| Publication | Date of Publication | Type |
|---|
Conditional mean risk sharing of independent discrete losses in large pools
Methodology and Computing in Applied Probability | 2024-11-26 | Paper |
Convex and Lorenz orders under balance correction in nonlife insurance pricing: review and new developments
Insurance Mathematics & Economics | 2024-09-18 | Paper |
Testing for auto-calibration with Lorenz and concentration curves
Insurance Mathematics & Economics | 2024-07-17 | Paper |
Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking
Scandinavian Actuarial Journal | 2024-05-30 | Paper |
Model selection with Pearson's correlation, concentration and Lorenz curves under autocalibration
European Actuarial Journal | 2024-02-21 | Paper |
Mortality projections for higher educational attainment with semi-parametric accelerated hazard relational models
Decisions in Economics and Finance | 2023-11-17 | Paper |
Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
Insurance Mathematics & Economics | 2023-10-12 | Paper |
From risk reduction to risk elimination by conditional mean risk sharing of independent losses
Insurance Mathematics & Economics | 2023-02-03 | Paper |
Semi-Markov modeling for cancer insurance
European Actuarial Journal | 2023-01-09 | Paper |
Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link
Scandinavian Actuarial Journal | 2023-01-02 | Paper |
Mortality credits within large survivor funds
ASTIN Bulletin | 2022-11-04 | 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 |
Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
JOINT MODELING OF CLAIM FREQUENCIES AND BEHAVIORAL SIGNALS IN MOTOR INSURANCE
ASTIN Bulletin | 2022-04-04 | Paper |
Life insurance mathematics with random life tables
North American Actuarial Journal | 2022-02-11 | Paper |
Impact of underwriting cycles on the solvency of an insurance company
North American Actuarial Journal | 2022-02-11 | Paper |
Reply to Edward Furman, Yisub Kye, and Jianxi Su on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums”
North American Actuarial Journal | 2022-02-07 | Paper |
Reply to Jiandong Ren on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums”
North American Actuarial Journal | 2022-02-07 | Paper |
A new measure of mortality differentials based on precedence probability
European Actuarial Journal | 2022-01-14 | Paper |
Risk classification for claim counts: a comparative analysis of various zero-inflated mixed Poisson and hurdle models
North American Actuarial Journal | 2022-01-10 | Paper |
Pension plan valuation and mortality projection: a case study with mortality data
North American Actuarial Journal | 2022-01-10 | Paper |
Waiting period from diagnosis for mortgage insurance issued to cancer survivors
European Actuarial Journal | 2021-12-17 | Paper |
Generalization error for Tweedie models: decomposition and error reduction with bagging
European Actuarial Journal | 2021-12-17 | Paper |
Testing for more positive expectation dependence with application to model comparison
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Autocalibration and Tweedie-dominance for insurance pricing with machine learning
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Autocalibration and Tweedie-dominance for insurance pricing with machine learning
Insurance Mathematics & Economics | 2021-11-19 | 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 |
Matrix calculation for ultimate and 1-year risk in the semi-Markov individual loss reserving model
Scandinavian Actuarial Journal | 2021-07-21 | Paper |
Size-biased risk measures of compound sums
North American Actuarial Journal | 2021-04-28 | Paper |
From risk sharing to pure premium for a large number of heterogeneous losses
Insurance Mathematics & Economics | 2021-03-17 | Paper |
Investing in your own and peers' risks: the simple analytics of P2P insurance
European Actuarial Journal | 2021-01-20 | Paper |
Large-loss behavior of conditional mean risk sharing
ASTIN Bulletin | 2020-12-13 | Paper |
Wavelet-based feature extraction for mortality projection
ASTIN Bulletin | 2020-12-13 | Paper |
Effective Statistical Learning Methods for Actuaries II
Springer Actuarial | 2020-12-03 | Paper |
Smoothing the Lee–Carter and Poisson log-bilinear models for mortality forecasting
Statistical Modelling | 2020-10-07 | Paper |
Multivariate modelling of multiple guarantees in motor insurance of a household
European Actuarial Journal | 2020-03-06 | Paper |
Bounds on concordance-based validation statistics in regression models for binary responses
Methodology and Computing in Applied Probability | 2019-12-19 | Paper |
Model selection based on Lorenz and concentration curves, Gini indices and convex order
Insurance Mathematics & Economics | 2019-11-28 | Paper |
Size-biased transform and conditional mean risk sharing, with application to p2p insurance and tontines
ASTIN Bulletin | 2019-11-22 | Paper |
