Ligthart, J. E., Feb 2017, In : Oxford Bulletin of Economics and Statistics. 79, 1, p. 25-54

Research output: Contribution to journalArticleScientificpeer-review

value added tax
Survival Model
Spatial Model
Tax
Spatial Correlation

Efficient estimation of integrated volatility and related processes

Renault, E., Sarisoy, C. & Werker, B., Apr 2017, In : Econometric Theory. 33, 2, p. 439-478

Research output: Contribution to journalArticleScientificpeer-review

public opinion
efficiency
Efficient estimation
Integrated volatility
Nonparametric bounds

End-of-life medical spending in last twelve months of life is lower than previously reported

French, E., Klein, T. & a., E., Jul 2017, In : Health Affairs. 36, 7, p. 1211-1217

Research output: Contribution to journalArticleScientificpeer-review

Life Expectancy
England
Netherlands
France
Germany
42 Downloads (Pure)

EP-1696: Dose-painting planning with uncertainties in dose-response parameters and in patient positioning

Balvert, M., Breedveld, S., Unkelbach, J., den Hertog, D. & Petit, S., May 2017, In : Radiotherapy and Oncology. 123, S1, p. S927-S928 2 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File

Estimation of extreme depth-based quantile regions

He, Y. & Einmahl, J., Mar 2017, In : Journal of the Royal Statistical Society, Series B. 79, 2, p. 449-461

Research output: Contribution to journalArticleScientificpeer-review

Quantile
Extremes
Halfspace Depth
Extreme Quantiles
Estimator

Existence of optimal consumption strategies in markets with longevity risk

de Kort, J. & Vellekoop, M. H., Jan 2017, In : Insurance: Mathematics and Economics. 72, p. 107-121

Research output: Contribution to journalArticleScientificpeer-review

Mortality Rate
Well-posed Problem
Jump Process
Optimal Portfolio
Expected Utility
602 Downloads (Pure)

Exposure to poverty and productivity

Dalton, P., Gonzalez Jimenez, V. & Noussair, C., Jan 2017, In : PLoS ONE. 12, 1, e0170231.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Productivity
121 Downloads (Pure)

Fall back proper equilibrium

Kleppe, J., Borm, P. & Hendrickx, R., Jul 2017, In : Top . 25, 2, p. 402-412

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Non-cooperative Game
Justification
Refinement
Experiment
216 Downloads (Pure)

Financial fairness and conditional indexation

Kleinow, T. & Schumacher, H., 2017, In : Scandinavian Actuarial Journal. 2017, 8, p. 651-669

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Fairness
Risk Sharing
Categorical or nominal
Overlapping Generations
Joining

Globalized robust optimization for nonlinear uncertain inequalities

Ben-Tal, A., Brekelmans, R., den Hertog, D. & Vial, J. P., Apr 2017, In : INFORMS Journal on Computing. 29, 2, p. 350-366

Research output: Contribution to journalArticleScientificpeer-review

Uncertainty
Robust optimization
Violations
Distance measure
Trade-offs
178 Downloads (Pure)

Health cost risk: A potential solution to the annuity puzzle

Peijnenburg, J. M. J., Nijman, T. & Werker, B., Aug 2017, In : The Economic Journal. 127, 603, p. 1598-1625

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Retirement
Annuities
Health costs
Annuitization
Time to build
45 Downloads (Pure)

Improved convergence rates for Lasserre-type hierarchies of upper bounds for box-constrained polynomial optimization

de Klerk, E., Hess, R. & Laurent, M., 2017, In : SIAM Journal on Optimization. 27, 1, p. 346-367

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Sum of squares
Error Bounds
Convergence Rate
Polynomials
Upper bound

Interaction of pricing, advertising and experience quality: A dynamic analysis

Caulkins, J. P., Feichtinger, G., Grass, D., Hartl, R. F., Seidl, A. & Kort, P., 1 Feb 2017, In : European Journal of Operational Research. 256, 3, p. 877-885

