| Publication | Date of Publication | Type |
|---|
Weighted Pricing Functionals With Applications to Insurance
North American Actuarial Journal | 2022-02-11 | Paper |
Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
North American Actuarial Journal | 2022-02-07 | Paper |
“An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007
North American Actuarial Journal | 2022-01-10 | Paper |
A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
North American Actuarial Journal | 2021-12-18 | Paper |
Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type
Insurance Mathematics & Economics | 2021-03-17 | Paper |
On log-normal convolutions: an analytical-numerical method with applications to economic capital determination
Insurance Mathematics & Economics | 2020-02-03 | Paper |
Computing the Gini index: a note
Economics Letters | 2019-11-07 | Paper |
Paths and indices of maximal tail dependence
ASTIN Bulletin | 2018-06-04 | Paper |
Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
ASTIN Bulletin | 2018-06-04 | Paper |
A form of multivariate Pareto distribution with applications to financial risk measurement
ASTIN Bulletin | 2018-06-04 | Paper |
Weighted risk capital allocations in the presence of systematic risk
Insurance Mathematics & Economics | 2018-04-12 | Paper |
Multiple risk factor dependence structures: distributional properties
Insurance Mathematics & Economics | 2017-09-19 | Paper |
Multiple risk factor dependence structures: copulas and related properties
Insurance Mathematics & Economics | 2017-05-24 | Paper |
Tail dependence of the Gaussian copula revisited
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Statistical inference for a new class of multivariate Pareto distributions
Communications in Statistics. Simulation and Computation | 2016-05-30 | Paper |
Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
Insurance Mathematics & Economics | 2014-04-10 | Paper |
Erratum to ``On a multivariate gamma distribution by E. Furman
Statistics & Probability Letters | 2012-07-05 | Paper |
Multivariate Tweedie distributions and some related capital-at-risk analyses
Insurance Mathematics & Economics | 2012-02-10 | 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 |
On some layer-based risk measures with applications to exponential dispersion models
Journal of Probability and Statistics | 2010-12-01 | Paper |
General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
ASTIN Bulletin | 2010-06-21 | Paper |
Weighted risk capital allocations
Insurance Mathematics & Economics | 2010-06-08 | Paper |
| On some risk-adjusted tail-based premium calculation principles | 2010-06-07 | 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 |
| scientific article; zbMATH DE number 5548880 (Why is no real title available?) | 2009-04-28 | Paper |
| scientific article; zbMATH DE number 5548880 (Why is no real title available?) | 2009-04-28 | Paper |
On a multivariate gamma distribution
Statistics & Probability Letters | 2008-10-30 | Paper |
A monotonicity property of the composition of regularized and inverted-regularized gamma functions with applications
Journal of Mathematical Analysis and Applications | 2008-10-22 | Paper |
Weighted premium calculation principles
Insurance Mathematics & Economics | 2008-08-22 | Paper |
On the convolution of the negative binomial random variables
Statistics & Probability Letters | 2007-03-15 | Paper |
On the convolution of the negative binomial random variables
Statistics & Probability Letters | 2007-01-01 | Paper |
Risk capital decomposition for a multivariate dependent gamma portfolio
Insurance Mathematics & Economics | 2006-03-08 | Paper |
