| Publication | Date of Publication | Type |
|---|
On the computation of the capital multiplier in the Fortis credit economic capital model
| 2017-03-13 | Paper |
Capital requirements, risk measures and comonotonicity
| 2017-03-13 | Paper |
Some useful counterexamples regarding comonotonicity
| 2017-03-13 | Paper |
A note on the stop-loss preserving property of Wang's premium principle
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
Convex order approximations in the case of cash flows of mixed signs
Insurance Mathematics & Economics | 2014-04-14 | Paper |
On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
Insurance Mathematics & Economics | 2014-04-10 | Paper |
Risk measures and dependencies of risks
Brazilian Journal of Probability and Statistics | 2013-09-16 | Paper |
Decision principles derived from risk measures
HERMIS-\(\mu\pi\). Hellenic European Research on Mathematics and Informatics Science | 2012-07-02 | Paper |
Decision principles derived from risk measures
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Optimal portfolio selection for general provisioning and terminal wealth problems
Insurance Mathematics & Economics | 2012-02-10 | Paper |
A note on additive risk measures in rank-dependent utility
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Worst case risk measurement: back to the future?
Insurance Mathematics & Economics | 2011-12-21 | Paper |
A recursive approach to mortality-linked derivative pricing
Insurance Mathematics & Economics | 2011-08-02 | Paper |
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
Journal of Computational and Applied Mathematics | 2011-04-13 | Paper |
Some new classes of consistent risk measures
Insurance Mathematics & Economics | 2010-06-20 | Paper |
Consistent assumptions for modeling credit loss correlations
| 2010-06-07 | Paper |
Comonotonicity and maximal stop-loss premiums
| 2010-05-27 | Paper |
scientific article; zbMATH DE number 5640261 (Why is no real title available?)
| 2009-11-27 | Paper |
Spectral decomposition of optimal asset-liability management
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
Actuarial risk measures for financial derivative pricing
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Optimal approximations for risk measures of sums of lognormals based on conditional expectations
Journal of Computational and Applied Mathematics | 2008-10-22 | Paper |
scientific article; zbMATH DE number 5321684 (Why is no real title available?)
| 2008-09-05 | Paper |
Managing Economic and Virtual Economic Capital Within Financial Conglomerates
North American Actuarial Journal | 2008-08-12 | Paper |
The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
On the distribution of discounted loss reserves using generalized linear models
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
A note on some new perpetuities
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
Risk Measures and Comonotonicity: A Review
Stochastic Models | 2007-02-15 | Paper |
SELF EXCITING THRESHOLD INTEREST RATES MODELS
International Journal of Theoretical and Applied Finance | 2007-02-08 | Paper |
Risk measurement with equivalent utility principles
Statistics & Risk Modeling | 2007-01-30 | Paper |
Some asymptotic results for sums of dependent random variables, with actuarial applications
Insurance Mathematics & Economics | 2006-01-10 | Paper |
Approximations for life annuity contracts in a stochastic financial environment
Insurance Mathematics & Economics | 2006-01-10 | Paper |
“Risk and Discounted Loss Reserves,” Greg Taylor, January 2004
North American Actuarial Journal | 2006-01-06 | Paper |
Stable Laws and the Present Value of Fixed Cash Flows
North American Actuarial Journal | 2006-01-05 | Paper |
“Pricing Lookback Options and Dynamic Guarantees,” Hans U. Gerber and Elias S. W. Shiu, January 2003
North American Actuarial Journal | 2006-01-05 | Paper |
Economic Capital Allocation Derived from Risk Measures
North American Actuarial Journal | 2006-01-05 | Paper |
Computation of convex bounds for present value functions with random payments
Journal of Computational and Applied Mathematics | 2005-11-01 | Paper |
Asymmetric skew Bessel processes and their applications to finance
Journal of Computational and Applied Mathematics | 2005-11-01 | Paper |
Bounds for the price of discrete arithmetic Asian options
Journal of Computational and Applied Mathematics | 2005-10-26 | Paper |
A comonotonic image of independence for additive risk measures
Insurance Mathematics & Economics | 2005-08-05 | Paper |
scientific article; zbMATH DE number 2188756 (Why is no real title available?)
| 2005-07-27 | Paper |
A Unified Approach to Generate Risk Measures
ASTIN Bulletin | 2005-03-30 | Paper |
A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
ASTIN Bulletin | 2005-03-30 | Paper |
An optimization approach to the dynamic allocation of economic capital
Insurance Mathematics & Economics | 2005-01-13 | Paper |
Some problems in actuarial finance involving sums of dependent risks
Statistica Neerlandica | 2004-06-15 | Paper |
Closed-form approximations for diffusion densities: A path integral approach.
Journal of Computational and Applied Mathematics | 2004-03-15 | Paper |
Confidence bounds for discounted loss reserves.