Research output: Contribution to journalArticleScientificpeer-review

Dynamic Analysis
Dynamic analysis
Pricing
Marketing
Interaction

Intergenerational risk sharing in closing pension funds

Boonen, T. J. & De Waegenaere, A., May 2017, In : Insurance: Mathematics & Economics. 74, p. 20-30

Research output: Contribution to journalArticleScientificpeer-review

Iterative improvement of lower and upper bounds for backward SDEs

Bender, C., Gärtner, C. & Schweizer, N., 1 Jan 2017, In : SIAM Journal on Scientific Computing. 39, 2, p. B442-B466

Research output: Contribution to journalArticleScientificpeer-review

Upper and Lower Bounds
Approximation
Iterated integral
Partial differential equations
Semilinear Differential Equations

Matrices with high completely positive semidefinite rank

de Laat, D., Gribling, S. & Laurent, M., 15 Jan 2017, In : Linear Algebra and its Applications. 513, p. 122-148

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Positive semidefinite
Positive Semidefinite Matrix
Completely Positive Matrices
Upper bound
Quantum Information Theory

New job matches and their stability before and during the crisis

Nagore Garcia, A. & van Soest, A., 2017, In : International Journal of Manpower. 38, 7, p. 975-995

Research output: Contribution to journalArticleScientificpeer-review

Economics
Unemployment
Recession
111 Downloads (Pure)

Numerical analysis of Markov-perfect equilibria with multiple stable steady states: A duopoly application with innovative firms

Dawid, H., Keoula, M. Y. & Kort, P., Dec 2017, In : Dynamic Games and Applications. 7, 4, p. 555-577

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Numerical analysis
Numerical Analysis
Numerical methods
Game
Appeal

Off-shore enhanced oil recovery in the North Sea: The impact of price uncertainty on the investment decisions

Compernolle, T., K, W., Huisman, K., K, P. & Kort, P., 1 Feb 2017, In : Energy Policy. 101, p. 123-137

Research output: Contribution to journalArticleScientificpeer-review

enhanced oil recovery
Recovery
oil
emissions trading
economic analysis
150 Downloads (Pure)

On the 1-nucleolus

Estévez-Fernández, M. A., Borm, P., Fiestras, Mosquera & Sanchez, Oct 2017, In : Mathematical Methods of Operations Research. 86, 2, p. 309-329

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Nucleolus
Polynomials
Bankruptcy
Polynomial time
Game
42 Downloads (Pure)

On the closure of the completely positive semidefinite cone and linear approximations to quantum colorings

Burgdorf, S., Laurent, M. & Piovesan, T., 1 Jan 2017, In : Electronic Journal of Linear Algebra. 32, p. 15-40 2.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Positive semidefinite
Linear Approximation
Colouring
Closure
Cone

On the convergence rate of grid search for polynomial optimization over the simplex

de Klerk, E., Laurent, M., Sun, Z. & Vera Lizcano, J., Mar 2017, In : Optimization Letters. 11, 3, p. 597-608

Research output: Contribution to journalArticleScientificpeer-review

Rate of Convergence
Grid
Polynomial
Optimization
Hypergeometric Distribution
84 Downloads (Pure)

On the worst-case complexity of the gradient method with exact line search for smooth strongly convex functions

de Klerk, E., Glineur, F. & Taylor, A., Oct 2017, In : Optimization Letters. 11, 7, p. 1185–1199 15 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Line Search
Gradient Method
Convex function
Gradient Descent Method
Gradient

Optimal strategies for flood prevention

Eijgenraam, C., Brekelmans, R., den Hertog, D. & Roos, C., May 2017, In : Management Science. 63, 5, p. 1644-1656

Research output: Contribution to journalArticleScientificpeer-review

Optimal strategy
The Netherlands
Economics
Climate
Optimal solution

Perfect elimination orderings for symmetric matrices

Laurent, M. & Tanigawa, S., Nov 2017, In : Optimization Letters.

