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Non-Life Insurance: Mathematics & Statistics
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Non-Life Insurance: Mathematics & Statistics (2013)Non-Life Insurance: Mathematics & Statist…Ruin Probabilities (2010)Ruin ProbabilitiesModern Actuarial Risk Theory (2008)Modern Actuarial Risk TheoryA General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Stochastic Finance (2004)Stochastic FinanceStochastic Claims Reserving in General Insurance (2002)Stochastic Claims Reserving i…On the coherence of expected shortfall (2002)On the coherence of expected …Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…Coherent Measures of Risk (1999)Coherent Measures of RiskA general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates (1993)Distribution-free Calculation…Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Estimates for the probability…Recursive Evaluation of a Family of Compound Distributions (1981)Recursive Evaluation of a Fam…Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …On the probability function in the collective theory of risk (1932)On the probability function i…The Pricing of Options and Corporate Liabilities (1973)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)Theory of Rational Option Pricing (1973)Martingales and arbitrage in multiperiod securities markets (1979)Arbitrage Theory in Continuous Time (1998)The concept of comonotonicity in actuarial science and finance: applications (2002)Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)Risk measures and comonotonicity (2006)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Controlled diffusion models for optimal dividend pay-out (1997)Inf-convolution of risk measures and optimal risk transfer (2005)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1999Stochastic Processes for Insurance & Finance775 cited
  • 1970Mathematical Methods in Risk Theory718 cited
  • 2004Stochastic Finance701 cited
  • 2008Modern Actuarial Risk Theory661 cited
  • 2010Ruin Probabilities572 cited
  • 1981Recursive Evaluation of a Family of Compound Distributions571 cited
  • 1993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates551 cited
  • 2002Stochastic Claims Reserving in General Insurance445 cited
  • 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims388 cited
  • 1932On the probability function in the collective theory of risk

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