Department of Actuarial Science

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617 publications

In press | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | ...
In press
 
The matrix sequential probability ratio test and multivariate ruin theory
Albrecher H., Peralta Gutierrez O. Matrix Annals. Peer-reviewed.
[serval:BIB_BB4E78B842E6]
 
The Impact of Technological Progress on the Future of Work: Insights from a Survey on Alternative Employment Contracts in OECD countries
Deruelle T., Ugarte A., Wagner J. Journal of the Knowledge Economy. Peer-reviewed.
[DOI][serval:BIB_34D759BDA76D]
 
Extremes of locally-homogenous vector-valued Gaussian processes
Ievlev Pavel Extremes. Peer-reviewed.
[DOI][serval:BIB_A0081BF365C8]
 
Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance
Ievlev Pavel Stochastic Models pp. 1-0. Peer-reviewed.
[DOI][serval:BIB_DE17736D1B18]
2024
Preferences for innovations in healthcare delivery models in the Swiss elderly population: a latent class, choice modelling study.
Nicolet A., Perraudin C., Krucien N., Wagner J., Peytremann-Bridevaux I., Marti J., 2024/04/03. European journal of public health, 34 (2) pp. 260-266. Peer-reviewed.
[URN][DOI][WoS][Pmid][serval:BIB_07487F2901A8]
 
On Berman Functions
Dȩbicki Krzysztof, Hashorva Enkelejd, Michna Zbigniew, 2024/03. Methodology and Computing in Applied Probability, 26 (1). Peer-reviewed.
[DOI][Pmid][serval:BIB_9BEFF266CA6D]
Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
Sascha Günther, Peter Hieber, 2024. Insurance: Mathematics and Economics, 114 pp. 15-28.
[URN][DOI][serval:BIB_6C900F8F2464]
 
Informed censoring: the parametric combination of data and expert information
Albrecher H., Bladt M., 2024. Journal of Statistical Planning and Inference, 233 p. 106171. Peer-reviewed.
[serval:BIB_DBC3A174E05F]
On the Adoption of Smart Home Technology in Switzerland: Results from a Survey Study Focusing on Prevention and Active Healthy Aging Aspects
Iten R., Wagner J., Zeier Röschmann A., 2024. Smart Cities, 7 (1) pp. 370-413. Peer-reviewed.
[URN][DOI][serval:BIB_8EDA5F76EC9C]
 
On the Factors Determining the Health Profiles and Care Needs of Institutionalized Elders
Shemendyuk A., Wagner J., 2024. Insurance: Mathematics and Economics, 114 pp. 223-241. Peer-reviewed.
[DOI][serval:BIB_596C6FD87CC3]
 
Risk Management & Introduction to Insurance
Wagner J., Fuino M., 2024., EPFL Press.
[DOI][serval:BIB_30B304A12184]
 
Statistics of Extremes for the Insurance Industry
Albrecher H., Beirlant J., 2024. dans Handbook of Statistics of Extremes, Chapman & Hall.
[serval:BIB_795B584D225F]
2023
 
Lower bound for the expected supremum of fractional brownian motion using coupling
Bisewski Krzysztof, 2023/12. Journal of Applied Probability, 60 (4) pp. 1232-1248. Peer-reviewed.
[DOI][WoS][serval:BIB_5359468584AE]
 
Editorial introduction: special issue on Gaussian queues
Dȩbicki Krzysztof, Hashorva Enkelejd, Mandjes Michel, 2023/10. Queueing Systems, 105 (1-2) pp. 1-4.
[DOI][WoS][serval:BIB_10C6CAC30192]
 
On the speed of convergence of Piterbarg constants
Bisewski Krzysztof, Jasnovidov Grigori, 2023/10. Queueing Systems, 105 (1-2) pp. 129-137. Peer-reviewed.
[DOI][WoS][serval:BIB_45ABA7DA83FD]
 
Sojourns of fractional Brownian motion queues: transient asymptotics
Dȩbicki Krzysztof, Hashorva Enkelejd, Liu Peng, 2023/10. Queueing Systems, 105 (1-2) pp. 139-170. Peer-reviewed.
[DOI][WoS][serval:BIB_14CF02C86D42]
 
Smart Homes: An Academic Review of The Risk Implications
Wagner J., 2023/06/21. Insurance Edge.
[serval:BIB_A5C06BF72A88]
Preferences of older adults for healthcare models designed to improve care coordination: Evidence from Western Switzerland.
Nicolet A., Perraudin C., Krucien N., Wagner J., Peytremann-Bridevaux I., Marti J., 2023/06. Health policy, 132 p. 104819. Peer-reviewed.
[URN][DOI][WoS][Pmid][serval:BIB_46F8882495E3]
 
Simultaneous ruin probability for multivariate Gaussian risk model
Bisewski Krzysztof, Dȩbicki Krzysztof, Kriukov Nikolai, 2023/06. Stochastic Processes and their Applications, 160 pp. 386-408. Peer-reviewed.
[DOI][serval:BIB_797A9490B0AC]
The harmonic mean formula for random processes
Bisewski Krzysztof, Hashorva Enkelejd, Shevchenko Georgiy, 2023/04/04. Stochastic Analysis and Applications, 41 (3) pp. 591-603. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_16AC6DA37C39]
Why are we still using couterfoil prescription pads ?
Junod Valérie, Baud Carole-Anne, Schmitt-Koopmann C., Devaud J.C., Bonnard Margaux, Pautex S., Broers Barbara, Simon O., 2023/03/11. Swiss Medical Weekly.
[URN][serval:BIB_CB48556C50F9]
Smart Home: Ein Ansatz für aktives und gesundes Altern? - Eine Studie zu Potenzial und Erwartungen
Erny M., Iten R., Wagner J., Zeier Röschmann A., 2023/03., ZHAW, Swica, terzStiftung, UNIL.
[URN][DOI][serval:BIB_E24C52071FCC]
 
