| Publication | Date of Publication | Type |
|---|
Is accumulation risk in cyber methodically underestimated?
European Actuarial Journal | 2024-12-05 | Paper |
A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population
European Actuarial Journal | 2024-08-26 | Paper |
Modeling credit portfolio derivatives, including both a default and a prepayment feature
Applied Stochastic Models in Business and Industry | 2024-07-10 | Paper |
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
Frontiers of Mathematical Finance | 2024-01-15 | Paper |
When copulas and smoothing met: an interview with Irène Gijbels
Dependence Modeling | 2023-06-26 | Paper |
Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
Extremes | 2023-03-02 | Paper |
A comprehensive model for cyber risk based on marked point processes and its application to insurance
European Actuarial Journal | 2022-07-27 | Paper |
The standard formula of Solvency II: a critical discussion
European Actuarial Journal | 2021-12-17 | Paper |
A probabilistic view on semilinear copulas
Information Sciences | 2021-03-18 | Paper |
Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes
| 2020-10-07 | Paper |
On the structure of exchangeable extreme-value copulas
Journal of Multivariate Analysis | 2020-09-29 | Paper |
Exogenous shock models: analytical characterization and probabilistic construction
Metrika | 2019-11-20 | Paper |
Subordinators which are infinitely divisible w.r.t. time: construction, properties, and simulation of max-stable sequences and infinitely divisible laws
| 2019-10-11 | Paper |
Reconstructing the topology of financial networks from degree distributions and reciprocity
Journal of Multivariate Analysis | 2019-07-02 | Paper |
Modeling influenza-like illness activity in the United States
North American Actuarial Journal | 2019-05-28 | Paper |
Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li
Dependence Modeling | 2018-11-01 | Paper |
My introduction to copulas. An interview with Roger Nelsen
Dependence Modeling | 2018-11-01 | Paper |
Membership testing for Bernoulli and tail-dependence matrices
Journal of Multivariate Analysis | 2018-10-16 | Paper |
A multivariate default model with spread and event risk
Applied Mathematical Finance | 2018-09-11 | Paper |
A multivariate claim count model for applications in insurance
Springer Actuarial | 2018-06-29 | Paper |
Emil J. Gumbel's last course on the ``Statistical theory of extreme values: a conversation with Tuncel M. Yegulalp
Extremes | 2018-04-16 | Paper |
The vine philosopher
Dependence Modeling | 2018-02-15 | Paper |
Book Reviews
Journal of the American Statistical Association | 2017-10-13 | Paper |
Simulating Copulas
Series in Quantitative Finance | 2017-07-27 | Paper |
A survey of dynamic representations and generalizations of the Marshall-Olkin distribution
Springer Proceedings in Mathematics & Statistics | 2017-07-05 | Paper |
The mean of Marshall-Olkin-dependent exponential random variables
Springer Proceedings in Mathematics & Statistics | 2017-07-05 | Paper |
Two novel characterizations of self-decomposability on the half-line
Journal of Theoretical Probability | 2017-04-12 | Paper |
Distributions with given marginals: the beginnings. An interview with Giorgio Dall'Aglio
Dependence Modeling | 2016-12-20 | Paper |
Extremal dependence for bilateral credit valuation adjustments
International Journal of Theoretical and Applied Finance | 2016-12-08 | Paper |
Stat Trek. An interview with Christian Genest
Dependence Modeling | 2016-10-17 | Paper |
Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach
Statistics \& Risk Modeling | 2016-06-09 | Paper |
An Analytical Characterization of the Exchangeable Wide-Sense Geometric Law
Synergies of Soft Computing and Statistics for Intelligent Data Analysis | 2016-05-13 | Paper |
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
Statistics \& Probability Letters | 2016-05-04 | Paper |
Exchangeable exogenous shock models
Bernoulli | 2016-04-01 | Paper |
Bivariate extreme-value copulas with discrete Pickands dependence measure
Extremes | 2016-01-22 | Paper |
A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf
Dependence Modeling | 2016-01-21 | Paper |
Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
European Actuarial Journal | 2015-07-29 | Paper |
Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals
Springer Proceedings in Mathematics & Statistics | 2015-07-03 | Paper |
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
Dependence Modeling | 2015-06-23 | Paper |
Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
Dependence Modeling | 2015-06-23 | Paper |
On the calibration of distortion risk measures to bid-ask prices
Quantitative Finance | 2015-04-08 | Paper |
Efficiently pricing double barrier derivatives in stochastic volatility models
Review of Derivatives Research | 2015-01-23 | Paper |
Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time
Extremes | 2014-12-17 | Paper |
Extendibility of Marshall-Olkin distributions and inverse Pascal triangles
Brazilian Journal of Probability and Statistics | 2014-11-12 | Paper |
Model risk and uncertainty -- illustrated with examples from mathematical finance
Risk - A Multidisciplinary Introduction | 2014-06-30 | Paper |
What makes dependence modeling challenging? Pitfalls and ways to circumvent them
Statistics \& Risk Modeling | 2014-01-22 | Paper |
CIID frailty models and implied copulas
Copulae in Mathematical and Quantitative Finance | 2013-09-20 | Paper |
Double-barrier first-passage times of jump-diffusion processes
Monte Carlo Methods and Applications | 2013-08-28 | Paper |
Capturing parameter risk with convex risk measures
European Actuarial Journal | 2013-08-20 | Paper |
Sampling exchangeable and hierarchical Marshall-Olkin distributions
Communications in Statistics: Theory and Methods | 2013-05-13 | Paper |
Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws
Journal of Multivariate Analysis | 2013-03-12 | Paper |
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
Metrika | 2013-02-21 | Paper |
Shot-noise driven multivariate default models
European Actuarial Journal | 2013-02-05 | Paper |
\(H\)-extendible copulas
Journal of Multivariate Analysis | 2012-08-13 | Paper |
Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
Series in Quantitative Finance | 2012-03-12 | Paper |
A note on first-passage times of continuously time-changed Brownian motion
Statistics \& Probability Letters | 2011-12-28 | Paper |
CDO pricing with nested Archimedean copulas
Quantitative Finance | 2011-06-07 | Paper |
Reparameterizing Marshall–Olkin copulas with applications to sampling
Journal of Statistical Computation and Simulation | 2011-02-03 | Paper |
Multivariate hierarchical copulas with shocks
Methodology and Computing in Applied Probability | 2010-11-22 | Paper |
Efficiently pricing barrier options in a Markov-switching framework
Journal of Computational and Applied Mathematics | 2010-10-11 | Paper |
Modeling and pricing credit derivatives
| 2010-09-02 | Paper |
Constructing hierarchical archimedean copulas with Lévy subordinators
Journal of Multivariate Analysis | 2010-05-05 | Paper |
The Pickands representation of survival Marshall-Olkin copulas
Statistics \& Probability Letters | 2010-03-01 | Paper |
Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
Information Sciences | 2009-10-01 | Paper |
A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE
International Journal of Theoretical and Applied Finance | 2009-08-03 | Paper |
Lévy-frailty copulas
Journal of Multivariate Analysis | 2009-06-09 | Paper |
The number of nonisomorphic two-dimensional algebras over a finite field
Results in Mathematics | 2004-10-28 | Paper |
