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Loss Models
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Loss Models (2008)Loss ModelsStock prices, dividends, earnings, and investor sentiment (2015)Stock prices, dividends, earn…Modeling claims data with composite Stoppa models (2015)Modeling claims data with com…A Simple and Reliable Way to Compute Option-Based Risk-Neutral Distributions (2014)A Simple and Reliable Way to …Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects (2013)Pricing Standardized Mortalit…Flexible dependence modeling of operational risk losses and its impact on total capital requirements (2013)Flexible dependence modeling …The Omega model: from bankruptcy to occupation times in the red (2012)The Omega model: from bankrup…Longitudinal modeling of insurance claim counts using jitters (2012)Longitudinal modeling of insu…A Bayesian Hierarchical Model with Spatial Variable Selection: The Effect of Weather on Insurance Claims (2012)A Bayesian Hierarchical Model…Statistical concepts of a priori and a posteriori risk classification in insurance (2011)Statistical concepts of a pri…Predicting the Frequency and Amount of Health Care Expenditures (2011)Predicting the Frequency and …Markovian Approaches to Joint-Life Mortality (2011)Markovian Approaches to Joint…Risk modelling with the mixed Erlang distribution (2010)Risk modelling with the mixed…Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions (2010)Modeling and Evaluating Insur…TVaR-based capital allocation with copulas (2009)TVaR-based capital allocation…Securitization, Insurance, and Reinsurance (2009)Securitization, Insurance, an…Loss Distribution Approach for Operational Risk (2007)Loss Distribution Approach fo…Modeling and Forecasting U. S. Mortality (1992)Coherent mortality forecasts for a group of populations: An extension of the lee-carter method (2005)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)Multi-Population Mortality Models: A Factor Copula Approach (2014)A step-by-step guide to building two-population stochastic mortality models (2015)Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization (2016)A Comparison of Alternative Models for the Demand for Medical Care (1983)Health insurance and the demand for medical care: evidence from a randomized experiment. (1987)Handbook of Health Economics (2001)Testing Alternative Regression Frameworks for Predictive Modeling of Health Care Costs (2015)A dependent frequency–severity approach to modeling longitudinal insurance claims (2019)Predictive compound risk models with dependence (2020)Simulation Modeling and Analysis. (1983)Empirical Model Building and Response Surfaces (1988)Loss Models: From Data to Decisions (1999)A new class of models for heavy tailed distributions in finance and insurance risk (2012)Modeling loss data using mixtures of distributions (2016)On generalized log-Moyal distribution: A new heavy tailed size distribution (2018)Modelling Extremal Events (1997)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)U.S. stock markets and the role of real interest rates (2015)Hedging downside risk of oil refineries: A vine copula approach (2017)Copula approaches for modeling cross-sectional dependence of data breach losses (2018)Matrix-Geometric Solutions to Stochastic Models (1984)TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (2011)Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation (2013)ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS (2014)Statistical Size Distributions in Economics and Actuarial Sciences (2003)Modeling actuarial data with a composite lognormal-Pareto model (2005)On composite lognormal-Pareto models (2007)Modelling censored losses using splicing: A global fit strategy with mixed Erlang and extreme value distributions (2017)Extending composite loss models using a general framework of advanced computational tools (2019)A class of claim distributions: Properties, characterizations and applications to insurance claim data (2020)Aspects of Risk Theory (1991)Simulated Moments Estimation of Markov Models of Asset Prices (1993)Reading the smile: the message conveyed by methods which infer risk neutral densities (2000)Optimal capacity in the banking sector and economic growth (2002)Copulas for Finance - A Reading Guide and Some Applications (2007)Loss Distribution Approach in Practice (2007)Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Calibrating CAT Bonds for Mexican Earthquakes (2010)The Impact of the Financial Crisis and Natural Catastrophes on CAT Bonds (2014)Pricing in the Primary Market for Cat Bonds: New Empirical Evidence (2015)Ruin Probabilities (2000)Lundberg Approximations for Compound Distributions with Insurance Applications (2001)The Time Value of Ruin in a Sparre Andersen Model (2005)Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions (2011)Econometric Models for Count Data with an Application to the Patents-R & D Relationship (1984)Statistics of Extremes (2004)Statistics of Extremes: Theory and Applications (2004)Auto Insurance Premium Calculation Using Generalized Linear Models (2015)A data driven binning strategy for the construction of insurance tariff classes (2018)Automobile insurance classification ratemaking based on telematics driving data (2019)
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  • 2007Loss Distribution Approach for Operational Risk175 cited
  • 2009Securitization, Insurance, and Reinsurance147 cited
  • 2010Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions129 cited
  • 2009TVaR-based capital allocation with copulas97 cited
  • 2011Predicting the Frequency and Amount of Health Care Expenditures73 cited
  • 2011Statistical concepts of a priori and a posteriori risk classification in insurance70 cited
  • 2015Modeling claims data with composite Stoppa models68 cited
  • 2013Pricing Standardized Mortality Securitizations: A Two‐Population Model With Transitory Jump Effects67 cited
  • 2010Risk modelling with the mixed Erlang distribution61 cited
  • 2013Flexible dependence modeling of operational risk losses and its impact on total capital requirements58 cited
  • 2015Stock prices, dividends, earnings, and investor sentiment55 cited
  • 2012The Omega model: from bankruptcy to occupation times in the red51 cited
  • 2014A Simple and Reliable Way to Compute Option-Based Risk-Neutral Distributions49 cited
  • 2012A Bayesian Hierarchical Model with Spatial Variable Selection: The Effect of Weather on Insurance Claims44 cited

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  • 2012Longitudinal modeling of insurance claim counts using jitters44 cited
  • 2011Markovian Approaches to Joint-Life Mortality41 cited