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| List of publications |
| 2003 |
| A generalized Benford law and its application. Advances and Applications in Statistics 3(3), 217-228. Web Preprint. From the general affine transform family to a Pareto type IV model. Web Preprint. On optioned portfolio selection under option strategies. Proceedings 13th International AFIR Colloquium, Maastricht, Netherlands, September 17-19, 2003. Optimality of a stop-loss reinsurance in layers. 34th International ASTIN Colloquium, Berlin, August 25-27, 2003. The impact of reinsurance on the cost of capital. 34th International ASTIN Colloquium, Berlin, August 25-27, 2003. An economic risk capital allocation for lookback financial losses. Manuscript. The algebra of cash flows : theory and application. In : L.C. Jain and A.F. Shapiro (Eds.). Intelligent and Other Computational Techniques in Insurance - Theory and Applications (Series on Innovative Intelligence), Chapter 18. World Scientific Publishing Company. A Gaussian exponential approximation to some compound Poisson distributions. ASTIN Bulletin 33(1), 41-55. General affine transform families : why is the Pareto an exponential transform ? Statistical Papers 44, 499-519. Web Preprint. Conditional value-at-risk bounds for compound Poisson risks and a normal approximation. Journal of Applied Mathematics 3(3), 141-154. Hutchinson-Lai's conjecture for bivariate extreme value copulas. Statistics and Probability Letters 61(2), 191-198. Web Preprint. |
| 2004 |
| On the economic risk capital of portfolio insurance. International Journal of Mathematics and Mathematical Sciences, no. 41, 2209-2218. Web Preprint. Is the Karlsruhe premium a fair value premium? Blätter der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik XXVI, Heft 4, 701-708. Fair pricing using deflators and decrement copulas: the unit linked endowment approach. Blätter der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik XXVI, Heft 3, 421-437. The primitive cuboids with natural edges and diagonals according to Catalan and Sierpinski. Web Preprint. Far East Journal of Mathematical Sciences 12(3), 277-290. Multivariate Fréchet copulas and conditional value-at-risk. Web Preprint. International Journal of Mathematics and Mathematical Sciences, no. 7, 345-364. Measuring operational risk using a mean scaled individual risk model. Web Preprint. Applied Mathematics and Computation 152(2), 425-447. Integer powers and Benford's law. International Journal of Pure and Applied Mathematics 11(1), 39-46. Web Preprint. On the rate of convergence to asymptotic independence between order statistics. Statistics and Probability Letters 66(3), 355-362. Web Preprint. Fitting bivariate cumulative returns with copulas. Computational Statistics and Data Analysis 45(2), 355-372. Web Preprint. Distortion risk measures and economic capital. 2003 Bowles Symposium CAS, Georgia State University, Atlanta, April 10-11, 2003. North American Actuarial Journal 8(1), 86-95. |
| 2005 |
| A note on generalized distortion risk measures. New Mathematical Methods in Risk Theory. Workshop in honour of Hans Bühlmann, October 6-8, 2005, Florence. Finance Research Letters 3(4), 267-272. Credible loss ratio claims reserves: the Benktander, Neuhaus and Mack methods revisited. 36th Int. ASTIN Colloquium Zürich, Sept. 4-7, 2005. Presentation. Coauthors: Verlaak, R. and J. Beirlant. Benchmark rates for excess of loss reinsurance programs. 36th Int. ASTIN Colloquium Zürich, Sept. 4-7, 2005. Presentation. Properties and measures of dependence for the Archimax copula. Advances and Applications in Statistics 5(2), 125-143. Web Preprint. Excess of loss reinsurance with reinstatements revisited. ASTIN Bulletin 35(1), 211-238. Improved analytical bounds for gambler's ruin probabilities. Methodology and Computing in Applied Probability 7, 79-95. Web Preprint. |