| Publication | Date of Publication | Type |
|---|
The 3-step hedge-based valuation: fair valuation in the presence of systematic risks
ASTIN Bulletin | 2023-07-13 | Paper |
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Scandinavian Actuarial Journal | 2023-04-18 | Paper |
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
Scandinavian Actuarial Journal | 2023-03-13 | Paper |
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
Insurance Mathematics & Economics | 2023-02-01 | Paper |
Monotone tail functions: definitions, properties, and application to risk-reducing strategies
Journal of Computational and Applied Mathematics | 2022-08-04 | Paper |
The multivariate variance gamma model: basket option pricing and calibration
Quantitative Finance | 2021-07-16 | Paper |
Comonotonic asset prices in arbitrage-free markets
Journal of Computational and Applied Mathematics | 2019-12-16 | Paper |
American-type basket option pricing: a simple two-dimensional partial differential equation
Quantitative Finance | 2019-10-11 | Paper |
Aggregating risks with partial dependence information
North American Actuarial Journal | 2019-05-28 | Paper |
Affordable and adequate annuities with stable payouts: fantasy or reality?
Insurance Mathematics & Economics | 2019-05-23 | Paper |
Basket option pricing and implied correlation in a one-factor Lévy model
Innovations in Derivatives Markets | 2018-10-22 | Paper |
Stochastic modelling of herd behaviour indices
Quantitative Finance | 2018-09-19 | Paper |
Ordered random vectors and equality in distribution
Scandinavian Actuarial Journal | 2018-07-10 | Paper |
Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
Insurance Mathematics & Economics | 2017-09-19 | Paper |
A framework for robust measurement of implied correlation
Journal of Computational and Applied Mathematics | 2015-08-26 | Paper |
On an optimization problem related to static super-replicating strategies
Journal of Computational and Applied Mathematics | 2014-11-27 | Paper |
The multivariate Black \& Scholes market: conditions for completeness and no-arbitrage
Theory of Probability and Mathematical Statistics | 2014-10-15 | Paper |
FIX: the fear index -- measuring market fear
Topics in Numerical Methods for Finance | 2014-09-29 | Paper |
A multivariate dependence measure for aggregating risks
Journal of Computational and Applied Mathematics | 2014-07-17 | Paper |
On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
Insurance Mathematics & Economics | 2014-04-10 | Paper |
Remarks on quantiles and distortion risk measures
European Actuarial Journal | 2013-02-05 | Paper |
The herd behavior index: a new measure for the implied degree of co-movement in stock markets
Insurance Mathematics & Economics | 2012-05-11 | Paper |
