| Publication | Date of Publication | Type |
|---|
An axiomatic characterization of the quantile risk-sharing rule
Scandinavian Actuarial Journal | 2026-02-27 | Paper |
No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses
Insurance Mathematics & Economics | 2026-01-13 | Paper |
Conditional mean risk sharing of independent discrete losses in large pools
Methodology and Computing in Applied Probability | 2024-11-26 | Paper |
A machine learning approach for individual claims reserving in insurance
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
Insurance Mathematics & Economics | 2023-10-12 | Paper |
HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?
Econometric Theory | 2023-08-15 | Paper |
Tail index partition-based rules extraction with application to tornado damage insurance
ASTIN Bulletin | 2023-07-13 | Paper |
From risk reduction to risk elimination by conditional mean risk sharing of independent losses
Insurance Mathematics & Economics | 2023-02-03 | Paper |
Mortality credits within large survivor funds
ASTIN Bulletin | 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
Methodology and Computing in Applied Probability | 2022-07-28 | Paper |
Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields
Journal of Applied Probability | 2022-07-08 | Paper |
Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
Stochastic derivative estimation for max-stable random fields
European Journal of Operational Research | 2022-06-08 | Paper |
Testing for changes in the tail behavior of Brown-Resnick Pareto processes
Stochastic Processes and their Applications | 2022-01-17 | Paper |
Corrigendum and addendum to: ``From risk sharing to pure premium for a large number of heterogeneous losses
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction
Journal of Multivariate Analysis | 2021-10-28 | Paper |
Stop-loss protection for a large P2P insurance pool
Insurance Mathematics & Economics | 2021-10-19 | Paper |
Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
Computational Statistics and Data Analysis | 2021-05-06 | Paper |
From risk sharing to pure premium for a large number of heterogeneous losses
Insurance Mathematics & Economics | 2021-03-17 | Paper |
Large-loss behavior of conditional mean risk sharing
ASTIN Bulletin | 2020-12-13 | Paper |
Power variations for a class of Brown-Resnick processes
Extremes | 2020-06-24 | Paper |
Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
Methodology and Computing in Applied Probability | 2019-12-19 | Paper |
Space-time max-stable models with spectral separability
Advances in Applied Probability | 2019-09-23 | Paper |
A central limit theorem for functions of stationary max-stable random fields on \(\mathbb{R}^d\)
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
Journal of Multivariate Analysis | 2019-07-02 | Paper |
Geometric ergodicity for some space-time max-stable Markov chains
Statistics & Probability Letters | 2019-02-20 | Paper |
Cluster size distributions of extreme values for the Poisson-Voronoi tessellation
The Annals of Applied Probability | 2018-12-17 | Paper |
Cluster size distributions of extreme values for the Poisson-Voronoi tessellation
The Annals of Applied Probability | 2018-12-17 | Paper |
Stochastic derivative estimation for max-stable random fields
(available as arXiv preprint) | 2018-12-14 | Paper |
Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions
Scandinavian Journal of Statistics | 2017-03-03 | Paper |
Asset allocation strategies in the presence of liability constraints
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Rare-event asymptotics for the number of exceedances of multiplicative factor models
Extremes | 2015-09-24 | Paper |
Series expansions for convolutions of Pareto distributions
Statistics & Risk Modeling | 2015-04-17 | Paper |
Credit risk valuation with rating transitions and partial information
International Journal of Theoretical and Applied Finance | 2015-01-21 | Paper |
On the De Vylder and Goovaerts conjecture about ruin for equalized claims
Journal of Applied Probability | 2014-10-15 | Paper |
Distortion risk measures, ambiguity aversion and optimal effort
ASTIN Bulletin | 2014-06-11 | Paper |
Estimating the efficient price from the order flow: a Brownian Cox process approach
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Automatic declustering of rare events
Biometrika | 2014-04-22 | Paper |
Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework
Insurance Mathematics & Economics | 2014-04-15 | Paper |
New efficient estimators in rare event simulation with heavy tails
Journal of Computational and Applied Mathematics | 2014-01-08 | Paper |
Some new classes of stationary max-stable random fields
Statistics & Probability Letters | 2013-12-09 | Paper |
A sliding blocks estimator for the extremal index
Electronic Journal of Statistics | 2013-05-27 | Paper |
A sliding blocks estimator for the extremal index
Electronic Journal of Statistics | 2013-05-27 | Paper |
Testing the type of a semi-martingale: Itō against multifractal
Electronic Journal of Statistics | 2013-05-27 | Paper |
Volatility and covariation estimation when microstructure noise and trading times are endogenous
Mathematical Finance | 2013-02-28 | Paper |
Subsampling weakly dependent time series and application to extremes
Test | 2012-11-15 | Paper |
Rejoinder on: Subsampling weakly dependent time series and application to extremes
Test | 2012-11-15 | Paper |
On the limiting spectral distribution of the covariance matrices of time-lagged processes
Journal of Multivariate Analysis | 2010-11-10 | Paper |
On the microstructural hedging error
SIAM Journal on Financial Mathematics | 2010-08-11 | Paper |
On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring
Statistics & Probability Letters | 2010-01-08 | Paper |
Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities
Journal of Statistical Planning and Inference | 2009-07-22 | Paper |
Estimating the multivariate extremal index function
Bernoulli | 2009-03-02 | Paper |
Inference for the limiting cluster size distribution of extreme values
The Annals of Statistics | 2009-02-25 | Paper |
Inference for the limiting cluster size distribution of extreme values
The Annals of Statistics | 2009-02-25 | Paper |
Tails of random sums of a heavy-tailed number of light-tailed terms
Insurance Mathematics & Economics | 2008-08-18 | Paper |
Extreme dependence of multivariate catastrophic losses
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
Stochastic stability of some state-dependent growth-collapse processes
Advances in Applied Probability | 2007-04-26 | Paper |
STOCHASTIC UNIT ROOT MODELS
Econometric Theory | 2007-04-23 | Paper |
Asymptotic Probabilities of an Exceedance Over Renewal Thresholds with an Application to Risk Theory
Journal of Applied Probability | 2005-08-25 | Paper |