Insurance Mathematics & Economics | 2004-02-14 | Paper |
The hurdle-race problem.
Insurance Mathematics & Economics | 2004-02-14 | Paper |
The concept of comonotonicity in actuarial science and finance: applications.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Bounds for present value functions with stochastic interest rates and stochastic volatility.
Insurance Mathematics & Economics | 2003-06-25 | Paper |
The concept of comonotonicity in actuarial science and finance: theory.
Insurance Mathematics & Economics | 2003-06-25 | Paper |
Upper and lower bounds for sums of random variables
Insurance Mathematics & Economics | 2001-12-03 | Paper |
Estimation of variance in a classical model when the coefficients of kurtosis of the variables are known
Revue de Statistique Appliquée | 2001-10-21 | Paper |
Convex upper and lower bounds for present value functions
Applied Stochastic Models in Business and Industry | 2001-09-16 | Paper |
Explicit finite-time and infinite-time ruin probabilities in the continuous case
Insurance Mathematics & Economics | 2001-06-27 | Paper |
scientific article; zbMATH DE number 1234542 (Why is no real title available?)
| 2001-05-02 | Paper |
On the distribution of IBNR reserves
Insurance Mathematics & Economics | 2000-11-21 | Paper |
Supermodular ordering and stochastic annuities
Insurance Mathematics & Economics | 2000-08-16 | Paper |
On the dependency of risks in the individual life model
Insurance Mathematics & Economics | 2000-02-20 | Paper |
Solvency margins and equalization reserves
Insurance Mathematics & Economics | 2000-02-20 | Paper |
Homogeneous risk models with equalized claim amounts
Insurance Mathematics & Economics | 2000-01-01 | Paper |
A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results
Scandinavian Actuarial Journal | 1999-10-06 | Paper |
A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall
Scandinavian Actuarial Journal | 1999-09-14 | Paper |
Inequality extensions of Prabhu's formula in ruin theory
Insurance Mathematics & Economics | 1999-09-12 | Paper |
The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean
Insurance Mathematics & Economics | 1999-08-16 | Paper |
IBNR reserves under stochastic interest rates
Insurance Mathematics & Economics | 1999-05-05 | Paper |
Prediction of claim numbers based on hazard rates
Insurance Mathematics & Economics | 1999-01-27 | Paper |
A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
Insurance Mathematics & Economics | 1998-05-04 | Paper |
The solution of Schmitter's simple problem: Numerical illustration
Insurance Mathematics & Economics | 1998-05-04 | Paper |
The bi-atomic uniform minimal solution of Schmitter's problem
Insurance Mathematics & Economics | 1998-05-04 | Paper |
scientific article; zbMATH DE number 1095135 (Why is no real title available?)
| 1997-12-07 | Paper |
A stochastic approach to catastrophic risks
Scandinavian Actuarial Journal | 1997-05-20 | Paper |
The compound Poisson approximation for a portfolio of dependent risks
Insurance Mathematics & Economics | 1997-01-09 | Paper |
Classical regression model under zero-excess assumptions
Journal of Computational and Applied Mathematics | 1996-07-15 | Paper |
A note on the solution of practical ruin problems
Insurance Mathematics & Economics | 1995-07-03 | Paper |
Double boundary crossing result for the brownian motion
Scandinavian Actuarial Journal | 1995-04-19 | Paper |
Evaluation techniques for distributions arising from stochastic processes defined from a lagrangian
Blätter der DGVFM | 1995-01-31 | Paper |
Interest randomness and differential equations
Blätter der DGVFM | 1995-01-31 | Paper |
The distributions of annuities
Insurance Mathematics & Economics | 1995-01-09 | Paper |
A review of the numerical calculation of ruin probabilities by means of recursions
Applied Stochastic Models and Data Analysis | 1994-07-04 | Paper |
An analytical inversion of a Laplace transform related to annuities certain
Insurance Mathematics & Economics | 1994-07-04 | Paper |
Boundary crossing result for the brownian motion
Blätter der DGVFM | 1994-06-01 | Paper |
A note on compound generalized distributions
Scandinavian Actuarial Journal | 1994-01-19 | Paper |
Optimal parameter estimation under zero excess assumptions in the Bühlmann--Straub model
Insurance Mathematics & Economics | 1993-05-16 | Paper |
Interest randomness in annuities certain
Insurance Mathematics & Economics | 1993-05-16 | Paper |
Some further results on annuities certain with random interest
Insurance Mathematics & Economics | 1993-05-16 | Paper |
The Laplace transform of annuities certain with exponential time distribution
Insurance Mathematics & Economics | 1993-05-16 | Paper |
A summary of new results on optimal parameter estimation under zero- excess assumptions
Insurance Mathematics & Economics | 1993-04-01 | Paper |
A stochastic approach to insurance cycles
Insurance Mathematics & Economics | 1993-04-01 | Paper |
Optimal parameter estimation under zero-excess assumptions in a classical model
Insurance Mathematics & Economics | 1993-01-17 | Paper |
Bounds on stop-loss premiums and ruin probabilities
Insurance Mathematics & Economics | 1992-06-28 | Paper |
Path-integral evaluation for the three-dimensional potential \(\gamma{}\delta{} (r-a)\)
Journal of Computational and Applied Mathematics | 1992-06-28 | Paper |
Estimation of the heterogeneity parameter in the Bühlmann-Straub credibility theory model
Insurance Mathematics & Economics | 1992-06-28 | Paper |
A new approach for loaded credibility premiums
Journal of Computational and Applied Mathematics | 1992-06-28 | Paper |
A recursive evaluation of the finite time ruin probability based on a equation of Seal
Insurance Mathematics & Economics | 1991-01-01 | Paper |
scientific article; zbMATH DE number 4166585 (Why is no real title available?)
