| Publication | Date of Publication | Type |
|---|
Risk Revealed
| 2024-01-03 | Paper |
Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
Lecture Notes in Mathematics | 2023-12-03 | Paper |
Bayes risk, elicitability, and the Expected Shortfall
Mathematical Finance | 2023-09-28 | Paper |
Ermanno Pitacco (1947–2022)
ASTIN Bulletin | 2023-06-26 | Paper |
Robustness in the optimization of risk measures
Operations Research | 2022-02-18 | Paper |
Data-driven polynomial chaos expansion for machine learning regression
Journal of Computational Physics | 2021-01-25 | Paper |
Quantile-based risk sharing
Operations Research | 2020-10-12 | Paper |
Quantile-based risk sharing with heterogeneous beliefs
Mathematical Programming. Series A. Series B | 2020-06-15 | Paper |
Space-time max-stable models with spectral separability
Advances in Applied Probability | 2019-09-23 | Paper |
Where mathematics, insurance and finance meet
Quantitative Finance | 2019-01-14 | Paper |
Old-age provision: past, present, future
European Actuarial Journal | 2017-06-06 | Paper |
Dependence uncertainty for aggregate risk: examples and simple bounds
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Bernoulli and tail-dependence compatibility
The Annals of Applied Probability | 2016-08-23 | Paper |
Seven proofs for the subadditivity of expected shortfall
Dependence Modeling | 2016-01-21 | Paper |
Aggregation-robustness and model uncertainty of regulatory risk measures
Finance and Stochastics | 2015-11-09 | Paper |
Four theorems and a financial crisis
International Journal of Approximate Reasoning | 2015-07-10 | Paper |
scientific article; zbMATH DE number 6448277 (Why is no real title available?)
| 2015-06-22 | Paper |
Book Reviews
Journal of the American Statistical Association | 2015-06-10 | Paper |
Quantitative risk management. Concepts, techniques and tools
| 2015-06-04 | Paper |
Aggregation of log-linear risks
Journal of Applied Probability | 2015-04-14 | Paper |
Extreme-quantile tracking for financial time series
Journal of Econometrics | 2014-06-04 | Paper |
Book Reviews
Journal of the American Statistical Association | 2014-05-02 | Paper |
Book Reviews
Journal of the American Statistical Association | 2014-05-02 | Paper |
STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
ASTIN Bulletin | 2014-02-27 | Paper |
A note on generalized inverses
Mathematical Methods of Operations Research | 2013-08-02 | Paper |
The shape of asymptotic dependence
Springer Proceedings in Mathematics & Statistics | 2013-07-08 | Paper |
Sensitivity of the limit shape of sample clouds from meta densities
Bernoulli | 2013-01-17 | Paper |
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
Stochastics | 2012-12-13 | Paper |
Comments on: Inference in multivariate Archimedean copula models
Test | 2012-11-15 | Paper |
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
Bernoulli | 2012-09-19 | Paper |
The wizards of Wall Street: did mathematics change finance?
Nieuw Archief voor Wiskunde. Vijfde Serie | 2012-06-07 | Paper |
Scaling of high-quantile estimators
Journal of Applied Probability | 2012-01-04 | Paper |
Risk margin for a non-life insurance run-off
Statistics & Risk Modeling | 2011-12-23 | Paper |
Practices and issues in operational risk modeling under Basel II
Lithuanian Mathematical Journal | 2011-12-01 | Paper |
Multivariate Hawkes processes: an application to financial data
Journal of Applied Probability | 2011-10-25 | Paper |
AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES
International Journal of Modern Physics B | 2011-08-20 | Paper |
How to model operational risk if you must
Operations Research Proceedings | 2011-04-07 | Paper |
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
Extremes | 2011-02-22 | Paper |
Revisiting the Edge, Ten Years On
Communications in Statistics: Theory and Methods | 2010-08-19 | Paper |
The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
ASTIN Bulletin | 2010-06-21 | Paper |
Meta densities and the shape of their sample clouds
Journal of Multivariate Analysis | 2010-05-21 | Paper |
Bounds for the sum of dependent risks having overlapping marginals
Journal of Multivariate Analysis | 2009-11-27 | Paper |
Different Kinds of Risk
Handbook of Financial Time Series | 2009-11-27 | Paper |
Panjer recursion versus FFT for compound distributions
Mathematical Methods of Operations Research | 2009-07-06 | Paper |
On Esscher Transforms in Discrete Finance Models
ASTIN Bulletin | 2009-06-15 | Paper |
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
Insurance Mathematics & Economics | 2009-05-12 | Paper |
The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
ASTIN Bulletin | 2009-01-28 | Paper |
EVT-based estimation of risk capital and convergence of high quantiles
Advances in Applied Probability | 2008-11-13 | Paper |
Extreme VaR scenarios in higher dimensions
Extremes | 2007-12-16 | Paper |
High risk scenarios and extremes. A geometric approach
Zurich Lectures in Advanced Mathematics | 2007-09-11 | Paper |
Bounds for functions of dependent risks
Finance and Stochastics | 2006-12-08 | Paper |
Bounds for functions of multivariate risks
Journal of Multivariate Analysis | 2006-04-28 | Paper |
Extreme Value Theory as a Risk Management Tool
North American Actuarial Journal | 2006-01-13 | Paper |
scientific article; zbMATH DE number 2231189 (Why is no real title available?)
