Cosimo Munari

Cosimo Munari is Assistant Professor in Finance and Insurance at the Department of Banking and Finance of the University of Zurich. Previously he has been Postdoctoral Researcher at the Center for Finance and Insurance within the same department. He holds a PhD in Mathematics from the Swiss Federal Institute of Technology in Zurich. He undertook his graduate studies in Mathematics at the University of Milan and in Finance at Collegio Carlo Alberto in Turin. In 2016 he was awarded the Walter Saxer Insurance Prize and in 2017 he received the ACRI Research Prize.

Research Interests

Cosimo Munari works in the area of finance and insurance. His core interest is the application of mathematical and finance theoretical research to a variety of risk management problems arising in insurance, such as risk identification and quantification, capital adequacy, optimal capital allocation, and valuation of insurance products.

Publications

*Journal Article *

• Multi-utility representations of incomplete preferences induced by set-valued risk measures Munari Cosimo In: Finance and Stochastics, Vol. 25, (1), p. 77-99, January 2021
• Surplus-invariant risk measures Munari Cosimo, Gao Niushan In: Mathematics of Operations Research, Vol. 45, (4), p. 1342-1370, November 2020
• Risk measures based on benchmark loss distributions Munari Cosimo, Bignozzi Valeria, Burzoni Matteo In: Journal of Risk and Insurance, Vol. 87, (2), p. 437-475, June 2020
• A continuous selection for optimal portfolios under convex risk measures does not always exist Munari Cosimo, Baes Michel In: Mathematical Methods of Operations Research, Vol. 91, (1), p. 5-23, February 2020
• 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
• Stability properties of Haezendonck–Goovaerts premium principles Munari Cosimo, Gao Niushan, Xanthos Foivos In: Insurance: Mathematics and Economics, Vol. 94, p. 94-99, January 2020
• 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
• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces Munari Cosimo, Gao Niushan, Leung Denny, Xanthos Foivos In: Finance and Stochastics, Vol. 22, (2), p. 395-415, April 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
• 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