| 1990-01-01 | Paper |
On a multilevel hierarchical credibility algorithm
Insurance Mathematics & Economics | 1990-01-01 | Paper |
Combining Panjer's recursion with convolution
Insurance Mathematics & Economics | 1989-01-01 | Paper |
The practical application of credibility theory
Insurance Mathematics & Economics | 1989-01-01 | Paper |
scientific article; zbMATH DE number 4131505 (Why is no real title available?)
| 1989-01-01 | Paper |
scientific article; zbMATH DE number 4113817 (Why is no real title available?)
| 1989-01-01 | Paper |
Optimal reinsurance in relation to ordering of risks
Insurance Mathematics & Economics | 1989-01-01 | Paper |
Best upper bounds on risks altered by deductibles under incomplete information
Scandinavian Actuarial Journal | 1989-01-01 | Paper |
Properties of the Esscher premium calculation principle
Insurance Mathematics & Economics | 1989-01-01 | Paper |
The analytical evaluation of one-dimensional Gaussian path-integrals
Journal of Computational and Applied Mathematics | 1988-01-01 | Paper |
Recursive calculation of finite-time ruin probabilities
Insurance Mathematics & Economics | 1988-01-01 | Paper |
New upper bounds for stop-loss premiums for the individual model
Insurance Mathematics & Economics | 1987-01-01 | Paper |
A new method for deriving bounds for integrals with respect to measures allowed to vary under conical and integral constraints
Journal of Computational and Applied Mathematics | 1987-01-01 | Paper |
Premium rating under non-exponential utility
Insurance Mathematics & Economics | 1987-01-01 | Paper |
On the use of QUADPACK for the calculation of risk theoretical quantities
Insurance Mathematics & Economics | 1987-01-01 | Paper |
scientific article; zbMATH DE number 4013824 (Why is no real title available?)
| 1987-01-01 | Paper |
scientific article; zbMATH DE number 4108145 (Why is no real title available?)
| 1987-01-01 | Paper |
scientific article; zbMATH DE number 4013821 (Why is no real title available?)
| 1987-01-01 | Paper |
scientific article; zbMATH DE number 3978233 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 3960842 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 3978235 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 3996959 (Why is no real title available?)
| 1986-01-01 | Paper |
Upper bounds on stop-loss premiums in case of known moments up to the fourth order
Insurance Mathematics & Economics | 1986-01-01 | Paper |
Additivity and premium calculation principles
Blätter der DGVFM | 1986-01-01 | Paper |
ORDERING OF RISKS AND WEIGHTED COMPOUND DISTRIBUTIONS
Statistica Neerlandica | 1986-01-01 | Paper |
Best bounds for positive distributions with fixed moments
Insurance Mathematics & Economics | 1986-01-01 | Paper |
Ordering of risks and ruin probabilities
Insurance Mathematics & Economics | 1986-01-01 | Paper |
Extremal values of stop-loss premiums under moment constraints
Insurance Mathematics & Economics | 1986-01-01 | Paper |
scientific article; zbMATH DE number 3980322 (Why is no real title available?)
| 1986-01-01 | Paper |
Application of the problem of moments to derive bounds on integrals with integral constraints
Insurance Mathematics & Economics | 1985-01-01 | Paper |
On the series expansion of certain types of integral transforms. I
Journal of Computational and Applied Mathematics | 1985-01-01 | Paper |
Semilinear credibility with several approximating functions
Insurance Mathematics & Economics | 1985-01-01 | Paper |
Bounds on compound distributions and stop-loss premiums
Insurance Mathematics & Economics | 1985-01-01 | Paper |
scientific article; zbMATH DE number 3858257 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3850336 (Why is no real title available?)
| 1984-01-01 | Paper |
Stop-loss ordering for scale and power mixtures of distributions
Scandinavian Actuarial Journal | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3896702 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3844885 (Why is no real title available?)