Research output: Contribution to journalArticleScientificpeer-review

Open Access
Symmetric matrix
Elimination
Structured Matrices
Chordal Graphs
Weighted Graph

Possible market entry of a firm with an additive manufacturing technology

Hartl, R. F. & Kort, P., Dec 2017, In : International Journal of Production Economics. 194, p. 190-199

Research output: Contribution to journalArticleScientificpeer-review

3D printers
Product standards
Manufacturing technology
Market entry
Incumbents

Producing the Dutch and Belgian mortality projections: A stochastic multi-population standard

Antonio, K., Devriendt, S., de Boer, W., de Vries, R., De Waegenaere, A., Kan, H-K., Kromme, E., Ouburg, W., Schulteis, T., Slagter, E., van der Winden, M., van Iersel, C. & Vellekoop, M., Dec 2017, In : European actuarial journal. 7, 2, p. 297-336

Research output: Contribution to journalArticleScientificpeer-review

135 Downloads (Pure)

Product innovation with lumpy investment

Chahim, M., Grass, D., Hartl, R. F. & Kort, P., Mar 2017, In : Central European Journal of Operations Research. 25, 1, p. 159-182

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Product innovation
Lumpy investment
Profit
Technological progress
Stadium

Redistribution of longevity risk: The effect of heterogeneous mortality beliefs

Boonen, T., De Waegenaere, A. & Norde, H., Jan 2017, In : Insurance: Mathematics & Economics. 72, p. 175-188

Research output: Contribution to journalArticleScientificpeer-review

Revenues and welfare in auctions with information release

Schweizer, N. & Szech, N., Jul 2017, In : Journal of Economic Theory. 170, p. 86-111

Research output: Contribution to journalArticleScientificpeer-review

Auctions
Revenue
Information release
Incentives
Independent private values

Risk aversion vs. the Omega ratio: Consistency results

Balder, S. & Schweizer, N., May 2017, In : Finance research letters. 21, p. 78-84

Research output: Contribution to journalArticleScientificpeer-review

Risk aversion
Sharpe ratio
Performance measures
Benchmark
Second-order stochastic dominance

Robust mean-variance hedging of longevity risk

Li, H., Waegenaere, A. M. B. & Melenberg, B., Apr 2017, In : Journal of Risk and Insurance. 84, p. 459-475

Research output: Contribution to journalArticleScientificpeer-review

Hedge
Longevity risk
Mean-variance hedging
Probability distribution
Parameter uncertainty
157 Downloads (Pure)

Robust open-loop Nash equilibria in the noncooperative LQ game revisited

Engwerda, J., Sep 2017, In : Optimal Control Applications & Methods. 38, 5, p. 795-813

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Differential Games
Nash Equilibrium
Differential equations
Stabilization
Game
416 Downloads (Pure)

Robust optimization of uncertain multistage inventory systems with inexact data in decision rules

de Ruiter, F., Ben-Tal, A., Brekelmans, R. & den Hertog, D., Jan 2017, In : Computational Management Science. 14, 1, p. 45-66

Research output: Contribution to journalArticleScientificpeer-review

Open Access
File
Information management
Robust optimization
Decision rules
Inventory systems
Planning

Robust shift generation in workforce planning

van Hulst, D., den Hertog, D. & Nuijten, W., Jan 2017, In : Computational Management Science. 14, 1, p. 115–134

Research output: Contribution to journalArticleScientificpeer-review

Planning
Controllers
Air
Uncertainty
Workforce planning

Similarity-first search: A new algorithm with application to Robinsonian matrix recognition

Laurent, M. & Seminaroti, M., 2017, In : SIAM Journal on Discrete Mathematics. 31, 3, p. 1765–1800

Research output: Contribution to journalArticleScientificpeer-review

Breadth-first Search
Interval Graphs
Weighted Graph
Sweep
Combinatorial Algorithms

The composite iteration algorithm for finding efficient and financially fair risk-sharing rules

Pazdera, J., Schumacher, H. & Werker, B., Oct 2017, In : Journal of Mathematical Economics. 72, p. 122-133

Research output: Contribution to journalArticleScientificpeer-review

Risk Sharing
Fairness
Pareto Efficiency
Composite
Iteration