A matrix-valued Schoenberg's problem and its applications
Ievlev Pavel, Novikov Svyatoslav, 2023/01/01. Electronic Communications in Probability, 28 (none). Peer-reviewed.
[DOI][serval:BIB_2102B4B54133]
A Systematic Literature Review on Sustainability Issues along the Value Chain in Insurance Companies and Pension Funds
Aburto Barrera L., Wagner J., 2023. European Actuarial Journal, 13 (2) pp. 653-701. Peer-reviewed.
[URN][DOI][Pmid][serval:BIB_DCFF352A5927]
Continuous scaled phase-type distributions
Albrecher Hansjoerg, Bladt Martin, Bladt Mogens, Yslas Altamirano Jorge, 2023. Stochastic Models, 39 (2) pp. 293-322. Peer-reviewed.
[URN][serval:BIB_6D31E93470C9]
Designing Privacy in Personalized Health: An Empirical Analysis
Deruelle T., Kalouguina V., Trein Ph., Wagner J., 2023. Big Data & Society, 10 (1) pp. 1-9. Peer-reviewed.
[URN][serval:BIB_14CAAD2BF6E1]
Is there a "pandemic effect" on individuals' willingness to take genetic tests?
Deruelle T., Kalouguina V., Trein P., Wagner J., 2023. European Journal of Human Genetics, 31 (3) pp. 360-362. Peer-reviewed.
[URN][DOI][WoS][Pmid][serval:BIB_E55C44B66678]
Joint lifetime modelling with matrix distributions
Albrecher H., Bladt M., Mueller A., 2023. Dependence Modeling, 11 p. 20220153. Peer-reviewed.
[URN][serval:BIB_40E7A9A91A4D]
Modelling the Burden of Long-Term Care for Institutionalised Elderly Based on Care Duration and Intensity
Bladt M., Fuino M., Shemendyuk A., Wagner J., 2023. Annals of Actuarial Science, 17 (1) pp. 83-117. Peer-reviewed.
[URN][DOI][serval:BIB_265A903F1538]
On children’s motives to influence parents’ long-term care insurance purchase – Evidence from Switzerland
Courbage C., Montoliu-Montes G., Wagner J., 2023. Geneva Papers on Risk and Insurance - Issues and Practice, 48 pp. 102-129. Peer-reviewed.
[URN][DOI][serval:BIB_CBB7FB31691E]
On potential information asymmetries in long-term care insurance: a simulation study using data from Switzerland
Ugarte A., Wagner J., 2023. Insurance: Mathematics and Economics, 111 pp. 230-241. Peer-reviewed.
[URN][DOI][serval:BIB_79CBFA1231DD]
On the determinants and the role of the payers in the uptake of genetic testing and data sharing in personalized health
Kalouguina V., Wagner J., 2023. Frontiers in Public Health - Health Economics, 11 p. 920286. Peer-reviewed.
[URN][DOI][serval:BIB_B2F74082561D]
Optimal dividend bands revisited: A gradient-based method and evolutionary algorithms
Albrecher H., Garcia Flores B., 2023. Scandinavian Actuarial Journal, 2023 (8) pp. 788-810. Peer-reviewed.
[URN][serval:BIB_C48A24D862DA]
 
Optimal dividends under a drawdown constraint and a curious square-root rule
Albrecher H., Azcue P., Muler N., 2023. Finance and Stochastics, 27 (2) pp. 341-400. Peer-reviewed.
[serval:BIB_A1522D3AB65F]
Randomization and the Valuation of Guaranteed Minimum Death Benefits
Griselda Deelstra, Peter Hieber, 2023. European Journal of Operational Research, 309 pp. 1218-1236.
[URN][DOI][serval:BIB_1E7C6E0A88B2]
 
Sojourn times of Gaussian and related random fields
Dȩbicki Krzysztof, Hashorva Enkelejd, Liu Peng, Michna Zbigniew, 2023. Latin American Journal of Probability and Mathematical Statistics, 20 (1) p. 249. Peer-reviewed.
[DOI][serval:BIB_B683BCAF5F44]
The determinants of the mobility patterns of the elderly in Switzerland
Huggenberger Y., Wagner J., Wanzenried G., 2023. Journal of Housing and the Built Environment, 38 pp. 2151-2184. Peer-reviewed.
[URN][DOI][serval:BIB_00CE121ADF66]
The future of insurance intermediation in the age of the digital platform economy
Stricker L., Wagner J., Zeier Röschmann A., 2023. Journal of Risk and Financial Management, 16 (9) p. 381. Peer-reviewed.
[URN][DOI][serval:BIB_1A1DA972674D]
2022
 
Uniform bounds for ruin probability in multidimensional risk model
Kriukov Nikolai, 2022/11. Statistics & Probability Letters, 190 p. 109622. Peer-reviewed.
[DOI][serval:BIB_A1106D84D698]
 
Parisian & cumulative Parisian ruin probability for two-dimensional Brownian risk model
Kriukov Nikolai, 2022/05/19. Stochastics, 94 (4) pp. 629-645. Peer-reviewed.
[DOI][WoS][serval:BIB_3F063DD31153]
 
Estimation of Change-Point Models
Bai L., 2022/04. Journal of Mathematical Sciences, 262 (4) pp. 425-441. Peer-reviewed.
[DOI][serval:BIB_E8929A76A8FC]
Equalization Reserves for Reinsurance and Non-Life Undertakings in Switzerland
Breuer Anja, Staudt Yves, 2022/03/03. Risks, 10 (3) p. 55. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_6B92FE3912F1]
 
On the continuity of Pickands constants
Dębicki Krzysztof, Hashorva Enkelejd, Michna Zbigniew, 2022/03. Journal of Applied Probability, 59 (1) pp. 187-201. Peer-reviewed.
[DOI][WoS][serval:BIB_DDFED3032EF6]
 
Parisian ruin probability for two-dimensional Brownian risk model
Krystecki Konrad, 2022/03. Statistics & Probability Letters, 182 p. 109327. Peer-reviewed.
[DOI][serval:BIB_4A80D9BAFBFA]
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
Albrecher H., Cheung E.C.K., Liu H., Woo J.K., 2022. Insurance: Mathematics and Economics, 103 pp. 96-118. Peer-reviewed.
[URN][serval:BIB_915F168E516B]
 
Approximations of copulas via transformed moments
Mnatsakanov R., Albrecher H., Loisel S., 2022. Methodology and Computing in Applied Probability, 24 (4) pp. 3175-3193. Peer-reviewed.
[serval:BIB_7B92322ACAA4]
Association between continuity of care (COC), healthcare use and costs: what can we learn from claims data? A rapid review.
Nicolet A., Al-Gobari M., Perraudin C., Wagner J., Peytremann-Bridevaux I., Marti J., 2022. BMC Health Services Research, 22 (658). Peer-reviewed.
[URN][DOI][Pmid][serval:BIB_31E8E32C0457]
 
Asymptotic analysis of generalized Greenwood statistics for very heavy tails
Albrecher H., Garcia Flores Brandon, 2022. Statistics and Probability Letters, 185 p. 109429. Peer-reviewed.
[serval:BIB_0189A3D06205]
 
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin
Albrecher H., Finger D., Goffard P.O., 2022. Insurance: Mathematics and Economics, 105 pp. 313-335. Peer-reviewed.
[serval:BIB_031857737B6B]
 
