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Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
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Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform (2004)Arbitrage-free premium calculation for ex…Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (2003)Pricing of catastrophe reinsu…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Moments of compound renewal sums with discounted claims (2001)Moments of compound renewal s…Lévy processes : theory and applications (2001)Lévy processes : theory and a…Extreme Value Distributions: Theory and Applications (2000)Extreme Value Distributions: …Extreme Value Distributions (2000)Extreme Value DistributionsStochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…Ruin theory with compounding assets — a survey (1998)Ruin theory with compounding …Modelling Extremal Events (1997)Modelling Extremal EventsActuarial bridges to dynamic hedging and option pricing (1996)Actuarial bridges to dynamic …Explosive Poisson Shot Noise Processes with Applications to Risk Reserves (1995)Explosive Poisson Shot Noise …Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Martingales and insurance risk (1989)Martingales and insurance riskClassical risk theory in an economic environment (1987)Classical risk theory in an e…Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Piecewise-Deterministic Marko…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Introduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)On minimizing the ruin probability by investment and reinsurance (2002)The application of continuous-time random walks in finance and economics (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Stochastic Differential Equations (2003)Catastrophe options with stochastic interest rates and compound Poisson losses (2006)Ruin probabilities and aggregrate claims distributions for shot noise Cox processes (2006)A dynamic contagion process (2011)Point Processes and Queues: Martingale Dynamics. (1983)Optimal Control with State-Space Constraint. II (1986)State space collapse with application to heavy traffic limits for multiclass queueing networks (1998)The politics of attention: how government prioritizes problems (2006)The t Copula and Related Copulas (2007)Statistical Modeling of Spatial Extremes (2012)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Copulas: Tales and facts (2006)A General Empirical Law of Public Budgets: A Comparative Analysis (2009)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Measures of risk (2002)Non-parametric calibration of jump–diffusion option pricing models (2004)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1984Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models1,123 cited
  • 2000Extreme Value Distributions: Theory and Applications1,010 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 2000Extreme Value Distributions806 cited
  • 1999Stochastic Processes for Insurance & Finance775 cited
  • 1999Stochastic Processes for Insurance and Finance499 cited
  • 2001Lévy processes : theory and applications338 cited
  • 2003Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity198 cited
  • 1996Actuarial bridges to dynamic hedging and option pricing189 cited
  • 1989Martingales and insurance risk176 cited
  • 1995Explosive Poisson Shot Noise Processes with Applications to Risk Reserves146 cited
  • 1987Classical risk theory in an economic environment114 cited
  • 1998Ruin theory with compounding assets — a survey82 cited
  • 2001Moments of compound renewal sums with discounted claims

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