| 2005-11-21 | Paper |
Strategic long-term financial risks: single risk factors
Computational Optimization and Applications | 2005-11-16 | Paper |
Worst VaR scenarios
Insurance Mathematics & Economics | 2005-09-29 | Paper |
Using copulae to bound the value-at-risk for functions of dependent risks
Finance and Stochastics | 2004-03-16 | Paper |
Ruin problem and how fast stochastic processes mix
The Annals of Applied Probability | 2003-05-06 | Paper |
scientific article; zbMATH DE number 1865403 (Why is no real title available?)
| 2003-02-06 | Paper |
scientific article; zbMATH DE number 1795844 (Why is no real title available?)
| 2002-10-08 | Paper |
scientific article; zbMATH DE number 1808203 (Why is no real title available?)
| 2002-09-26 | Paper |
Stochastic processes in insurance and finance
| 2002-02-03 | Paper |
Recursive estimation of distributional fix-points
Journal of Applied Probability | 2001-10-08 | Paper |
HARCH processes are heavy tailed
Extremes | 2000-05-24 | Paper |
scientific article; zbMATH DE number 1301875 (Why is no real title available?)
| 1999-10-17 | Paper |
scientific article; zbMATH DE number 1223592 (Why is no real title available?)
| 1999-06-20 | Paper |
scientific article; zbMATH DE number 1234545 (Why is no real title available?)
| 1999-03-14 | Paper |
scientific article; zbMATH DE number 1026574 (Why is no real title available?)
| 1997-06-24 | Paper |
An introduction to wavelets with applications to Andrews' plots
Journal of Computational and Applied Mathematics | 1997-04-09 | Paper |
Confidence bounds for the adjustment coefficient
Advances in Applied Probability | 1996-12-09 | Paper |
A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
The Annals of Applied Probability | 1996-08-14 | Paper |
Sample quantiles of heavy tailed stochastic processes
Stochastic Processes and their Applications | 1996-06-30 | Paper |
Risk theory of the second and third kind
Scandinavian Actuarial Journal | 1995-11-28 | Paper |
Longest runs in coin tossing
Insurance Mathematics & Economics | 1995-07-03 | Paper |
Ruin estimation for a general insurance risk model
Advances in Applied Probability | 1995-04-26 | Paper |
Stochastic Discounting, Aggregate Claims, and the Bootstrap
Advances in Applied Probability | 1995-03-01 | Paper |
scientific article; zbMATH DE number 482636 (Why is no real title available?)
| 1994-11-29 | Paper |
scientific article; zbMATH DE number 549520 (Why is no real title available?)
| 1994-09-11 | Paper |
Modelling of extremal events in insurance and finance
ZOR Zeitschrift f�r Operations Research Mathematical Methods of Operations Research | 1994-04-28 | Paper |
Finite-time Lundberg inequalities in the Cox case
Scandinavian Actuarial Journal | 1994-04-26 | Paper |
Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday
Statistica Neerlandica | 1993-05-16 | Paper |
scientific article; zbMATH DE number 123485 (Why is no real title available?)
| 1993-02-18 | Paper |
A bootstrap procedure for estimating the adjustment coefficients
Insurance Mathematics & Economics | 1992-06-28 | Paper |
Variations of Andrews' Plots
International Statistical Review / Revue Internationale de Statistique | 1991-01-01 | Paper |
scientific article; zbMATH DE number 4195001 (Why is no real title available?)
| 1990-01-01 | Paper |
Martingales and insurance risk
Communications in Statistics. Stochastic Models | 1989-01-01 | Paper |
Ruin estimates for large claims
Insurance Mathematics & Economics | 1988-01-01 | Paper |
An Abelian theorem for a general class of Mellin-type integral transforms
Journal of Mathematical Analysis and Applications | 1988-01-01 | Paper |
scientific article; zbMATH DE number 3913411 (Why is no real title available?)
| 1985-01-01 | Paper |
Approximations for compound Poisson and Pólya processes
Advances in Applied Probability | 1985-01-01 | Paper |
Some Limit Theorems for Generalized Renewal Measures
Journal of the London Mathematical Society | 1985-01-01 | Paper |
A property of longtailed distributions
Journal of Applied Probability | 1984-01-01 | Paper |
A renewal theorem of Blackwell type
The Annals of Probability | 1984-01-01 | Paper |
The central limit theorem for summability methods of I.I.D. random variables
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3894231 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3965077 (Why is no real title available?)
| 1984-01-01 | Paper |
A property of the generalized inverse Gaussian distribution with some applications
Journal of Applied Probability | 1983-01-01 | Paper |
On subordinated distributions and random record processes
Mathematical Proceedings of the Cambridge Philosophical Society | 1983-01-01 | Paper |
On convolution tails
Stochastic Processes and their Applications | 1982-01-01 | Paper |
Estimates for the probability of ruin with special emphasis on the possibility of large claims
Insurance Mathematics & Economics | 1982-01-01 | Paper |
scientific article; zbMATH DE number 3766767 (Why is no real title available?)
| 1982-01-01 | Paper |
Comparing the tail of an infinitely divisible distribution with integrals of its Levy measure
The Annals of Probability | 1981-01-01 | Paper |
scientific article; zbMATH DE number 3662269 (Why is no real title available?)
| 1980-01-01 | Paper |
scientific article; zbMATH DE number 3708969 (Why is no real title available?)
| 1980-01-01 | Paper |
Subexponentiality and infinite divisibility
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1979-01-01 | Paper |
Erratum to "On a Theorem of E. Lukacs"
Proceedings of the American Mathematical Society | 1979-01-01 | Paper |
On a Theorem of E. Lukacs
| 1978-01-01 | Paper |
A Second-Order Theorem for Laplace Transforms
Journal of the London Mathematical Society | 1978-01-01 | Paper |
An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
| N/A | Paper |