Can 7000 Years of Flood History Inform Actual Flood Risk Management? A Case Study on Lake Mondsee, Austria
Prettenthaler F., Kortschak D., Albrecher H., Koeberl J., Stangl M., 2022. International Journal of Disaster Risk Reduction, 81 p. 103227. Peer-reviewed.
[serval:BIB_FBB3AC1F64BD]
Continuity of care and multimorbidity in the 50+ Swiss population: An analysis of claims data
Nicolet A., Peytremann-Bridevaux I., Bagnoud C., Perraudin C., Wagner J., Marti J., 2022. SSM - Population Health, 17 p. 101063. Peer-reviewed.
[URN][DOI][Pmid][serval:BIB_AF0972C7210C]
Continuity of care of Swiss residents aged 50+: a longitudinal study using claims data
Nicolet Anna, Peytremann-Bridevaux Isabelle, Wagner Joël, Perraudin Clémence, Bagnoud Christophe, Marti Joachim, 2022. Integrated Healthcare Journal, 4 (e000105). Peer-reviewed.
[URN][DOI][serval:BIB_3E3368E9BB3D]
Derivative of the expected supremum of fractional Brownian motion at H=1
Bisewski K., Dȩbicki K., Rolski T., 2022. Queueing systems, 102 (1-2) pp. 53-68. Peer-reviewed.
[URN][DOI][WoS][Pmid][serval:BIB_B91907DA9E91]
 
Derivatives of sup-functionals of fractional Brownian motion evaluated at H= 12
Bisewski Krzysztof, Dȩbicki Krzysztof, Rolski Tomasz, 2022/01/01. Electronic Journal of Probability, 27 (none). Peer-reviewed.
[DOI][serval:BIB_C924F173BC5F]
Exploring Patient Multimorbidity and Complexity Using Health Insurance Claims Data: A Cluster Analysis Approach.
Nicolet A., Assouline D., Le Pogam M.A., Perraudin C., Bagnoud C., Wagner J., Marti J., Peytremann-Bridevaux I., 2022. JMIR Medical Informatics, 10 (4) pp. e34274. Peer-reviewed.
[URN][DOI][WoS][Pmid][serval:BIB_9981E10F0721]
Factors Driving Duration to Cross-selling in Non-life Insurance: New Empirical Evidence from Switzerland
Staudt Y., Wagner J., 2022. Risks, 10 (10) p. 187. Peer-reviewed.
[URN][DOI][serval:BIB_0560ADA4ACF3]
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
Albrecher Hansjoerg, Bladt Mogens, Yslas Altamirano Jorge, 2022. Scandinavian Journal of Statistics, 49 (1) pp. 44-77. Peer-reviewed.
[URN][serval:BIB_FB1E82ED87A1]
Gestion du risque et introduction aux assurances
Wagner J., Fuino M., 2022., EPFL Press.
[URN][DOI][serval:BIB_379A2249C063]
Green Insurance: A Roadmap for Executive Management
Stricker L., Pugnetti C., Wagner J., Zeier Röschmann A., 2022. Journal of Risk and Financial Management, 15 (5) p. 221. Peer-reviewed.
[URN][DOI][serval:BIB_F26991BFEA42]
How does regulating doctors’ admissions affect health expenditures? Evidence from Switzerland
Fuino M., Trein Ph., Wagner J., 2022. BMC Health Services Research, 22 (495) pp. 1-13. Peer-reviewed.
[URN][DOI][serval:BIB_6400F2E65380]
Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
Hanna Vanessa, Hieber Peter, Devolder Pierre, 2022. Scandinavian Actuarial Journal, 2022 (5) pp. 421-446.
[URN][DOI][serval:BIB_C0D0DB6A46FA]
MODERN LIFE-CARE TONTINES
Peter Hieber, Nathalie Lucas, 2022. ASTIN Bulletin, 52 (2) pp. 563-589.
[URN][DOI][serval:BIB_36B9208F3A29]
MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS
Michel Denuit, Peter Hieber, Robert Christian Y., 2022. ASTIN Bulletin, 52 (3) pp. 813-834. Peer-reviewed.
[URN][DOI][serval:BIB_0E4E9E1570BB]
 
On a Markovian game model for competitive insurance pricing
Mouminoux C., Dutang C., Loisel S., Albrecher H., 2022. Methodology and Computing in Applied Probability, 24 (2) pp. 1061-1091. Peer-reviewed.
[serval:BIB_9B5A9CA5C9BD]
On the (Future) Role of On-Demand Insurance: Market Landscape, Business Model and Customer Perception
Erny M., Wagner J., Zeier Röschmann A., 2022. Geneva Papers on Risk and Insurance - Issues and Practice, 47 pp. 603–642. Peer-reviewed.
[URN][DOI][serval:BIB_9CB2928B8183]
On the Cost-of-Capital Rate under Incomplete Market Valuation
Albrecher H., Eisele K., Steffensen M., Wüthrich M., 2022. Journal of Risk and Insurance, 89 (4) pp. 1139-1158. Peer-reviewed.
[URN][serval:BIB_E49A13D06E26]
On the Drivers of Potential Customers' Interest in Long-term Care Insurance: Evidence from Switzerland
Fuino M., Ugarte A., Wagner J., 2022. Risk Management and Insurance Review, 25 (3) pp. 271-302. Peer-reviewed.
[URN][DOI][serval:BIB_2EE4714D2539]
On the profitability of selfish blockchain mining under consideration of ruin
Albrecher H., Goffard P.-O., 2022. Operations Research, 70 (1) pp. 179-200. Peer-reviewed.
[URN][serval:BIB_C21C7E337DF1]
 
On the randomized Schmitter problem
Albrecher H., Araujo-Acuna J.C., 2022. Methodology and Computing in Applied Probability, 24 pp. 515-535. Peer-reviewed.
[serval:BIB_8B3784284953]
 
Optimal ratcheting of dividends in a Brownian risk model
Albrecher H., Azcue P., Muler N., 2022. SIAM Journal on Financial Mathematics, 13 (3) pp. 657-701. Peer-reviewed.
[serval:BIB_AA907AEFF35E]
Pandemic-type failures in multivariate Brownian risk models.
Dȩbicki K., Hashorva E., Kriukov N., 2022. Extremes, 25 (1) pp. 1-23. Peer-reviewed.
[URN][DOI][WoS][Pmid][serval:BIB_962E6471BF29]
Patient and Public Preferences for Coordinated Care in Switzerland: Development of a Discrete Choice Experiment.
Nicolet A., Perraudin C., Wagner J., Gilles I., Krucien N., Peytremann-Bridevaux I., Marti J., 2022. The Patient, 15 (4) pp. 485-496. Peer-reviewed.
[URN][DOI][WoS][Pmid][serval:BIB_C1CCCADF656C]
 
Penalised likelihood methods for phase-type dimension selection
Albrecher H., Bladt M., Mueller A., 2022. Statistics & Risk Modeling, 39 (3-4) pp. 75-92. Peer-reviewed.
[serval:BIB_42CC23E6DC66]
Short- and Long-Term Dynamics of Cause-Specific Mortality Rates Using Cointegration Analysis
Arnold Séverine, Glushko Viktoriya, 2022. North American Actuarial Journal, 26 (2) pp. 161-183. Peer-reviewed.
[URN][DOI][serval:BIB_4E305EA43C0D]
 
