| Publication | Date of Publication | Type |
|---|
| Conditional mean risk sharing of independent discrete losses in large pools | 2024-11-26 | Paper |
| A machine learning approach for individual claims reserving in insurance | 2024-07-18 | Paper |
| Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model | 2023-10-12 | Paper |
| HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION? | 2023-08-15 | Paper |
| Tail index partition-based rules extraction with application to tornado damage insurance | 2023-07-13 | Paper |
| From risk reduction to risk elimination by conditional mean risk sharing of independent losses | 2023-02-03 | Paper |
| MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS | 2022-11-04 | Paper |
| Fixed-domain asymptotic properties of maximum composite likelihood estimators for max-stable Brown-Resnick random fields | 2022-09-19 | Paper |
| Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses | 2022-07-28 | Paper |
| Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields | 2022-07-08 | Paper |
| Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses | 2022-07-07 | Paper |
| Stochastic derivative estimation for max-stable random fields | 2022-06-08 | Paper |
| Testing for changes in the tail behavior of Brown-Resnick Pareto processes | 2022-01-17 | Paper |
| Corrigendum and addendum to: ``From risk sharing to pure premium for a large number of heterogeneous losses | 2021-11-19 | Paper |
| Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction | 2021-10-28 | Paper |
| Stop-loss protection for a large P2P insurance pool | 2021-10-19 | Paper |
| Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs | 2021-05-06 | Paper |
| From risk sharing to pure premium for a large number of heterogeneous losses | 2021-03-17 | Paper |
| LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING | 2020-12-13 | Paper |
| Power variations for a class of Brown-Resnick processes | 2020-06-24 | Paper |
| Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models | 2019-12-19 | Paper |
| Space‒time max-stable models with spectral separability | 2019-09-23 | Paper |
| A central limit theorem for functions of stationary max-stable random fields on \(\mathbb{R}^d\) | 2019-09-19 | Paper |
| Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions | 2019-07-02 | Paper |
| Geometric ergodicity for some space-time max-stable Markov chains | 2019-02-20 | Paper |
| Cluster size distributions of extreme values for the Poisson-Voronoi tessellation | 2018-12-17 | Paper |
| Stochastic derivative estimation for max-stable random fields | 2018-12-14 | Paper |
| Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions | 2017-03-03 | Paper |
| Asset allocation strategies in the presence of liability constraints | 2016-12-13 | Paper |
| Rare-event asymptotics for the number of exceedances of multiplicative factor models | 2015-09-24 | Paper |
| Series expansions for convolutions of Pareto distributions | 2015-04-17 | Paper |
| CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION | 2015-01-21 | Paper |
| On the De Vylder and Goovaerts conjecture about ruin for equalized claims | 2014-10-15 | Paper |
| DISTORTION RISK MEASURES, AMBIGUITY AVERSION AND OPTIMAL EFFORT | 2014-06-11 | Paper |
| Estimating the efficient price from the order flow: a Brownian Cox process approach | 2014-04-28 | Paper |
| Automatic declustering of rare events | 2014-04-22 | Paper |
| Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework | 2014-04-15 | Paper |
| New efficient estimators in rare event simulation with heavy tails | 2014-01-08 | Paper |
| Some new classes of stationary max-stable random fields | 2013-12-09 | Paper |
| A sliding blocks estimator for the extremal index | 2013-05-27 | Paper |
| Testing the type of a semi-martingale: Itō against multifractal | 2013-05-27 | Paper |
| VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS | 2013-02-28 | Paper |
| Subsampling weakly dependent time series and application to extremes | 2012-11-15 | Paper |
| Rejoinder on: Subsampling weakly dependent time series and application to extremes | 2012-11-15 | Paper |
| On the limiting spectral distribution of the covariance matrices of time-lagged processes | 2010-11-10 | Paper |
| On the Microstructural Hedging Error | 2010-08-11 | Paper |
| On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring | 2010-01-08 | Paper |
| Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities | 2009-07-22 | Paper |
| Estimating the multivariate extremal index function | 2009-03-02 | Paper |
| Inference for the limiting cluster size distribution of extreme values | 2009-02-25 | Paper |
| Tails of random sums of a heavy-tailed number of light-tailed terms | 2008-08-18 | Paper |
| Extreme dependence of multivariate catastrophic losses | 2007-12-16 | Paper |
| Stochastic stability of some state-dependent growth-collapse processes | 2007-04-26 | Paper |
| STOCHASTIC UNIT ROOT MODELS | 2007-04-23 | Paper |
| Asymptotic Probabilities of an Exceedance Over Renewal Thresholds with an Application to Risk Theory | 2005-08-25 | Paper |
