| Publication | Date of Publication | Type |
|---|
Non-steepness and maximum likelihood estimation properties of the truncated multivariate normal distributions
Test | 2025-12-29 | Paper |
Optimal consumption and annuity equivalent wealth with mortality model uncertainty
Insurance Mathematics & Economics | 2025-02-14 | Paper |
Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation
Annals of the Institute of Statistical Mathematics | 2024-10-14 | Paper |
Estimating the VaR-induced Euler allocation rule
ASTIN Bulletin | 2024-07-09 | Paper |
| Non-Steepness and Maximum Likelihood Estimation Properties of the Truncated Multivariate Normal Distributions | 2023-03-17 | Paper |
Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
Insurance Mathematics & Economics | 2023-02-01 | Paper |
Structural models for fog computing based Internet of things architectures with insurance and risk management applications
European Journal of Operational Research | 2022-12-12 | Paper |
Empirical tail conditional allocation and its consistency under minimal assumptions
Annals of the Institute of Statistical Mathematics | 2022-10-25 | Paper |
Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
North American Actuarial Journal | 2022-02-07 | Paper |
Two-part models for assessing misrepresentation on risk status
European Actuarial Journal | 2022-01-14 | 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 |
A continuous-time theory of reinsurance chains
Insurance Mathematics & Economics | 2020-11-19 | Paper |
Life-cycle planning with ambiguous economics and mortality risks
North American Actuarial Journal | 2019-12-18 | 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 |
A form of multivariate Pareto distribution with applications to financial risk measurement
ASTIN Bulletin | 2018-06-04 | Paper |
A general approach to full-range tail dependence copulas
Insurance Mathematics & Economics | 2017-11-23 | 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 |
Erratum to ``On a multivariate gamma distribution'' by E. Furman
Statistics & Probability Letters | 2012-07-05 | Paper |