Sojourns of a two-dimensional fractional Bronwian motion risk process
Jasnovidov Grigori, 2022. Filomat, 36 (14) pp. 4675-4686.
[DOI][WoS][serval:BIB_0A64BD37FCE2]
 
Tail measures and regular variation
Bladt Martin, Hashorva Enkelejd, Shevchenko Georgiy, 2022/01/01. Electronic Journal of Probability, 27 (none). Peer-reviewed.
[DOI][serval:BIB_12EB8A7CDBD9]
Valuation of long-term care options embedded in life annuities
Chen A., Fuino M., Sehner T., Wagner J., 2022. Annals of Actuarial Science, 16 (1) pp. 68-94. Peer-reviewed.
[URN][DOI][serval:BIB_F82CAD73CAD8]
2021
 
Finite-time ruin probability for correlated Brownian motions
Dȩbicki Krzysztof, Hashorva Enkelejd, Krystecki Konrad, 2021/11/26. Scandinavian Actuarial Journal, 2021 (10) pp. 890-915. Peer-reviewed.
[DOI][WoS][serval:BIB_D561B6F23D0D]
 
Mortality by socio-economic class and its impact on the retirement schemes: how to render the systems fairer?
Jijiie Anca, Alonso-García Jennifer, Arnold Séverine, 2021/11/25. European Actuarial Journal.
[DOI][serval:BIB_770D3EF64E89]
 
Shift-invariant homogeneous classes of random fields
Hashorva E, 2021/11/01..
[serval:BIB_7CA6EEDCBF47]
 
Derivatives of sup-functionals of fractional Brownian motion evaluated at H=1/2
Bisewski K, Debicki K, Rolski T, 2021/10/17..
[serval:BIB_4FDE89D04562]
 
Approximation of Kolmogorov–Smirnov test statistic
Bai Long, Kalaj David, 2021/10/03. Stochastics, 93 (7) pp. 993-1027. Peer-reviewed.
[DOI][WoS][serval:BIB_472721C140B4]
Risikowandel durch Smart Home
Erny M., Iten R., Wagner J., Zeier Röschmann A., 2021/10. Competence. Das Magazin der ZHAW School of Management and Law, 2021 pp. 22-23.
[URN][serval:BIB_FC49FDACA601]
 
Two-dimensional Brownian risk model for cumulative Parisian ruin probability
Krystecki K, 2021/09/27..
[serval:BIB_E009BC1C86DB]
 
Multivariate extremes over a random number of observations
Hashorva Enkelejd, Padoan Simone A., Rizzelli Stefano, 2021/09. Scandinavian Journal of Statistics, 48 (3) pp. 845-880. Peer-reviewed.
[DOI][WoS][serval:BIB_F53AA9EC24B1]
 
On the speed of convergence of discrete Pickands constants to continuous ones
Bisewski K, Jasnovidov G, 2021/08/02..
[serval:BIB_EFCE7C51DBD3]
 
Sojourn Ruin of a Two-Dimensional Fractional Brownian Motion Risk Process
Jasnovidov G, 2021/07/23..
[serval:BIB_26EE9E233782]
Cause-specific mortality rates: Common trends and differences
Arnold Séverine, Glushko Viktoriya, 2021/07. Insurance: Mathematics and Economics, 99 pp. 294-308.
[URN][DOI][WoS][serval:BIB_F1CB643B2385]
Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics
Hashorva Enkelejd, Mishura Yuliya, Shevchenko Georgiy, 2021/06. Journal of Theoretical Probability, 34 (2) pp. 728-754. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_C4B819B956CB]
 
Bounds for expected supremum of fractional Brownian motion with drift
Bisewski Krzysztof, Dębicki Krzysztof, Mandjes Michel, 2021/06. Journal of Applied Probability, 58 (2) pp. 411-427. Peer-reviewed.
[DOI][WoS][serval:BIB_A9C4601C50E8]
Multivariate max-stable processes and homogeneous functionals
Hashorva Enkelejd, Kume Alfred, 2021/06. Statistics & Probability Letters, 173 p. 109066. Peer-reviewed.
[URN][DOI][serval:BIB_3DA4D8AC53EB]
On Extremal Index of Max-Stable Random Fields
Hashorva Enkelejd, 2021/04. Lithuanian Mathematical Journal, 61 (2) pp. 217-238. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_498EC345E111]
 
Simultaneous Ruin Probability for Two-Dimensional Fractional Brownian Motion Risk Process over Discrete Grid
Jasnovidov Grigori, 2021/04. Lithuanian Mathematical Journal, 61 (2) pp. 246-260. Peer-reviewed.
[DOI][WoS][serval:BIB_9E5D7059E5BB]
 
Parisian Ruin for Insurer and Reinsurer under Quata-Share Treaty
Jasnovidov G, Shemendyuk A, 2021/03/04..
[serval:BIB_463C65A085F8]
Assessing the Performance of Random Forests for Modeling Claim Severity in Collision Car Insurance
Staudt Y., Wagner J., 2021. Risks, 9 (53). Peer-reviewed.
[URN][DOI][serval:BIB_1FCA98100E54]
 
Cobbler stick to your last? Social democrats’ electoral returns from labour market policy
Fossati Flavia, Trein Philipp, 2021. Journal of Social Policy, 50 (1) pp. 188 - 208. Peer-reviewed.
[URN][DOI][serval:BIB_01EFB2B3DD19]
Cointegration of causes of mortality as a possible measure of human ageing
Arnold Séverine, 2021. Research Outreach 125 pp. 86-89.
[URN][serval:BIB_126711930F61]
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
Albrecher H., Bladt M., Vatamidou E., 2021. Methodology and Computing in Applied Probability, 23 pp. 1237-1255. Peer-reviewed.
[URN][serval:BIB_9F421B24061F]
 
Espérance de vie et mortalité
Arnold Séverine, 2021..
[serval:BIB_C5123FAC9E37]
 
Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data
Albrecher Hansjörg, Araujo-Acuna José Carlos, Beirlant Jan, 2021. North American Actuarial Journal, 25 (2) pp. 135-162. Peer-reviewed.
[DOI][serval:BIB_B74F09947807]
Governing Personalized Health: A Scoping Review
Trein Ph., Wagner J., 2021. Frontiers in Genetics, 12 p. 650504. Peer-reviewed.
[URN][DOI][serval:BIB_C8066CB6440E]
Multivariate Matrix Mittag-Leffler distributions
Albrecher H., Bladt Martin, Bladt Mogens, 2021. Ann. Inst. Statist. Math., 73 (2) pp. 369-394. Peer-reviewed.
[URN][serval:BIB_397CBF22B0EB]
On the Identification, Evaluation and Treatment of Risks in Smart Homes: A Systematic Literature Review
Iten R., Wagner J., Zeier Röschmann A., 2021. Risks, 9 (6). Peer-reviewed.
[URN][DOI][serval:BIB_6309EBF1703E]
Optimal retirement products under subjective mortality beliefs
An Chen, Peter Hieber, Manuel Rach, 2021. Insurance: Mathematics and Economics, 101 (A) pp. 55-69.
[URN][DOI][serval:BIB_40E1DBAB8FC9]
Public Opinion on Health Care and Public Health
Trein Ph., Fuino M., Wagner J., 2021. Preventive Medicine Reports, 23 p. 101460. Peer-reviewed.
[URN][DOI][serval:BIB_4F7862A665ED]
Structured reinsurance deals with reference to relative market performance
Vincent Leonard, Albrecher Hansjoerg, Krvavych Yuriy, 2021. Insurance: Mathematics and Economics, 101 pp. 125-139 . Peer-reviewed.
[URN][serval:BIB_B24261458D85]
Tempered Pareto-type modelling using Weibull distributions
Albrecher H., Araujo Acuna J., Beirlant J., 2021. ASTIN Bulletin, 51 (2) pp. 509-538. Peer-reviewed.
[URN][serval:BIB_5760502CB2B9]
 
Trimmed extreme value estimators for censored heavy-tailed data
Bladt Martin, Albrecher Hansjoerg, Beirlant Jan, 2021. Electronic Journal of Statistics, 15 pp. 3112-3136. Peer-reviewed.
[serval:BIB_075DE9E09875]
 
Visions et choix à l'épreuve de la réalité.
Arnold Séverine, 2021..
[serval:BIB_F32ACDF7A361]
2020
 
Sojourn Times of Gaussian Processes with Trend
Dȩbicki Krzysztof, Liu Peng, Michna Zbigniew, 2020/12. Journal of Theoretical Probability, 33 (4) pp. 2119-2166. Peer-reviewed.
[DOI][WoS][serval:BIB_40B3FD018772]
Challenges and Solutions for Integrating and Financing Personalized Medicine in Healthcare Systems: A Systematic Literature Review
Veronika Kalouguina, Joël Wagner, 2020/11/16. Journal of Risk and Financial Management.
[URN][DOI][serval:BIB_A25304463377]
 
Retirement Ages by Socio-Economic Class
Arnold Séverine, Jijiie Anca, 2020/10/04. Risks, 8 (4) p. 102.
[DOI][serval:BIB_90609CD50E82]
 
Approximation of ruin probability and ruin time in discrete Brownian risk models
Jasnovidov Grigori, 2020/09/13. Scandinavian Actuarial Journal, 2020 (8) pp. 718-735. Peer-reviewed.
[DOI][WoS][serval:BIB_7F9613726984]
Extremes of vector-valued Gaussian processes
Dȩbicki Krzysztof, Hashorva Enkelejd, Wang Longmin, 2020/09. Stochastic Processes and their Applications, 130 (9) pp. 5802-5837. Peer-reviewed.
[URN][DOI][serval:BIB_ED895F978F9F]
 
Federal dynamics, solidarity, and European Union crisis politics
Trein Philipp, 2020/07/02. Journal of European Public Policy, 27 (7) pp. 977-994. Peer-reviewed.
[DOI][WoS][serval:BIB_54CC446FF071]
 
Simultaneous ruin probability for two-dimensional brownian risk model
Dȩbicki Krzysztof, Hashorva Enkelejd, Michna Zbigniew, 2020/06. Journal of Applied Probability, 57 (2) pp. 597-612. Peer-reviewed.
[DOI][serval:BIB_2828EB6DAA3A]
 
How Does Corruption Affect the Adoption of Lobby Registers? A Comparative Analysis
De Francesco Fabrizio, Trein Philipp, 2020/05/28. Politics and Governance, 8 (2) pp. 116-127. Peer-reviewed.
[DOI][WoS][serval:BIB_6FF34C40C250]
 
Estimation in Change-point Models
Bai L., 2020/05/01. Fundamentalnaya i prikladnaya matematika, 23 (1) pp. 51-73. Peer-reviewed.
[serval:BIB_C37A40B7E5B0]
 
Learning in Political Analysis
Vagionaki Thenia, Trein Philipp, 2020/05. Political Studies Review, 18 (2) pp. 304-319. Peer-reviewed.
[DOI][WoS][serval:BIB_6AE036CC7E7E]
On Portfolios of Preventive Decisions for Multiple Health Risks - Evidence from US-Based Data.
Courbage C, Kalouguina V, 2020/05. Healthcare policy = Politiques de sante. Peer-reviewed.
[URN][DOI][Pmid][serval:BIB_240B4E3FE85B]
 
Probability of a high trajectory maximum for a Gaussian nonstationary process
Kobelʹkov S. G., Piterbarg V.I., Radionov I.V., Hashorva E., 2020/05/01. Fundam. Prikl. Mat., 23 (1) pp. 161-174. Peer-reviewed.
[serval:BIB_0DEA732E4D6F]
 
Extremes of standard multifractional Brownian motion
Bai Long, 2020/04. Statistics & Probability Letters, 159 pp. Article 108697.
[DOI][serval:BIB_11FFBCC12183]
Patterns of Policy Integration and Administrative Coordination Reforms: A Comparative Empirical Analysis
Trein Philipp, Maggetti Martino, 2020/03. Public Administration Review, 80 (2) pp. 198-208. Peer-reviewed.
[URN][DOI][serval:BIB_B322ACDD6AF6]
Approximation of Supremum of Max-Stable Stationary Processes & Pickands Constants
Dȩbicki Krzysztof, Hashorva Enkelejd, 2020/02. Journal of Theoretical Probability, 33 (1) pp. 444-464.
[URN][DOI][serval:BIB_63CB54A3B7D7]
Asymptotic domination of sample maxima
Hashorva Enkelejd, Rullière Didier, 2020/01. Statistics & Probability Letters, 160 p. 108703. Peer-reviewed.
[URN][DOI][serval:BIB_2013A928BB35]
Challenges and Solutions for Integrating and Financing Personalized Medicine in Healthcare Systems: a Systematic Literature Review
Kalouguina V., Wagner J., 2020. Journal of Risk and Financial Management, 13 (11) p. 283. Peer-reviewed.
[URN][DOI][serval:BIB_CEBB879FC516]
Combined tail estimation using censored data and expert information
Bladt M., Albrecher H., Beirlant J., 2020. Scandinavian Actuarial Journal, 2020 (6) pp. 503-525. Peer-reviewed.
[URN][serval:BIB_22EB67C34F5A]
Customer Preferences in German Life Insurance Savings Products: A Conjoint Analysis Approach
Fuino M., Maichel-Guggemoos L., Wagner J., 2020. Journal of Insurance Issues, 43 (2) pp. 97-133. Peer-reviewed.
[URN][DOI][serval:BIB_A6ECF7603F3A]
Duration of Long-Term Care: Socio-Economic Factors, Type of Care Interactions and Evolution
Fuino M., Wagner J., 2020. Insurance: Mathematics and Economics, 90 pp. 151-168. Peer-reviewed.
[URN][DOI][serval:BIB_87E210402E8F]
 