Concordance-based predictive measures in regression models for discrete responses
Scandinavian Actuarial Journal | 2019-11-06 | Paper |
| Pricing and reserving in LTC insurance | 2019-10-23 | Paper |
Effective statistical learning methods for actuaries I. GLMs and extensions
Springer Actuarial | 2019-09-11 | Paper |
Effective statistical learning methods for actuaries III. Neural networks and extensions
Springer Actuarial | 2019-08-13 | Paper |
Extreme value analysis of mortality at the oldest ages: a case study based on individual ages at death
North American Actuarial Journal | 2019-05-28 | Paper |
Beyond the Tweedie reserving model: the collective approach to loss development
North American Actuarial Journal | 2019-05-28 | Paper |
A dynamic equivalence principle for systematic longevity risk management
Insurance Mathematics & Economics | 2019-05-23 | Paper |
Bivariate Bernoulli weighted sums and distribution of single-period tontine benefits
Methodology and Computing in Applied Probability | 2019-04-26 | Paper |
Risk classification in life and health insurance: extension to continuous covariates
European Actuarial Journal | 2018-10-31 | Paper |
Multivariate modelling of household claim frequencies in motor third-party liability insurance
ASTIN Bulletin | 2018-10-19 | Paper |
Risk attitudes and the value of risk transformations
International Journal of Economic Theory | 2018-08-29 | Paper |
Tail mutual exclusivity and Tail-VaR lower bounds
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation
ASTIN Bulletin | 2018-06-04 | Paper |
Risk apportionment and multiply monotone targets
Mathematical Social Sciences | 2018-05-11 | Paper |
Collective loss reserving with two types of claims in motor third party liability insurance
Journal of Computational and Applied Mathematics | 2018-04-16 | Paper |
Updating mechanism for lifelong insurance contracts subject to medical inflation
European Actuarial Journal | 2018-04-03 | Paper |
Bounds on Kendall's tau for zero-inflated continuous variables
Statistics & Probability Letters | 2017-09-28 | Paper |
| Simple characterizations of comonotonicity and countermonotonicity by extremal correlations | 2017-03-13 | Paper |
| Application of the Poisson log-bilinear projection model to the G5 mortality experience | 2017-02-27 | Paper |
| Shifts in interest rate and common shock model for coupled lives | 2017-02-27 | Paper |
Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization
Insurance Mathematics & Economics | 2017-01-31 | Paper |
Multivariate higher-degree stochastic increasing convexity
Journal of Theoretical Probability | 2017-01-10 | Paper |
From regulatory life tables to stochastic mortality projections: the exponential decline model
Insurance Mathematics & Economics | 2016-12-14 | Paper |
A multivariate evolutionary credibility model for mortality improvement rates
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Semi-parametric accelerated hazard relational models with applications to mortality projections
Insurance Mathematics & Economics | 2016-10-06 | Paper |
Closing and projecting life tables using log-linear models
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
On the height of the implicit solvency margin contained in the independance hypothesis: insurance for the outstanding balance on a married couple
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
Vehicle insurance rates on panel data
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
Risk aversion, prudence, and asset allocation: a review and some new developments
Theory and Decision | 2016-02-29 | Paper |
Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models
European Actuarial Journal | 2016-01-22 | Paper |
Stochastic approximations in CBD mortality projection models
Journal of Computational and Applied Mathematics | 2015-12-21 | Paper |
Almost expectation and excess dependence notions
Theory and Decision | 2015-11-13 | Paper |
Model points and tail-VaR in life insurance
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Max-factor individual risk models with application to credit portfolios
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Comonotonicity, orthant convex order and sums of random variables
Statistics & Probability Letters | 2015-04-01 | Paper |
Efficient approximations for numbers of survivors in the Lee-Carter model
Insurance Mathematics & Economics | 2015-02-03 | Paper |
A separation theorem for the weak \(s\)-convex orders
Insurance Mathematics & Economics | 2015-02-03 | Paper |
Individual loss reserving using paid-incurred data
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Reserve-dependent benefits and costs in life and health insurance contracts
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Bivariate almost stochastic dominance
Economic Theory | 2014-11-14 | Paper |
Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape
Insurance Mathematics & Economics | 2014-09-22 | Paper |
Worst-case actuarial calculations consistent with single- and multiple-decrement life tables
Insurance Mathematics & Economics | 2014-07-16 | Paper |
Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance
Theory and Decision | 2014-06-18 | Paper |
Convex order and comonotonic conditional mean risk sharing
Insurance Mathematics & Economics | 2014-04-14 | Paper |
Improving your chances: a new result
Economics Letters | 2014-04-09 | Paper |
Benchmark values for higher order coefficients of relative risk aversion
Theory and Decision | 2014-04-08 | Paper |
Individual loss reserving with the multivariate skew normal framework
ASTIN Bulletin | 2014-02-27 | Paper |
Another look at risk apportionment
Journal of Mathematical Economics | 2013-12-20 | Paper |
Composite lognormal-Pareto model with random threshold
Scandinavian Actuarial Journal | 2013-12-13 | Paper |
Ruin problems under IBNR dynamics
Applied Stochastic Models in Business and Industry | 2013-11-15 | Paper |
Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality
European Actuarial Journal | 2013-08-20 | Paper |
Multivariate concave and convex stochastic dominance
EAA Series | 2013-07-30 | Paper |
Ordering functions of random vectors, with application to partial sums
Journal of Theoretical Probability | 2013-07-19 | Paper |
When Ross meets Bell: the linex utility function
Journal of Mathematical Economics | 2013-04-25 | Paper |
A sufficient condition of crossing type for the bivariate orthant convex order
Statistics & Probability Letters | 2013-01-25 | Paper |
The Solvency II square-root formula for systematic biometric risk
Insurance Mathematics & Economics | 2012-04-18 | Paper |
Correlation order, merging and diversification
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Stochastic mortality under measure changes
Scandinavian Actuarial Journal | 2011-11-26 | Paper |
Distribution of the random future life expectancies in log-bilinear mortality projection models
Lifetime Data Analysis | 2011-08-25 | Paper |
The dispersive effect of cross-aging with archimedean copulas
Statistics & Probability Letters | 2011-07-26 | Paper |
| A note on subadditivity of zero-utility premiums | 2011-06-15 | Paper |
Longevity-indexed life annuities
North American Actuarial Journal | 2011-06-07 | Paper |
A multivariate time series approach to projected life tables
Applied Stochastic Models in Business and Industry | 2011-04-06 | Paper |
Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
| First-order mortality rates and safe-side actuarial calculations in life insurance | 2011-02-01 | Paper |
Correlated risks, bivariate utility and optimal choices
Economic Theory | 2011-01-21 | Paper |
Positive Dependence of Signals
Journal of Applied Probability | 2010-10-12 | Paper |
Stronger measures of higher-order risk attitudes
Journal of Economic Theory | 2010-09-30 | Paper |
Some consequences of correlation aversion in decision science
Annals of Operations Research | 2010-09-20 | Paper |
Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes
Mathematical Social Sciences | 2010-09-15 | Paper |
Comonotonic approximations to quantiles of life annuity conditional expected present values extensions to general ARIMA models and comparison with the bootstrap
ASTIN Bulletin | 2010-06-21 | Paper |
| Bivariate Archimedean copula models for censored data in non-life insurance | 2010-06-07 | Paper |
| On the pricing of top and drop excess of loss covers | 2010-06-07 | Paper |
| Distributional bounds for functions of dependent risks | 2010-05-27 | Paper |
| scientific article; zbMATH DE number 5713282 (Why is no real title available?) | 2010-05-27 | Paper |
| The economics of insurance: a review and some recent developments | 2010-05-27 | Paper |
| Stochastic approximations of present value functions | 2010-05-27 | Paper |
Generalized increasing convex and directionally convex orders
Journal of Applied Probability | 2010-04-08 | Paper |
| scientific article; zbMATH DE number 5640261 (Why is no real title available?) | 2009-11-27 | Paper |
Moment bounds on discrete expected stop-loss transforms, with applications
Methodology and Computing in Applied Probability | 2009-08-31 | Paper |
Life anuities with stochastic survival probabilities: A review
Methodology and Computing in Applied Probability | 2009-08-31 | Paper |
An index for longevity risk transfer
Journal of Computational and Applied Mathematics | 2009-07-20 | Paper |
Fixed versus Random Effects in Poisson Regression Models for Claim Counts: A Case Study with Motor Insurance
ASTIN Bulletin | 2009-06-15 | Paper |
| scientific article; zbMATH DE number 5522381 (Why is no real title available?) | 2009-03-03 | Paper |
Dependence in failure times due to environmental factors
Statistics & Probability Letters | 2009-03-02 | Paper |
Credibility premiums for the zero-inflated Poisson model and new hunger for bonus interpretation
