| Publication | Date of Publication | Type |
|---|
Univariate and multivariate mixtures of exponential distributions, with applications in risk modeling
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
On a compound Poisson risk model with dependence and in the presence of a constant dividend barrier
Applied Stochastic Models in Business and Industry | 2024-07-10 | Paper |
A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
Journal of Multivariate Analysis | 2024-03-25 | Paper |
Exchangeable FGM copulas
Advances in Applied Probability | 2024-02-20 | Paper |
Risk aggregation with FGM copulas
Insurance Mathematics & Economics | 2023-07-18 | Paper |
Stochastic representation of FGM copulas using multivariate Bernoulli random variables
Computational Statistics and Data Analysis | 2022-05-30 | Paper |
Geographic ratemaking with spatial embeddings
ASTIN Bulletin | 2022-04-04 | Paper |
Pension plan valuation and mortality projection: a case study with mortality data
North American Actuarial Journal | 2022-01-10 | Paper |
Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
Computational Statistics and Data Analysis | 2021-05-06 | Paper |
On sums of two counter-monotonic risks
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Ruin-based risk measures in discrete-time risk models
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
Methodology and Computing in Applied Probability | 2019-12-19 | Paper |
Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
Journal of Multivariate Analysis | 2019-07-02 | Paper |
Collective risk models with dependence
Insurance Mathematics & Economics | 2019-06-17 | Paper |
Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
Insurance Mathematics & Economics | 2018-02-15 | Paper |
Hierarchical Archimedean copulas through multivariate compound distributions
Insurance Mathematics & Economics | 2017-09-19 | Paper |
Hierarchical Archimedean copulas through multivariate compound distributions
Insurance Mathematics & Economics | 2017-09-01 | Paper |
Vector-valued tail value-at-risk and capital allocation
Methodology and Computing in Applied Probability | 2016-11-11 | Paper |
Risk measures related to the surplus process in the compound Markov binomial model
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Erratum to: ``Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Dynamic risk measures within discrete-time risk models
Stochastic Orders in Reliability and Risk | 2015-05-22 | Paper |
A note on compound renewal risk models with dependence
Journal of Computational and Applied Mathematics | 2015-05-22 | Paper |
Bivariate lower and upper orthant value-at-risk
European Actuarial Journal | 2015-01-22 | Paper |
A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks
Journal of Multivariate Analysis | 2014-07-24 | Paper |
Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Analysis of the discounted sum of ascending ladder heights
Insurance Mathematics & Economics | 2014-04-14 | Paper |
Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
Insurance Mathematics & Economics | 2014-04-04 | Paper |
Adjustment coefficient for risk processes in some dependent contexts
Methodology and Computing in Applied Probability | 2012-06-20 | Paper |
TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts
Insurance Mathematics & Economics | 2012-04-18 | Paper |
TVaR-based capital allocation with copulas
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula
Methodology and Computing in Applied Probability | 2012-01-26 | Paper |
Analysis of ruin measures for the classical compound Poisson risk model with dependence
Scandinavian Actuarial Journal | 2011-11-26 | Paper |
| Modelling and evaluation of risks in insurance. Models on one period | 2011-09-20 | Paper |
Risk models based on time series for count random variables
Insurance Mathematics & Economics | 2011-08-01 | Paper |
| On the moments of aggregate discounted claims with dependence introduced by a FGM copula | 2011-06-15 | Paper |
Discrete-time risk models on time series for count random variables
ASTIN Bulletin | 2010-06-21 | Paper |
Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model
Insurance Mathematics & Economics | 2010-06-20 | Paper |
| Distributional bounds for functions of dependent risks | 2010-05-27 | Paper |
| Stochastic approximations of present value functions | 2010-05-27 | Paper |
| Common mixture in the individual risk model | 2010-05-27 | Paper |
On the discrete-time compound renewal risk model with dependence
Insurance Mathematics & Economics | 2009-05-12 | Paper |
On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
Insurance Mathematics & Economics | 2009-01-16 | Paper |
On a risk model with dependence between interclaim arrivals and claim sizes
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
Obituary of Professor Etienne de Vylder (1937-2004)
ASTIN Bulletin | 2006-10-04 | Paper |
Ruin probabilities in the discrete time renewal risk model
Insurance Mathematics & Economics | 2006-06-09 | Paper |
Ruin Probabilities in the Compound Markov Binomial Model
Scandinavian Actuarial Journal | 2006-05-24 | Paper |
Modeling Catastrophes and their Impact on Insurance Portfolios
North American Actuarial Journal | 2006-01-05 | Paper |
Compound binomial risk model in a Markovian environment
Insurance Mathematics & Economics | 2005-01-13 | Paper |
Compound Poisson approximations for individual models with dependent risks.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
On two dependent individual risk models.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
On robustness in risk theory
Insurance Mathematics & Economics | 2003-01-13 | Paper |
Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
Scandinavian Actuarial Journal | 2002-11-21 | Paper |
Upper stop-loss bounds for sums of possibly dependent risks with given means and variances
Statistics & Probability Letters | 2002-09-05 | Paper |
On life insurance reserves in a stochastic mortality and interest rates environment
Insurance Mathematics & Economics | 2000-05-08 | Paper |
Stochastic bounds on sums of dependent risks
Insurance Mathematics & Economics | 2000-01-31 | Paper |
The discrete-time risk model with correlated classes of business
Insurance Mathematics & Economics | 2000-01-01 | Paper |
Impact of dependence among multiple claims in a single loss
Insurance Mathematics & Economics | 2000-01-01 | Paper |
The numerical solution of the Schmitter problems: Theory
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 |
Classical numerical ruin probabilities
Scandinavian Actuarial Journal | 1998-02-05 | Paper |
Explicit analytic ruin probabilities for bounded claims
Insurance Mathematics & Economics | 1996-07-18 | Paper |