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
Albrecher H., Chen B., Vatamidou E., Zwart B., 2020. Journal of Applied Probability, 57 (2) pp. 513-530. Peer-reviewed.
[serval:BIB_465EF4D43255]
How Do Health, Care Services Consumption and Lifestyle Factors Affect the Choice of Health Insurance Plans in Switzerland?
Kalouguina V., Wagner J., 2020. Risks, 8 (41).
[URN][DOI][serval:BIB_FAC05EFBC9E4]
 
Koordination und Integration im E-Government
Hustedt Thurid, Trein Philipp, 2020. pp. 1-10 dans Handbuch Digitalisierung in Staat und Verwaltung, Springer Fachmedien Wiesbaden.
[URN][DOI][serval:BIB_0512BB3B5A27]
 
L’orientation scolaire et professionnelle.
Massoudi Koorosh, 2020. dans Bonvin J.-M., Hugentobler V., Knöpfel C., Maeder P., Tecklenburg U. (eds.) Dictionnaire de politique sociale suisse , Seismo.
[serval:BIB_8E76AA4A8286]
 
Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
Albrecher H., Bladt Martin, Bladt Mogens, 2020. Extremes, 23 (3) pp. 425–450. Peer-reviewed.
[URN][serval:BIB_04236C016619]
 
Multivariate fractional phase-type distributions
Albrecher Hansjoerg, Bladt Martin, Bladt Mogens, 2020. Fractional Calculus and Applied Analysis, 23 (5) pp. 1431-1451. Peer-reviewed.
[serval:BIB_F951F2B9F6AD]
Nouvelles formes de travail : Quelles perspectives pour la sécurité sociale ?
Wagner J., Bonoli G., 2020. Bulletin de l'Association Suisse des Actuaires, 2020 pp. 22-23.
[URN][serval:BIB_CF6ED94EF4EE]
On marine liability portfolio modeling
Guevara-Alarcon W., Albrecher H., Chowdhury P., 2020. ASTIN Bulletin, 50 (1) pp. 61-93. Peer-reviewed.
[URN][DOI][serval:BIB_A154D10730CF]
On the Characteristics of Reporting ADL Limitations and Formal LTC Usage across Europe
Fuino M., Rudnytskyi I., Wagner J., 2020. European Actuarial Journal, 10 (2) pp. 557-597. Peer-reviewed.
[URN][DOI][serval:BIB_0D15037680C5]
 
Optimal ratcheting of dividends in insurance
Albrecher H., Azcue P., Muler N., 2020. SIAM Journal on Control and Optimization, 58 (4) pp. 1822-1845. Peer-reviewed.
[URN][serval:BIB_08E4654E1E64]
 
Regulatory measures for distressed insurance undertakings: a comparative study
An Chen, Peter Hieber, Lars Lämmlein, 2020. Scandinavian Actuarial Journal, 1 pp. 478-507.
[DOI][serval:BIB_7434D561A957]
 
Spatial dependence modelling of flood risk using max-stable processes: The example of Austria
Albrecher H., Kortschak D., Prettenthaler F., 2020. Water, 12 (1805) pp. 1-26. Peer-reviewed.
[DOI][serval:BIB_1A714C17E5A9]
The (Lacking) User Adoption of COVID-19 Contact Tracing Apps – Insights from Switzerland and Germany
Bonner M., Naous D., Legner C., Wagner J., 2020. p. 12 dans WISP 2020 Proceedings. Pre-ICIS Workshop on Information Security and Privacy (SIGSEC).
[URN][serval:BIB_1EE0BDEB3281]
The effect of long-term care public benefits and insurance on informal care from outside the household: Empirical evidence from Italy and Spain
Courbage C., Montoliu-Montes G., Wagner J., 2020. The European Journal of Health Economics, 21 pp. 1131–1147. Peer-reviewed.
[URN][DOI][serval:BIB_05948EFC6B51]
 
Trimming and threshold selection in extremes
Bladt M., Albrecher H., Beirlant J., 2020. Extremes, 23 (5) pp. 629-665. Peer-reviewed.
[URN][serval:BIB_0FE1CD5C80A1]
Valuation of Hybrid Financial and Actuarial Products in Life Insurance by a Novel Three-Step Method
Griselda Deelstra, Pierre Devolder, Kossi Gnameho, Peter Hieber, 2020. ASTIN Bulletin, 50 (3) pp. 709-742.
[URN][DOI][serval:BIB_6D3792B07CA1]
2019
 
Periodic or Generational Actuarial Tables: Which One to Choose?
Arnold S., Jijiie A., Jondeau E., Rockinger M., 2019/12/31. European Actuarial Journal, 9 (2) pp. 519-554. Peer-reviewed.
[DOI][serval:BIB_5EE4D9189F02]
On market share drivers in the Swiss mandatory health insurance sector
Daily-Amir D., Albrecher H., Bladt M., Wagner J., 2019/11/07. Risks, 7 (4) p. 114. Peer-reviewed.
[URN][DOI][serval:BIB_9F366F5317E6]
 
How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach
Kaakaï Sarah, Labit Hardy Héloïse, Arnold Séverine, El Karoui Nicole, 2019/11. Insurance: Mathematics and Economics, 89 pp. 16-37. Peer-reviewed.
[DOI][serval:BIB_6F7E04543E72]
 
Drawdown and Drawup for Fractional Brownian Motion with Trend
Bai Long, Liu Peng, 2019/09. Journal of Theoretical Probability, 32 (3) pp. 1581-1612. Peer-reviewed.
[DOI][WoS][serval:BIB_B92600AA6D9D]
Extremes of spherical fractional Brownian motion
Cheng Dan, Liu Peng, 2019/09. Extremes, 22 (3) pp. 433-457. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_49B4467DE444]
 
Extremes of stationary random fields on a lattice
Ling Chengxiu, 2019/09. Extremes, 22 (3) pp. 391-411. Peer-reviewed.
[DOI][WoS][serval:BIB_4491C2B99FD5]
 
The time of ultimate recovery in Gaussian risk model
Debicki Krzysztof, Liu Peng, 2019/09. Extremes, 22 (3) pp. 499-521. Peer-reviewed.
[DOI][WoS][serval:BIB_DB6C77611469]
Drivers of Old-Age Dependence and Long-Term Care Usage in Switzerland: a Structural Equation Model Approach
Rudnytskyi I., Wagner J., 2019/08/26. Risks, 7 (3) p. 92.
[URN][DOI][serval:BIB_401041877EE9]
 
