| Publication | Date of Publication | Type |
|---|
What is fair? Proxy discrimination vs. demographic disparities in insurance pricing
Scandinavian Actuarial Journal | 2024-11-04 | Paper |
A multi-task network approach for calculating discrimination-free insurance prices
European Actuarial Journal | 2024-08-26 | Paper |
An impossibility theorem on capital allocation
Scandinavian Actuarial Journal | 2023-04-18 | Paper |
SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION
ASTIN Bulletin | 2022-11-04 | Paper |
Interpreting deep learning models with marginal attribution by conditioning on quantiles
Data Mining and Knowledge Discovery | 2022-09-16 | Paper |
Efficient evaluation of alternative reinsurance strategies using control variates
European Actuarial Journal | 2022-07-27 | Paper |
Discrimination-free insurance pricing
ASTIN Bulletin | 2022-04-04 | Paper |
Insurance valuation: A two-step generalised regression approach
ASTIN Bulletin | 2022-04-04 | Paper |
Insurance valuation: A two-step generalised regression approach
ASTIN Bulletin | 2022-04-04 | Paper |
Sensitivity analysis with \(\chi^2\)-divergences
Insurance Mathematics & Economics | 2021-10-19 | Paper |
Reverse sensitivity testing: what does it take to break the model?
European Journal of Operational Research | 2018-12-18 | Paper |
Euler allocations in the presence of nonlinear reinsurance: comment on Major (2018)
Insurance Mathematics & Economics | 2018-11-19 | Paper |
Capital allocation for portfolios with non-linear risk aggregation
Insurance Mathematics & Economics | 2017-01-31 | Paper |
Robustness regions for measures of risk aggregation
Dependence Modeling | 2016-12-20 | Paper |
How superadditive can a risk measure be?
SIAM Journal on Financial Mathematics | 2015-10-21 | Paper |
Optimal capital allocation in a hierarchical corporate structure
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Market value margin via mean-variance hedging
ASTIN Bulletin | 2014-02-27 | Paper |
Parameter uncertainty in exponential family tail estimation
ASTIN Bulletin | 2013-12-12 | Paper |
Optimal risk transfers in insurance groups
European Actuarial Journal | 2013-08-20 | Paper |
Risk margin for a non-life insurance run-off
Statistics & Risk Modeling | 2011-12-23 | Paper |
Risk Exchange with Distorted Probabilities
ASTIN Bulletin | 2009-06-15 | Paper |
To split or not to split: Capital allocation with convex risk measures
Insurance Mathematics & Economics | 2009-05-12 | Paper |
Risk measurement in the presence of background risk
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Stochastic ordering of bivariate elliptical distributions
Statistics & Probability Letters | 2006-04-28 | Paper |
Dynamic capital allocation with distortion risk measures
Insurance Mathematics & Economics | 2005-01-13 | Paper |
Risk capital allocation and cooperative pricing of insurance liabilities.
Insurance Mathematics & Economics | 2004-02-14 | Paper |