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Comonotonic approximations to quantiles of life annuity conditional expected present value
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Local Moment Matching and S-convex Extrema
ASTIN Bulletin | 2009-01-28 | Paper |
S-convex extremal distributions with arbitrary discrete support
Journal of Mathematical Inequalities | 2008-10-20 | Paper |
| scientific article; zbMATH DE number 5321684 (Why is no real title available?) | 2008-09-05 | Paper |
Convex bounds on multiplicative processes, with applications to pricing in incomplete markets
Insurance Mathematics & Economics | 2008-08-22 | Paper |
Negative binomial version of the Lee–Carter model for mortality forecasting
Applied Stochastic Models in Business and Industry | 2008-06-18 | Paper |
Discrete \(s\)-convex extremal distributions: theory and applications
Applied Mathematics Letters | 2008-04-10 | Paper |
COMPARISON OF DEPENDENCE IN FACTOR MODELS WITH APPLICATION TO CREDIT RISK PORTFOLIOS
Probability in the Engineering and Informational Sciences | 2008-03-13 | Paper |
Association and heterogeneity of insured lifetimes in the Lee–Carter framework
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
Bonus-Malus scales using exponential loss functions
Blätter der DGVFM | 2007-10-30 | Paper |
Stochastic analysis of duplicates in life insurance portfolios
Blätter der DGVFM | 2007-10-30 | Paper |
On the stochastic increasingness of future claims in the Bühlmann linear credibility premium
Blätter der DGVFM | 2007-10-30 | Paper |
| Boundary calculus for the premiums by exceeding the loss of the rik functions in the presence of partial information on their margins | 2007-10-22 | Paper |
Duration dependence models for claim counts
Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) | 2007-10-10 | Paper |
| Actuarial Modelling of Claim Counts | 2007-08-28 | Paper |
Supermodular comparison of time-to-ruin random vectors
Methodology and Computing in Applied Probability | 2007-08-17 | Paper |
Heterogeneity and the need for capital in the individual model
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
An actuarial analysis of the French bonus-malus system
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
Bayesian Poisson log-bilinear mortality projections
Insurance Mathematics & Economics | 2007-05-24 | Paper |
Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
Journal of Computational and Applied Mathematics | 2007-04-11 | Paper |
Risk measurement with equivalent utility principles
Statistics & Risk Modeling | 2007-01-30 | Paper |
Bounds on convex reliability functions with known first moments
European Journal of Operational Research | 2006-12-07 | Paper |
Bonus-malus Systems with Varying Deductibles
ASTIN Bulletin | 2006-10-04 | Paper |
Monotonicity results for portfolios with heterogeneous claims arrival processes
Insurance Mathematics & Economics | 2006-08-14 | Paper |
Bootstrapping the Poisson log-bilinear model for mortality forecasting
Scandinavian Actuarial Journal | 2006-05-24 | Paper |
| On spline approximation for bivariate functions of increasing convex type | 2006-04-12 | Paper |
Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
North American Actuarial Journal | 2006-01-05 | Paper |
Non-life rate-making with Bayesian GAMs
Insurance Mathematics & Economics | 2005-08-05 | Paper |
| scientific article; zbMATH DE number 2188756 (Why is no real title available?) | 2005-07-27 | Paper |
Setting a Bonus-Malus Scale in the Presence of Other Rating Factors: Taylor's Work Revisited
ASTIN Bulletin | 2005-03-30 | Paper |
Dependence in Dynamic Claim Frequency Credibility Models
ASTIN Bulletin | 2005-03-30 | Paper |
A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
ASTIN Bulletin | 2005-03-30 | Paper |
Testing for Concordance Ordering
ASTIN Bulletin | 2005-03-30 | Paper |
Constraints on concordance measures in bivariate discrete data
Journal of Multivariate Analysis | 2005-02-09 | Paper |
| scientific article; zbMATH DE number 2101191 (Why is no real title available?) | 2004-09-21 | Paper |
| scientific article; zbMATH DE number 2101198 (Why is no real title available?) | 2004-09-21 | Paper |
Variability orders and mean differences
Statistics & Probability Letters | 2003-11-27 | Paper |
A Poisson log-bilinear regression approach to the construction of projected lifetables.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
The concept of comonotonicity in actuarial science and finance: applications.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Laplace transform ordering of actuarial quantities.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Measuring the impact of dependence between claims occurrences.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Does positive dependence between individual risks increase stop-loss premiums?