Knowledge, policymaking and learning for European cities and regions
Trein Philipp, 2019/07/04. Local Government Studies, 45 (4) pp. 597-599. Peer-reviewed.
[DOI][WoS][serval:BIB_BC45AA50A39B]
Integration, functional differentiation and problem‐solving in multilevel governance
Trein Philipp, Thomann Eva, Maggetti Martino, 2019/06. Public Administration, 97 (2) pp. 339-354. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_500C78B2E38D]
 
Asymptotics of multivariate conditional risk measures for Gaussian risks
Ling Chengxiu, 2019/05. Insurance: Mathematics and Economics, 86 pp. 205-215.
[DOI][serval:BIB_0C0B63855D64]
 
Extremes of Gaussian chaos processes with trend
Bai Long, 2019/05. Journal of Mathematical Analysis and Applications, 473 (2) pp. 1358-1376.
[DOI][WoS][serval:BIB_43C20B26E441]
 
What's the Problem? Multilevel Governance and Problem‐Solving
Thomann Eva, Trein Philipp, Maggetti Martino, 2019/05. European Policy Analysis, 5 (1) pp. 37-57. Peer-reviewed.
[DOI][serval:BIB_B65B15E170FC]
 
Special Issue on Long-Term Care Financing and Insurance, The Geneva Papers on Risk and Insurance - Issues and Practice
Costa-Font J., Courbage C., Wagner J. (eds.), 2019/04/03., 44 2, The Geneva Association.
[serval:BIB_BA863E28F254]
Long-term care insurance research and trajectory
Costa-Font J., Courbage C., Wagner J., 2019/04. The Geneva Papers on Risk and Insurance - Issues and Practice, 44 (2) pp. 179-182. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_022F9973EEAB]
A location-invariant non-positive moment-type estimator of the extreme value index
Liu Chuandi, Ling Chengxiu, 2019/03/04. Communications in Statistics - Theory and Methods, 48 (5) pp. 1166-1176.
[URN][DOI][WoS][serval:BIB_5747523A8290]
Multilevel governance and problem-solving: Towards a dynamic theory of multilevel policy-making?
Maggetti Martino, Trein Philipp, 2019/01/24. Public Administration, 97 (2) pp. 355-369. Peer-reviewed.
[URN][DOI][serval:BIB_64759969C99A]
 
A constraint-free approach to optimal reinsurance
Gerber H.U., Shiu E.S.W., Yang H., 2019/01/02. Scandinavian Actuarial Journal, 2019 (1) pp. 62-79. Peer-reviewed.
[DOI][WoS][serval:BIB_AAE052904D3B]
 
Generational transfers within the occupational pension system in Switzerland
Arnold S., Jijiie A., 2019/01/02. European Actuarial Journal. Peer-reviewed.
[DOI][serval:BIB_8AB22C545EB3]
Approximation of some multivariate risk measures for Gaussian risks
Hashorva Enkelejd, 2019/01. Journal of Multivariate Analysis, 169 pp. 330-340. Peer-reviewed.
[URN][DOI][serval:BIB_80191ADB012D]
Balancing growth, profitability and safety in the German insurance market
Maichel-Guggemoos L., Wagner J., 2019. pp. 421-442 dans Zeitschrift für die gesamte Versicherungswissenschaft, Sonderheft zur Jahrestagung 2019. Peer-reviewed.
[URN][DOI][serval:BIB_7D1C172C73F0]
 
Constrained non-concave utility maximization: An application to life insurance contracts with guarantees
An Chen, Peter Hieber, Thai Nguyen, 2019. European Journal of Operational Research, 273 (3) pp. 1119-1135.
[DOI][serval:BIB_244C7BBC8CBD]
 
Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
Peter Hieber, Jan Natolski, Ralf Werner, 2019. Scandinavian Actuarial Journal, 6 pp. 478-507.
[DOI][serval:BIB_5C025EB37880]
 
Flood occurrence change-point analysis in the paleoflood record from Lake Mondsee (NE Alps)
Albrecher H., Bladt M., Kortschak D., Prettenthaler F., Swierczynski T., 2019. Global and Planetary Change, 178 pp. 65-76. Peer-reviewed.
[DOI][serval:BIB_F36B5ABDA9AD]
 
Health Policy
Trein Philipp, 2019. pp. 323-338 dans Soguel Nils, Emery Yves, Weerts Sophie, Nahrath Stéphane, Ladner Andreas (eds.) Swiss Public Administration Making the State Work Successfully, Palgrave Macmillan.
[serval:BIB_1013]
Inhomogeneous phase-type distributions and heavy tails
Albrecher Hansjoerg, Bladt Mogens, 2019. Journal of Applied Probability, 56 (4) pp. 1044-1064. Peer-reviewed.
[URN][DOI][serval:BIB_B83669353BF6]
Insurance: Models, Digitalization, and Data Science
Albrecher H., Bommier A., Filipovic D., Koch P., Loisel S., Schmeiser H., 2019. European Actuarial Journal, 9 (2) pp. 349-360. Peer-reviewed.
[URN][serval:BIB_0738B8D047C4]
 
Le modèle de mortalité CMI - Partie 1: La solution pour les caisses de pensions suisses?
Arnold Séverine, Rockinger Michael, Jondeau Eric, Jijiie Anca-Stefania, 2019. Prévoyance Professionnelle Suisse 5 pp. 107-112.
[serval:BIB_4166B0F50C17]
 
Le modèle de mortalité CMI - Partie 2: La solution pour les caisses de pensions suisses?
Arnold Séverine, Rockinger Michael, Jondeau Eric, Jijiie Anca-Stefania, 2019. Prévoyance Professionnelle Suisse 6 pp. 94-101.
[serval:BIB_0C2007B28370]
On randomized reinsurance contracts
Albrecher H., Cani A., 2019. Insurance: Mathematics & Economics, 84 pp. 67-78. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_25AC9DA7A933]
Ruin probability approximations in Sparre Andersen models with completely monotone claims
Albrecher H., Vatamidou E., 2019. Risks, 7 (4) pp. 104-117. Peer-reviewed.
[URN][serval:BIB_8009D2491DA0]
 
The single server queue with mixing dependencies
Raaijmakers Y., Albrecher H., Boxma O., 2019. Methodology and Computing in Applied Probability, 21 pp. 1023–1044. Peer-reviewed.
[serval:BIB_F99983BEADE0]
TONUITY: A NOVEL INDIVIDUAL-ORIENTED RETIREMENT PLAN
Chen An, Hieber Peter, Klein Jakob, 2019. ASTIN Bulletin, 3 (34) pp. 73-97.
[URN][DOI][serval:BIB_FFF582F68889]
2018
Tail measure and spectral tail process of regularly varying time series
Dombry Clément, Hashorva Enkelejd, Soulier Philippe, 2018/12. The Annals of Applied Probability, 28 (6) pp. 3884-3921. Peer-reviewed.
[URN][DOI][serval:BIB_300C29A9B84D]
 
