| Publication | Date of Publication | Type |
|---|
Tail risk driven by investment losses and exogenous shocks
ASTIN Bulletin | 2025-01-22 | Paper |
Worst-case moments under partial ambiguity
ASTIN Bulletin | 2023-07-13 | Paper |
Pricing extreme mortality risk in the wake of the COVID-19 pandemic
Insurance Mathematics & Economics | 2023-02-03 | Paper |
Insurance risk analysis of financial networks vulnerable to a shock
European Journal of Operational Research | 2022-05-20 | Paper |
| scientific article; zbMATH DE number 7491810 (Why is no real title available?) | 2022-03-17 | Paper |
Portfolio risk analysis of excess of loss reinsurance
Insurance Mathematics & Economics | 2022-03-10 | Paper |
Universally marketable insurance under multivariate mixtures
ASTIN Bulletin | 2021-10-20 | Paper |
Large portfolio losses in a turbulent market
European Journal of Operational Research | 2021-06-07 | Paper |
Indifference pricing of insurance-linked securities in a multi-period model
European Journal of Operational Research | 2021-06-03 | Paper |
Liquidation risk in insurance under contemporary regulatory frameworks
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Analyzing mortality bond indexes via hierarchical forecast reconciliation
ASTIN Bulletin | 2019-11-22 | Paper |
On additivity of tail comonotonic risks
Scandinavian Actuarial Journal | 2019-11-06 | Paper |
CAT bond pricing under a product probability measure with pot risk characterization
ASTIN Bulletin | 2019-05-29 | Paper |
Asymptotic analysis of the loss given default in the presence of multivariate regular variation
North American Actuarial Journal | 2019-05-15 | Paper |
Interplay of insurance and financial risks in a stochastic environment
Scandinavian Actuarial Journal | 2019-05-10 | Paper |
Robust Actuarial Risk Analysis
North American Actuarial Journal | 2019-05-08 | Paper |
Sharp asymptotics for large portfolio losses under extreme risks
European Journal of Operational Research | 2019-03-12 | Paper |
A limit distribution of credit portfolio losses with low default probabilities
Insurance Mathematics & Economics | 2017-11-23 | Paper |
Random difference equations with subexponential innovations
Science China. Mathematics | 2017-05-05 | Paper |
| Capital requirements, risk measures and comonotonicity | 2017-03-13 | Paper |
| Some useful counterexamples regarding comonotonicity | 2017-03-13 | Paper |
Risk reducers in convex order
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
Bernoulli | 2015-08-05 | Paper |
Interplay of insurance and financial risks in a discrete-time model with strongly regular variation
Bernoulli | 2015-08-05 | Paper |
Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function
Insurance Mathematics & Economics | 2015-02-03 | Paper |
Randomly weighted sums of subexponential random variables with application to capital allocation
Extremes | 2015-01-23 | Paper |
A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization
North American Actuarial Journal | 2014-07-19 | Paper |
Reducing risk by merging counter-monotonic risks
Insurance Mathematics & Economics | 2014-06-23 | Paper |
A time-homogeneous diffusion model with tax
Journal of Applied Probability | 2013-04-25 | Paper |
Remarks on quantiles and distortion risk measures
European Actuarial Journal | 2013-02-05 | Paper |
Asymptotic ruin probabilities for a bivariate Lévy-driven risk model with heavy-tailed claims and risky investments
Journal of Applied Probability | 2013-01-19 | Paper |
On the Haezendonck-Goovaerts risk measure for extreme risks
Insurance Mathematics & Economics | 2012-04-18 | Paper |
Heavy tails of a Lévy process and its maximum over a random time interval
Science China. Mathematics | 2012-03-29 | Paper |
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Asymptotics of random contractions
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Asymptotics for risk capital allocations based on conditional tail expectation
Insurance Mathematics & Economics | 2011-12-21 | Paper |
Characterization of upper comonotonicity via tail convex order
Insurance Mathematics & Economics | 2011-08-01 | Paper |
The product of two dependent random variables with regularly varying or rapidly varying tails
Statistics & Probability Letters | 2011-07-26 | Paper |
The subexponential product convolution of two Weibull-type distributions
Journal of the Australian Mathematical Society | 2011-06-14 | Paper |
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
Advances in Applied Probability | 2011-02-09 | Paper |
A note on max-sum equivalence
Statistics & Probability Letters | 2010-12-20 | Paper |
The probabilities of absolute ruin in the renewal risk model with constant force of interest
Journal of Applied Probability | 2010-07-20 | Paper |
Asymptotic tail probabilities of sums of dependent subexponential random variables
Journal of Theoretical Probability | 2010-01-04 | Paper |
Asymptotic ruin probabilities of the Lévy insurance model under periodic taxation
ASTIN Bulletin | 2009-12-22 | Paper |
From light tails to heavy tails through multiplier
Extremes | 2009-08-08 | Paper |
On the Maximum Exceedance of a Sequence of Random Variables Over a Renewal Threshold
Journal of Applied Probability | 2009-07-15 | Paper |
| scientific article; zbMATH DE number 5504846 (Why is no real title available?) | 2009-02-09 | Paper |
Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
Insurance Mathematics & Economics | 2009-01-16 | Paper |
A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
Insurance Mathematics & Economics | 2008-08-18 | Paper |
Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums
Stochastic Analysis and Applications | 2008-06-12 | Paper |
Sums of Dependent Nonnegative Random Variables with Subexponential Tails
Journal of Applied Probability | 2008-04-30 | Paper |
Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model
Journal of Applied Probability | 2008-02-22 | Paper |
The impact on ruin probabilities of the association structure among financial risks
Statistics & Probability Letters | 2008-01-21 | Paper |
The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
The subexponentiality of products revisited
Extremes | 2007-12-16 | Paper |
On the ruin probabilities of a bidimensional perturbed risk model
Insurance Mathematics & Economics | 2007-07-19 | Paper |
A large deviation result for aggregate claims with dependent claim occurrences
Insurance Mathematics & Economics | 2007-05-24 | Paper |
Tail asymptotics for Pollaczek-Khinchin type series with applications to ruin in perturbed model
Southeast Asian Bulletin of Mathematics | 2007-04-10 | Paper |
The overshoot of a random walk with negative drift
Statistics & Probability Letters | 2007-03-15 | Paper |
Risk Measures and Comonotonicity: A Review
Stochastic Models | 2007-02-15 | Paper |
On convolution equivalence with applications
Bernoulli | 2006-11-06 | Paper |
Insensitivity to negative dependence of the asymptotic behavior of precise large deviations
Electronic Journal of Probability | 2006-11-03 | Paper |
A note on the ruin probability in the delayed renewal risk model
Southeast Asian Bulletin of Mathematics | 2006-10-24 | Paper |
A sharp inequality for the tail probabilities of sums of i.i.d. r.v.'s with dominatedly varying tails
Science in China. Series A | 2006-09-22 | Paper |
An asymptotic relationship for ruin probabilities under heavy-tailed claims
Science in China. Series A | 2006-09-22 | Paper |
Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
Stochastic Models | 2006-07-13 | Paper |
ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS
Probability in the Engineering and Informational Sciences | 2006-05-09 | Paper |
The finite-time ruin probability of the compound Poisson model with constant interest force
Journal of Applied Probability | 2006-01-26 | Paper |
Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
North American Actuarial Journal | 2006-01-05 | Paper |
Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
North American Actuarial Journal | 2006-01-05 | Paper |
Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Weighted sums of subexponential random variables and their maxima
Advances in Applied Probability | 2005-09-29 | Paper |
A comonotonic image of independence for additive risk measures
Insurance Mathematics & Economics | 2005-08-05 | Paper |
Two-sided bounds for ruin probability under constant interest force
Journal of Mathematical Sciences (New York) | 2005-06-28 | Paper |
Maxima of sums and random sums for negatively associated random variables with heavy tails
Statistics & Probability Letters | 2005-04-21 | Paper |
Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
Advances in Applied Probability | 2005-04-05 | Paper |
A Unified Approach to Generate Risk Measures
ASTIN Bulletin | 2005-03-30 | Paper |
Maxima of Sums of Heavy-Tailed Random Variables
ASTIN Bulletin | 2005-03-30 | Paper |
Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
Stochastic Models | 2005-01-19 | Paper |
On the moments of the severity of ruin in the delayed renewal risk model under heavy-tailed claims
Southeast Asian Bulletin of Mathematics | 2004-10-28 | Paper |
Precise large deviations for sums of random variables with consistently varying tails
Journal of Applied Probability | 2004-09-24 | Paper |
Randomly weighted sums of subexponential random variables with application to ruin theory
Extremes | 2004-09-24 | Paper |
On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
Journal of Applied Probability | 2004-09-24 | Paper |
Asymptotic behavior of tail and local probabilities for sums of subexponential random variables
Journal of Applied Probability | 2004-09-24 | Paper |
| scientific article; zbMATH DE number 2075771 (Why is no real title available?) | 2004-06-18 | Paper |
A NOTE ON THE SEVERITY OF RUIN IN THE RENEWAL MODEL WITH CLAIMS OF DOMINATED VARIATION
Bulletin of the Korean Mathematical Society | 2004-05-27 | Paper |
UNIFORM ESTIMATES FOR THE TAIL PROBABILITY OF MAXIMA OVER FINITE HORIZONS WITH SUBEXPONENTIAL TAILS
Probability in the Engineering and Informational Sciences | 2004-03-29 | Paper |
Extension of some classical results on ruin probability to delayed renewal model
Acta Mathematicae Applicatae Sinica. English Series | 2004-02-27 | Paper |
Precise large deviations for the prospective-loss process
Journal of Applied Probability | 2003-11-17 | Paper |
Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Characterizations on heavy-tailed distributions by means of hazard rate.
Acta Mathematicae Applicatae Sinica. English Series | 2003-09-23 | Paper |
Approximations for moments of deficit at ruin with exponential and subexponential claims.
Statistics & Probability Letters | 2003-05-07 | Paper |
| scientific article; zbMATH DE number 1866531 (Why is no real title available?) | 2003-02-11 | Paper |
| scientific article; zbMATH DE number 1833162 (Why is no real title available?) | 2003-02-06 | Paper |
Ruin probabilities for large claims in delayed renewal risk model
Southeast Asian Bulletin of Mathematics | 2002-12-01 | Paper |
A contribution to large deviations for heavy-tailed random sums
Science in China. Series A | 2002-08-15 | Paper |
A theorem on the convergence of sums of independent random variables
Acta Mathematica Scientia. Series B. (English Edition) | 2002-06-18 | Paper |
Large deviations for heavy-tailed random sums in compound renewal model
Statistics & Probability Letters | 2002-01-04 | Paper |
| scientific article; zbMATH DE number 1563767 (Why is no real title available?) | 2001-08-02 | Paper |
| scientific article; zbMATH DE number 1536507 (Why is no real title available?) | 2000-11-28 | Paper |