Insurance Mathematics & Economics | 2003-11-16 | Paper |
The concept of comonotonicity in actuarial science and finance: theory.
Insurance Mathematics & Economics | 2003-06-25 | Paper |
Smooth generators of integral stochastic orders.
The Annals of Applied Probability | 2003-05-06 | Paper |
Polynomial structures in order statistics distributions
Journal of Statistical Planning and Inference | 2003-04-09 | Paper |
S -Convex Extrema, Taylor-Type Expansions and Stochastic Approximations
Scandinavian Actuarial Journal | 2002-11-21 | Paper |
Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications
Scandinavian Actuarial Journal | 2002-11-21 | Paper |
On the stop-loss and total variation distances between random sums
Statistics & Probability Letters | 2002-06-16 | Paper |
Optimal reinsurance and stop-loss order
Insurance Mathematics & Economics | 2002-06-10 | Paper |
An extension of Osuna's model for stress caused by waiting
Journal of Mathematical Psychology | 2002-06-04 | Paper |
On \(s\)-convexity and risk aversion
Theory and Decision | 2002-01-14 | Paper |
Stochastic convexity of the Poisson mixture model
Methodology and Computing in Applied Probability | 2002-01-04 | Paper |
| scientific article; zbMATH DE number 1664582 (Why is no real title available?) | 2002-01-03 | Paper |
Stochastic orderings of convex/concave-type on an arbitrary grid
Mathematics of Operations Research | 2001-11-26 | Paper |
GENERALIZED STOCHASTIC CONVEXITY AND STOCHASTIC ORDERINGS OF MIXTURES
Probability in the Engineering and Informational Sciences | 2001-08-12 | Paper |
A class of bivariate stochastic orderings, with applications in actuarial sciences
Insurance Mathematics & Economics | 2001-08-06 | Paper |
On \(s\)-convex approximations
Advances in Applied Probability | 2001-05-06 | Paper |
On the theory of high convexity stochastic orders
Statistics & Probability Letters | 2001-04-09 | Paper |
Time stochastic \(s\)-convexity of claim processes
Insurance Mathematics & Economics | 2001-02-18 | Paper |
Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory
Scandinavian Actuarial Journal | 2000-11-01 | Paper |
Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
Insurance Mathematics & Economics | 2000-08-21 | Paper |
On \(s\)-convex stochastic extrema for arithmetic risks
Insurance Mathematics & Economics | 2000-03-30 | Paper |
The safest dependence structure among risks.
Insurance Mathematics & Economics | 2000-03-30 | Paper |
Stochastic bounds on sums of dependent risks
Insurance Mathematics & Economics | 2000-01-31 | Paper |
Impact of dependence among multiple claims in a single loss
Insurance Mathematics & Economics | 2000-01-01 | Paper |
Stochastic Orderings of Convex-Type for Discrete Bivariate Risks
Scandinavian Actuarial Journal | 1999-09-14 | Paper |
The s-convex orders among real random variables, with applications
Mathematical Inequalities & Applications | 1999-07-19 | Paper |
Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences
Insurance Mathematics & Economics | 1999-01-05 | Paper |