The Joint Distribution of Running Maximum of a Slepian Process
Deng P., 2018/12. Methodology and Computing in Applied Probability, 20 (4) pp. 1123-1135. Peer-reviewed.
[DOI][WoS][serval:BIB_E310BF8D0A48]
 
Extremes of Lp-norm of vector-valued Gaussian processes with trend
Bai Long, 2018/11/17. Stochastics, 90 (8) pp. 1111-1144. Peer-reviewed.
[DOI][WoS][serval:BIB_8001CD335AB4]
Extremes of threshold-dependent Gaussian processes
Bai Long, Dȩbicki Krzysztof, Hashorva Enkelejd, Ji Lanpeng, 2018/11. Science China Mathematics, 61 (11) pp. 1971-2002. Peer-reviewed.
[URN][DOI][serval:BIB_2405A4A3F64E]
Old-Age Care Prevalence in Switzerland: Drivers and Future Development
Fuino M., Wagner J., 2018/10/29. European Actuarial Journal, 8 (2) pp. 321-362. Peer-reviewed.
[URN][DOI][serval:BIB_353642822986]
Robust Estimations for the Tail Index of Weibull-Type Distribution
Gong Chengping, Ling Chengxiu, 2018/10/11. Risks p. 15.
[URN][DOI][serval:BIB_BFA77BD6EABE]
 
Extremes of nonstationary Gaussian fluid queues
Dȩbicki Krzysztof, Liu Peng, 2018/09. Advances in Applied Probability, 50 (3) pp. 887-917. Peer-reviewed.
[DOI][serval:BIB_B0B46C55E89E]
 
Extremes of vector-valued Gaussian processes with Trend
Bai L., Dȩbicki K., Liu P., 2018/09. Journal of Mathematical Analysis and Applications, 465 (1) pp. 47-74. Peer-reviewed.
[DOI][serval:BIB_807E8ED93084]
 
Foreword by the Guest Editors of the RARE special issue
Constantinescu C., Hashorva E., Kratz M., 2018/09. Annals of Actuarial Science, 12 (2) pp. 209-210.
[DOI][WoS][serval:BIB_79B6A4A6AEC5]
 
Mixture copulas and insurance applications
Tamraz Maissa, 2018/09. Annals of Actuarial Science, 12 (02) pp. 391-411. Peer-reviewed.
[DOI][serval:BIB_6B4CBC85BB0B]
 
On age difference in joint lifetime modelling with life insurance annuity applications
Dufresne François, Hashorva Enkelejd, Ratovomirija Gildas, Toukourou Youssouf, 2018/09. Annals of Actuarial Science, 12 (02) pp. 350-371. Peer-reviewed.
[DOI][serval:BIB_F57F9EB569D0]
Policy Characteristics and Stakeholder Returns in Participating Life Insurance: Which Contracts Can Lead to a Win-Win?
Mirza C., Wagner J., 2018/09/01. European Actuarial Journal, 8 (2) pp. 291-320. Peer-reviewed.
[URN][DOI][serval:BIB_347FDEAA6D27]
Representations of max-stable processes via exponential tilting
Hashorva E., 2018/09. Stochastic Processes and their Applications, 128 (9) pp. 2952-2978. Peer-reviewed.
[URN][DOI][serval:BIB_FA961B329180]
How Do the Consideration of Non-Normal Return Distributions and of Higher Moments Influence the Optimal Asset Allocation in Swiss Pension Funds?
Müller P., Wagner J., 2018/08/23. dans Zeitschrift für die gesamte Versicherungswissenschaft, Sonderheft zur Jahrestagung 2018. Peer-reviewed.
[URN][DOI][serval:BIB_E65585536AD8]
Piecewise Linear Approximation of Empirical Distributions under a Wasserstein Distance Constraint
Arbenz P., Guevara-Alarcón W., 2018/08/07. Journal of Statistical Computation and Simulation, 88 (16) pp. 3193-3216. Peer-reviewed.
[URN][DOI][serval:BIB_0B54D99F9EE7]
 
Healthy or Sick ? Coevolution of Health Care and Public Health in a Comparative Perspective
Trein Philipp, 2018/07/31. 318, Cambridge University Press.
[DOI][serval:BIB_39B776F92E4F]
 
Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
Bai L., 2018/07/03. Scandinavian Actuarial Journal, 2018 (6) pp. 514-528. Peer-reviewed.
[DOI][WoS][serval:BIB_583ECC715434]
Asset-liability management for long-term insurance business
Albrecher H., Bauer D., Embrechts P., Filipović D., Koch-Medina P., Korn R., Loisel S., Pelsser A., Schiller F., Schmeiser H. et al., 2018/06. European Actuarial Journal, 8 (1) pp. 9-25. Peer-reviewed.
[URN][DOI][serval:BIB_FB98C45289A9]
Some mathematical aspects of price optimisation
Hashorva E., Ratovomirija G., Tamraz M., Bai Y., 2018/05/28. Scandinavian Actuarial Journal, 2018 (5) pp. 379-403. Peer-reviewed.
[URN][DOI][serval:BIB_454B43A43A12]
DOMINATION OF SAMPLE MAXIMA AND RELATED EXTREMAL DEPENDENCE MEASURES
Hashorva E., 2018/05/05. Dependence Modelling, 6 pp. 88--101. Peer-reviewed.
[URN][serval:BIB_04162B5F3910]
 
ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION
Tamraz Maissa, Vernic Raluca, 2018/05. ASTIN Bulletin, 48 (02) pp. 841-870. Peer-reviewed.
[DOI][WoS][serval:BIB_830EEDB3E432]
 
On Generalised Piterbarg Constants
Bai L., Debicki K., Hashorva E., Luo L., 2018/03. Methodology and Computing in Applied Probability, 20 (1) pp. 137-164. Peer-reviewed.
[DOI][serval:BIB_4B8B54BB45FC]
Extremal behavior of hitting a cone by correlated Brownian motion with drift
Dȩbicki Krzysztof, Hashorva Enkelejd, Ji Lanpeng, Rolski Tomasz, 2018/02. Stochastic Processes and their Applications, 128 pp. 4171–4206. Peer-reviewed.
[URN][DOI][serval:BIB_C1D5C5852CAE]
Extremes of randomly scaled Gumbel risks
Dȩbicki K., Farkas J., Hashorva E., 2018/02. Journal of Mathematical Analysis and Applications, 458 (1) pp. 30-42. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_72B8642D8972]
 
Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances
Alai D.H., Arnold S., Bajekal M., Villegas A.M., 2018/01/05. North American Actuarial Journal, 22 (2) pp. 161-181. Peer-reviewed.
[DOI][serval:BIB_9FD43AB3AD99]
 
Analyser les transferts générationnels.
Arnold Séverine, Jijiie Anca-Stefania, 2018. Prévoyance Professionnelle Suisse 1 pp. 89-93.
[serval:BIB_F00A3C770B0C]
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