| 1984-01-01 | Paper |
Bounds for classical ruin probabilities
Insurance Mathematics & Economics | 1984-01-01 | Paper |
The structure of the distribution of a couple of observable random variables in credibility theory
Insurance Mathematics & Economics | 1984-01-01 | Paper |
A characterization of the class of credibility matrices corresponding to a certain class of discrete distributions
Insurance Mathematics & Economics | 1984-01-01 | Paper |
Bounds for the optimal critical claim size of a bonus system
Insurance Mathematics & Economics | 1983-01-01 | Paper |
Stop-loss dominance
Blätter der DGVFM | 1983-01-01 | Paper |
Maximization of the variance of a stop-loss reinsured risk
Insurance Mathematics & Economics | 1983-01-01 | Paper |
Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributions
Journal of Econometrics | 1983-01-01 | Paper |
Best bounds on the stop-loss premium in case of known range, expectation, variance and mode of the risk
Insurance Mathematics & Economics | 1983-01-01 | Paper |
Upper bounds for ruin probabilities in a new general risk model, by the martingales method
Journal of Computational and Applied Mathematics | 1982-01-01 | Paper |
Analytical best upper bounds on stop-loss premiums
Insurance Mathematics & Economics | 1982-01-01 | Paper |
A new premium calculation principle based on Orlicz norms
Insurance Mathematics & Economics | 1982-01-01 | Paper |
Ordering of risks: a review
Insurance Mathematics & Economics | 1982-01-01 | Paper |
scientific article; zbMATH DE number 3766918 (Why is no real title available?)
| 1982-01-01 | Paper |
Numerical best bounds on stop-loss premiums
Insurance Mathematics & Economics | 1982-01-01 | Paper |
A remark on survival probabilities for a weighted poisson process
Scandinavian Actuarial Journal | 1982-01-01 | Paper |
The Wiener process with drift between a linear retaining and an absorbing barrier
Journal of Computational and Applied Mathematics | 1981-01-01 | Paper |
Some further results on ordering of risks
Blätter der DGVFM | 1981-01-01 | Paper |
scientific article; zbMATH DE number 3763146 (Why is no real title available?)
| 1981-01-01 | Paper |
On the representation of additive principles of premium calculation
Scandinavian Actuarial Journal | 1981-01-01 | Paper |
Upper bounds on stop-loss premiums under constraints on claim size distributions as derived from representation theorems for distribution functions
Scandinavian Actuarial Journal | 1980-01-01 | Paper |
On an application of a smoothing inequality to the estimation of stop-loss premiums
Scandinavian Actuarial Journal | 1980-01-01 | Paper |
Convexity Inequalities for the Swiss premium
Blätter der DGVFM | 1980-01-01 | Paper |
Approximation formulae for compound Poisson processes for a kind of claim distributions having a prescribed asymptotic behavior
Applied Mathematics and Computation | 1979-01-01 | Paper |
scientific article; zbMATH DE number 3653394 (Why is no real title available?)
| 1979-01-01 | Paper |
On the infinite divisibility of the ratio of two gamma-distributed variables
Stochastic Processes and their Applications | 1978-01-01 | Paper |
On a Berry-Esseen theorem for compound Poisson processes
Journal of Computational and Applied Mathematics | 1978-01-01 | Paper |
scientific article; zbMATH DE number 3626421 (Why is no real title available?)
| 1977-01-01 | Paper |
On the infinite divisibility of the product of two \(\Gamma\)-distributed stochastical variables
Applied Mathematics and Computation | 1977-01-01 | Paper |
On a class of generalized Γ-convolutions (Part I)
Scandinavian Actuarial Journal | 1977-01-01 | Paper |
scientific article; zbMATH DE number 3563996 (Why is no real title available?)
| 1977-01-01 | Paper |
A bibliography on credibility theory and its applications
Journal of Computational and Applied Mathematics | 1976-01-01 | Paper |
scientific article; zbMATH DE number 3644347 (Why is no real title available?)
| 1976-01-01 | Paper |
A note on the numerical evaluation of integrals over strongly oscillating functions
Journal of Computational and Applied Mathematics | 1975-01-01 | Paper |
Numerical evaluation of bounded bayesian parameters in case of autocorrelated errors and multicollinearity in data
Statistische Hefte | 1975-01-01 | Paper |
Path−integral evaluation of a nonstationary Calogero model
Journal of Mathematical Physics | 1975-01-01 | Paper |
scientific article; zbMATH DE number 3464142 (Why is no real title available?)
| 1974-01-01 | Paper |
scientific article; zbMATH DE number 3457536 (Why is no real title available?)
| 1973-01-01 | Paper |
scientific article; zbMATH DE number 3501907 (Why is no real title available?)
| 1973-01-01 | Paper |
