Items where Schools and Departments is "Actuarial Science & Insurance" and Year is 2013
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Article
Asimit, A.V., Badescu, A. and Cheung, K. C. (2013). Optimal reinsurance in the presence of counterparty default risk. Insurance: Mathematics and Economics, 53(3), pp. 690-697. doi: 10.1016/j.insmatheco.2013.09.012
Asimit, A.V., Badescu, A. and Tsanakas, A. (2013). Optimal Risk Transfers in Insurance Groups. European Actuarial Journal, 3(1), pp. 159-190. doi: 10.1007/s13385-013-0068-6
Asimit, A.V., Badescu, A. and Verdonck, T. (2013). Optimal risk transfer under quantile-based risk measurers. Insurance: Mathematics and Economics, 53(1), pp. 252-265. doi: 10.1016/j.insmatheco.2013.05.005
Asimit, A.V., Vernic, R. and Zitikis, R. (2013). Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model. Risks, 1(1), pp. 14-33. doi: 10.3390/risks1010014
Brunovsky, P., Černý, A. and Winkler, M. (2013). A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics. Applied Mathematics & Optimization, 68(2), pp. 255-274. doi: 10.1007/s00245-013-9205-5
Cowell, R. (2013). A simple greedy algorithm for reconstructing pedigrees. Theoretical Population Biology, 83, pp. 55-63. doi: 10.1016/j.tpb.2012.11.002
Dimitrova, D. S., Haberman, S. and Kaishev, V. K. (2013). Dependent competing risks: Cause elimination and its impact on survival. Insurance: Mathematics and Economics, 53(2), pp. 464-477. doi: 10.1016/j.insmatheco.2013.07.008
Gámiz Pérez, M. L., Janys, L., Martinez-Miranda, M. D. and Nielsen, J. P. (2013). Bandwidth selection in marker dependent kernel hazard estimation. Computational Statistics and Data Analysis, 68, pp. 155-169. doi: 10.1016/j.csda.2013.06.010
Gámiz Pérez, M. L., Martinez-Miranda, M. D. and Nielsen, J. P. (2013). Smoothing survival densities in practice. Computational Statistics and Data Analysis, 58(1), pp. 368-382. doi: 10.1016/j.csda.2012.09.011
Haberman, S., Denuit, M. and Renshaw, A. E. (2013). Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach for modelling and projecting mortality. European Actuarial Journal, 3(1), pp. 191-201. doi: 10.1007/s13385-013-0065-9
Haberman, S. and Renshaw, A. E. (2013). Modelling and projecting mortality improvement rates using a cohort perspective. Insurance: Mathematics and Economics, 53(1), pp. 150-168. doi: 10.1016/j.insmatheco.2013.04.006
Hatzopoulos, P. and Haberman, S. (2013). Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data. Insurance: Mathematics and Economics, 52(2), pp. 320-337. doi: 10.1016/j.insmatheco.2012.12.009
Hatzopoulos, P. and Haberman, S. (2013). Common mortality modelling and coherent forecasts. An empirical analysis of worldwide mortality data. Insurance: Mathematics and Economics, 52(2), pp. 320-337. doi: 10.1016/j.insmatheco.2013.10.009
Kaishev, V. K. (2013). Lévy processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics. Mathematical Finance, 23(2), pp. 217-247. doi: 10.1111/j.1467-9965.2011.00504.x
Kaishev, V. K., Nielsen, J. P. and Thuring, F. (2013). Optimal customer customer selection for cross-selling of financial services products. Expert Systems with Applications, 40(5), pp. 1748-1757. doi: 10.1016/j.eswa.2012.09.026
Marra, G and Radice, R. ORCID: 0000-0002-6316-3961 (2013). Estimation of a regression spline sample selection model. Computational Statistics & Data Analysis, 61, pp. 158-173. doi: 10.1016/j.csda.2012.12.010
Marra, G., Papageorgiou, G. and Radice, R. ORCID: 0000-0002-6316-3961 (2013). Estimation of a Semiparametric Recursive Bivariate Probit Model with Nonparametric Mixing. Australian & New Zealand Journal of Statistics, 55(3), pp. 321-342. doi: 10.1111/anzs.12043
Marra, G. and Radice, R. ORCID: 0000-0002-6316-3961 (2013). A penalized likelihood estimation approach to semiparametric sample selection binary response modeling. Electronic Journal of Statistics, 7, pp. 1432-1455. doi: 10.1214/13-EJS814
Martinez-Miranda, M. D., Nielsen, J. P., Sperlich, S. and Verrall, R. J. (2013). Continuous Chain Ladder: Reformulating and generalizing a classical insurance problem. Expert Systems with Applications, 40(14), pp. 5588-5603. doi: 10.1016/j.eswa.2013.04.006
Martinez-Miranda, M. D., Nielsen, J. P. and Verrall, R. J. (2013). Double Chain Ladder and Bornhuetter-Ferguson. North American Actuarial Journal, 17(2), pp. 101-113. doi: 10.1080/10920277.2013.793158
Mayhew, L. and Smith, D. (2013). A new method of projecting populations based on trends in life expectancy and survival. Population Studies: A Journal of Demography, 67(2), pp. 157-170. doi: 10.1080/00324728.2012.740500
Owadally, I. and Landsman, Z. (2013). A characterization of optimal portfolios under the tail mean-variance criterion. Insurance: Mathematics and Economics, 52(2), pp. 213-221. doi: 10.1016/j.insmatheco.2012.12.004
Spreeuw, J., Nielsen, J. P. and Jarner, S. F. (2013). A nonparametric visual test of mixed hazard models. SORT - Statistics and Operations Research Transactions, 37(2), pp. 153-174.
Spreeuw, J. and Owadally, M. I (2013). Investigating the broken-heart effect: a model for short-term dependence between the remaining lifetimes of joint lives. Annals of Actuarial Science, 7(2), pp. 236-257. doi: 10.1017/S1748499512000292
Tsanakas, A., Wuethrich, M. V. and Černý, A. (2013). Market value margin via mean-variance hedging. ASTIN Bulletin, 43(3), pp. 301-322. doi: 10.1017/asb.2013.18
Monograph
Bignozzi, V. and Tsanakas, A. (2013). Characterization and Construction of Sequentially Consistent Risk Measures. SSRN.