| Publication | Date of Publication | Type |
|---|
Mack's estimator motivated by large exposure asymptotics in a compound Poisson setting
ASTIN Bulletin | 2024-06-17 | Paper |
Local bias adjustment, duration-weighted probabilities, and automatic construction of tariff cells
Scandinavian Actuarial Journal | 2023-11-02 | Paper |
Multiple-prior valuation of cash flows subject to capital requirements
Insurance Mathematics & Economics | 2023-07-18 | Paper |
Premium control with reinforcement learning
ASTIN Bulletin | 2023-07-13 | Paper |
Continuous-time limits of multi-period cost-of-capital margins
Statistics & Risk Modeling | 2022-01-10 | Paper |
Financial position and performance in IFRS 17
Scandinavian Actuarial Journal | 2021-05-28 | Paper |
Correction to: ``Financial position and performance in IFRS 17
Scandinavian Actuarial Journal | 2021-05-28 | Paper |
Optimal dividends and capital injection under dividend restrictions
Mathematical Methods of Operations Research | 2020-12-15 | Paper |
Exact long time behavior of some regime switching stochastic processes
Bernoulli | 2020-10-07 | Paper |
Exact long time behavior of some regime switching stochastic processes
Bernoulli | 2020-10-07 | Paper |
The value of a liability cash flow in discrete time subject to capital requirements
Finance and Stochastics | 2019-12-27 | Paper |
Insurance valuation: a computable multi-period cost-of-capital approach
Insurance Mathematics & Economics | 2017-01-31 | Paper |
Ruin probabilities under general investments and heavy-tailed claims
Finance and Stochastics | 2014-12-17 | Paper |
Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
Probability Surveys | 2014-10-22 | Paper |
Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
Probability Surveys | 2014-10-22 | Paper |
A simple time-consistent model for the forward density process
International Journal of Theoretical and Applied Finance | 2014-04-25 | Paper |
Foreign-currency interest-rate swaps in asset-liability management for insurers
European Actuarial Journal | 2013-08-20 | Paper |
Risk and portfolio analysis. Principles and methods.
Springer Series in Operations Research and Financial Engineering | 2012-04-27 | Paper |
Support theorems for the Radon transform and Cramér-Wold theorems
Journal of Theoretical Probability | 2009-09-25 | Paper |
Regular variation for measures on metric spaces
Publications de l'Institut Math?matique (Belgrade) | 2008-07-02 | Paper |
Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
The Annals of Probability | 2007-05-08 | Paper |
On Kesten's counterexample to the Cramér-Wold device for regular variation
Bernoulli | 2006-11-06 | Paper |
Functional large deviations for multivariate regularly varying random walks
The Annals of Applied Probability | 2006-07-10 | Paper |
On regular variation for infinitely divisible random vectors and additive processes
Advances in Applied Probability | 2006-06-19 | Paper |
Extremal behavior of regularly varying stochastic processes
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
ASTIN Bulletin | 2005-03-30 | Paper |
Multivariate extremes, aggregation and dependence in elliptical distributions
Advances in Applied Probability | 2003-09-24 | Paper |
