| Publication | Date of Publication | Type |
|---|
Advances in multivariate Archimedean copula modeling
Communications in Statistics. Theory and Methods | 2026-01-16 | Paper |
A minimum variance approach to multivariate linear regression with application to actuarial problems
European Actuarial Journal | 2025-12-16 | Paper |
On the distance to the desired terminal surplus distribution under reinsurance
Scandinavian Actuarial Journal | 2025-12-03 | Paper |
The estimation of the mean value of copies of uncertain positions and its relation to the basic structure of quantum mechanics
Foundations of Physics | 2025-07-21 | Paper |
Tail variance and confidence of using tail conditional expectation: analytical representation, capital adequacy, and asymptotics
Advances in Applied Probability | 2025-03-21 | Paper |
Tail variance for generalised hyper-elliptical models
ASTIN Bulletin | 2025-02-26 | Paper |
The location of a minimum variance squared distance functional
Insurance Mathematics & Economics | 2022-07-15 | Paper |
Stein’s Lemma for generalized skew-elliptical random vectors
Communications in Statistics: Theory and Methods | 2022-05-23 | Paper |
An actuarial premium pricing model for nonnormal insurance and financial risks in incomplete markets
North American Actuarial Journal | 2022-01-10 | Paper |
Author reply: ``An actuarial premium pricing model for nonnormal insurance and financial risks in incomplete markets'' by Zinoviy Landsman and Michael Sherris -- discussion by Edward Furman and Ricardas Zitikis
North American Actuarial Journal | 2022-01-10 | Paper |
Exchangeable mortality projection
European Actuarial Journal | 2021-12-17 | Paper |
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Portfolio optimization by a bivariate functional of the mean and variance
Journal of Optimization Theory and Applications | 2020-05-11 | Paper |
Intrinsic objective Bayesian estimation of the mean of the Tweedie family
Scandinavian Actuarial Journal | 2019-08-09 | Paper |
The tail Stein's identity with applications to risk measures
North American Actuarial Journal | 2019-05-28 | Paper |
Conditional tail risk measures for the skewed generalised hyperbolic family
Insurance Mathematics & Economics | 2019-05-23 | Paper |
Lifetime dependence models generated by multiply monotone functions
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
A multivariate tail covariance measure for elliptical distributions
Insurance Mathematics & Economics | 2018-08-28 | Paper |
A generalization of multivariate Pareto distributions: tail risk measures, divided differences and asymptotics
Scandinavian Actuarial Journal | 2018-07-17 | Paper |
Multivariate Tweedie lifetimes: the impact of dependence
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
ASTIN Bulletin | 2018-06-06 | Paper |
Option pricing for symmetric Lévy returns with applications
Asia-Pacific Financial Markets | 2017-08-16 | Paper |
Extended generalized skew-elliptical distributions and their moments
Sankhyā. Series A | 2017-07-17 | Paper |
Tail conditional moments for elliptical and log-elliptical distributions
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Multivariate tail conditional expectation for elliptical distributions
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Modelling lifetime dependence for older ages using a multivariate Pareto distribution
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Minimization of a function of a quadratic functional with application to optimal portfolio selection
Journal of Optimization Theory and Applications | 2016-08-31 | Paper |
Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
Insurance Mathematics & Economics | 2015-12-14 | Paper |
A multivariate Tweedie lifetime model: censoring and truncation
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Some Stein-type inequalities for multivariate elliptical distributions and applications
Statistics & Probability Letters | 2015-05-06 | Paper |
Lifetime dependence modelling using a truncated multivariate gamma distribution
Insurance Mathematics & Economics | 2014-04-04 | Paper |
Tail variance premiums for log-elliptical distributions
Insurance Mathematics & Economics | 2014-04-04 | Paper |
A characterization of optimal portfolios under the tail mean-variance criterion
Insurance Mathematics & Economics | 2014-04-03 | Paper |
A note on Stein's lemma for multivariate elliptical distributions
Journal of Statistical Planning and Inference | 2014-01-24 | Paper |
Parameter uncertainty in exponential family tail estimation
ASTIN Bulletin | 2013-12-12 | Paper |
Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
Insurance Mathematics & Economics | 2012-04-18 | Paper |
On the tail mean-variance optimal portfolio selection
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Multivariate Tweedie distributions and some related capital-at-risk analyses
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Bounds for some general sums of random variables
Statistics & Probability Letters | 2011-03-14 | Paper |
Elliptical families and copulas: tilting and premium; capital allocation
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
Second order minimax estimation of the mean
Journal of Statistical Planning and Inference | 2010-08-19 | Paper |
| On some risk-adjusted tail-based premium calculation principles | 2010-06-07 | Paper |
Multivariate flexible Pareto model: dependency structure, properties and characterizations
Statistics & Probability Letters | 2009-09-14 | Paper |
Option pricing for log-symmetric distributions of returns
Methodology and Computing in Applied Probability | 2009-08-31 | Paper |
Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
ASTIN Bulletin | 2009-06-25 | Paper |
Tail Variance Premium with Applications for Elliptical Portfolio of Risks
ASTIN Bulletin | 2009-06-15 | Paper |
Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
Scandinavian Actuarial Journal | 2009-02-28 | Paper |
Some results on the CTE-based capital allocation rule
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Robustness via a mixture of exponential power distributions
Computational Statistics and Data Analysis | 2008-11-04 | Paper |
Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
Journal of Computational and Applied Mathematics | 2008-08-22 | Paper |
Minimization of the root of a quadratic functional under an affine equality constraint
Journal of Computational and Applied Mathematics | 2008-06-19 | Paper |
| scientific article; zbMATH DE number 5280095 (Why is no real title available?) | 2008-05-28 | Paper |
Stein's lemma for elliptical random vectors
Journal of Multivariate Analysis | 2008-04-16 | Paper |
Asymptotic data analysis on manifolds
The Annals of Statistics | 2007-07-23 | Paper |
| Random volatility and option prices with the generalized Student-\(t\) distribution | 2006-11-07 | Paper |
Sub- and superadditivity à la Carlen of matrices related to the Fisher information
Journal of Statistical Planning and Inference | 2006-10-30 | Paper |
Tail Conditional Expectations for Exponential Dispersion Models
ASTIN Bulletin | 2006-10-04 | Paper |
Second Order Bayes Prediction of Functionals of Exponential Dispersion Distributions and an Application to the Prediction of the Tails
ASTIN Bulletin | 2006-10-04 | Paper |
Exponential dispersion models: second-order minimax estimation of the mean for unknown dispersion parameter
Journal of Statistical Planning and Inference | 2006-08-17 | Paper |
On the generalization of Stein's lemma for elliptical class of distributions
Statistics & Probability Letters | 2006-06-16 | Paper |
Sequential Quasi-Credibility for Scale Dispersion Models
Scandinavian Actuarial Journal | 2006-05-24 | Paper |
Stochastic ordering of bivariate elliptical distributions
Statistics & Probability Letters | 2006-04-28 | Paper |
Risk capital decomposition for a multivariate dependent gamma portfolio
Insurance Mathematics & Economics | 2006-03-08 | Paper |
Tail Conditional Expectations for Elliptical Distributions
North American Actuarial Journal | 2006-01-05 | Paper |
Contaminated Exponential Dispersion Loss Models
North American Actuarial Journal | 2006-01-05 | Paper |
On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
Insurance Mathematics & Economics | 2005-08-05 | Paper |
Risk measures and insurance premium principles.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Credibility theory: A new view from the theory of second order optimal statistics.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Second-order minimax estimation of the mean value for exponential dispersion models
Journal of Statistical Planning and Inference | 2002-01-02 | Paper |
On credibility evaluation and the tail area of the exponential dispersion family
Insurance Mathematics & Economics | 2001-10-04 | Paper |
On the minimum of the Fisher information about the scale parameter and the singular Sturme-Liouville problem
Journal of Statistical Planning and Inference | 2001-09-17 | Paper |
Mean location and sample mean location on manifolds: Asymptotics, tests, confidence regions
Journal of Multivariate Analysis | 2000-08-10 | Paper |
Credibility evaluation for the exponential dispersion family
Insurance Mathematics & Economics | 1999-12-14 | Paper |
On Stochastic Approximation and Credibility
Scandinavian Actuarial Journal | 1999-09-14 | Paper |
Exponential dispersion models and credibility
Scandinavian Actuarial Journal | 1999-03-25 | Paper |
Sequential credibility evaluation for symmetric location claim distributions
Insurance Mathematics & Economics | 1999-01-01 | Paper |
Relation between the covariance and Fisher information matrices
Statistics & Probability Letters | 1999-01-01 | Paper |
Statistical meaning of Carlen's superadditivity of the Fisher information
Statistics & Probability Letters | 1997-11-02 | Paper |
Asymptotic behavior of sample mean direction for spheres
Journal of Multivariate Analysis | 1996-12-08 | Paper |
| scientific article; zbMATH DE number 887398 (Why is no real title available?) | 1996-11-03 | Paper |
Sample quantiles and additive statistics: Information, sufficiency, estimation
Journal of Statistical Planning and Inference | 1996-10-28 | Paper |
Asymptotic behavior of sample mean location for manifolds
Statistics & Probability Letters | 1996-10-27 | Paper |
On distances and goodness-of-fit tests for detecting multimodal distributions
Metrika | 1996-06-06 | Paper |
| scientific article; zbMATH DE number 16732 (Why is no real title available?) | 1992-06-26 | Paper |
Second-order asymptotic minimax estimation in the presence of a nuisance parameter
Problems of Information Transmission | 1992-06-25 | Paper |
| scientific article; zbMATH DE number 4169845 (Why is no real title available?) | 1990-01-01 | Paper |
An informational analog of the theorem of independence of sample mean and sample variance
Journal of Soviet Mathematics | 1988-01-01 | Paper |
Sample quantiles: Estimation, information, sufficiency
Journal of Soviet Mathematics | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3998962 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3967646 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3833108 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3864286 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3684679 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3684680 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3602497 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3682809 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3553532 (Why is no real title available?) | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3556990 (Why is no real title available?) | 1976-01-01 | Paper |
