| Publication | Date of Publication | Type |
|---|
Risk sharing with multiple indemnity environments
European Journal of Operational Research | 2021-11-05 | Paper |
Pareto-optimal insurance contracts with premium budget and minimum charge constraints
Insurance Mathematics & Economics | 2020-11-19 | Paper |
Capital requirements and optimal investment with solvency probability constraints
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Aggregation of randomly weighted large risks
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Optimal robust insurance with a finite uncertainty set
Insurance Mathematics & Economics | 2019-06-17 | Paper |
Portfolio optimization under solvency constraints: a dynamical approach
North American Actuarial Journal | 2019-05-28 | Paper |
Optimal risk transfer: a numerical optimization approach
North American Actuarial Journal | 2018-10-22 | Paper |
Systemic risk: an asymptotic evaluation
ASTIN Bulletin | 2018-06-06 | Paper |
Measuring the tail risk: an asymptotic approach
Journal of Mathematical Analysis and Applications | 2018-04-25 | Paper |
Robust and Pareto optimality of insurance contracts
European Journal of Operational Research | 2017-12-06 | Paper |
Extremes for coherent risk measures
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Background risk models and stepwise portfolio construction
Methodology and Computing in Applied Probability | 2016-11-11 | Paper |
Tail dependence measure for examining financial extreme co-movements
Journal of Econometrics | 2016-09-06 | Paper |
Statistical inference for a new class of multivariate Pareto distributions
Communications in Statistics. Simulation and Computation | 2016-05-30 | Paper |
Efficient risk allocation within a non-life insurance group under Solvency II regime
Insurance Mathematics & Economics | 2016-01-05 | Paper |
On the worst and least possible asymptotic dependence
Journal of Multivariate Analysis | 2015-12-23 | Paper |
Optimal non-life reinsurance under Solvency II regime
Insurance Mathematics & Economics | 2015-12-14 | Paper |
Asymptotic results for conditional measures of association of a random sum
Insurance Mathematics & Economics | 2015-03-13 | Paper |
Optimal reinsurance in the presence of counterparty default risk
Insurance Mathematics & Economics | 2014-06-23 | Paper |
| Tail asymptotics of randomly weighted large risks | 2014-05-03 | Paper |
Optimal risk transfer under quantile-based risk measurers
Insurance Mathematics & Economics | 2014-04-15 | Paper |
Optimal risk transfers in insurance groups
European Actuarial Journal | 2013-08-20 | Paper |
On a multivariate Pareto distribution
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Asymptotics for risk capital allocations based on conditional tail expectation
Insurance Mathematics & Economics | 2011-12-21 | Paper |
Extremes on the discounted aggregate claims in a time dependent risk model
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
Pitfalls in using Weibull tailed distributions
Journal of Statistical Planning and Inference | 2010-04-14 | Paper |
Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks
ASTIN Bulletin | 2009-09-13 | Paper |
Dependence and the asymptotic behavior of large claims reinsurance
Insurance Mathematics & Economics | 2009-01-16 | Paper |
Extreme behavior of multivariate phase-type distributions
Insurance Mathematics & Economics | 2007-09-21 | Paper |
Extreme behavior of bivariate elliptical distributions
Insurance Mathematics & Economics | 2007-07-19 | Paper |
