9
H index
9
i10 index
252
Citations
| 9 H index 9 i10 index 252 Citations RESEARCH PRODUCTION: 13 Articles 3 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Emiliano A. Valdez. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Insurance: Mathematics and Economics | 8 |
Journal of Risk & Insurance | 3 |
Working Papers Series with more than one paper published | # docs |
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MPRA Paper / University Library of Munich, Germany | 2 |
Year | Title of citing document |
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2020 | Life-Care Tontines. (2020). Lucas, Nathalie ; Hieber, Peter. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020026. Full description at Econpapers || Download paper |
2020 | On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829. Full description at Econpapers || Download paper |
2020 | Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794. Full description at Econpapers || Download paper |
2020 | A generalized reserving model: bridging the gap between pricing and individual reserving. (2019). Antonio, Katrien ; Crevecoeur, Jonas. In: Papers. RePEc:arx:papers:1910.12692. Full description at Econpapers || Download paper |
2020 | Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950. Full description at Econpapers || Download paper |
2020 | Quantifying the trade-off between income stability and the number of members in a pooled annuity fund. (2020). Donnelly, Catherine ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2010.16009. Full description at Econpapers || Download paper |
2021 | Some results on the risk capital allocation rule induced by the Conditional Tail Expectation risk measure. (2021). Mohammed, Nawaf ; Furman, Edward ; Su, Jianxi. In: Papers. RePEc:arx:papers:2102.05003. Full description at Econpapers || Download paper |
2020 | Selection and Redistribution in the Irish Tontines of 1773, 1775, and 1777. (2020). Rothschild, Casey ; Li, Yikang. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:3:p:719-750. Full description at Econpapers || Download paper |
2020 | On log-normal convolutions: An analytical–numerical method with applications to economic capital determination. (2020). Kuznetsov, Alexey ; Hackmann, Daniel ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:120-134. Full description at Econpapers || Download paper |
2020 | Multi-stage nested classification credibility quantile regression model. (2020). Pitselis, Georgios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:162-176. Full description at Econpapers || Download paper |
2020 | On the increasing convex order of generalized aggregation of dependent random variables. (2020). Cheung, Ka Chun ; Zhang, Yiying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:61-69. Full description at Econpapers || Download paper |
2020 | Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models. (2020). Yao, Jing ; Shushi, Tomer. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:178-186. Full description at Econpapers || Download paper |
2020 | Predictive compound risk models with dependence. (2020). Valdez, Emiliano A ; Jeong, Himchan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:182-195. Full description at Econpapers || Download paper |
2020 | Modeling frequency and severity of claims with the zero-inflated generalized cluster-weighted models. (2020). Miljkovic, Tatjana ; McNicholas, Paul D ; Jevti, Petar ; Poua, Nikola. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:79-93. Full description at Econpapers || Download paper |
2020 | On a robust risk measurement approach for capital determination errors minimization. (2020). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:199-211. Full description at Econpapers || Download paper |
2021 | Predictive risk analysis using a collective risk model: Choosing between past frequency and aggregate severity information. (2021). Ahn, Jae Youn ; Zhu, Dan ; Lee, Youngju ; Oh, Rosy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:127-139. Full description at Econpapers || Download paper |
2021 | Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type. (2021). Su, Jianxi ; Kye, Yisub ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:153-167. Full description at Econpapers || Download paper |
2021 | Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models. (2021). Fusai, Gianluca ; Kyriakou, Ioannis ; Brignone, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:232-247. Full description at Econpapers || Download paper |
2020 | An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion. (2020). Karlis, Dimitris ; Tzougas, George. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:104027. Full description at Econpapers || Download paper |
2021 | An expectation-maximization algorithm for the exponential-generalized inverse Gaussian regression model with varying dispersion and shape for modelling the aggregate claim amount. (2021). Jeong, Himchan ; Tzougas, George. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108210. Full description at Econpapers || Download paper |
2020 | Count copula regression model using generalized beta distribution of the second kind. (2020). Zaroudi, Samira ; Safari-Katesari, Hadi. In: Statistics in Transition New Series. RePEc:exl:29stat:v:21:y:2020:i:2:p:1-12. Full description at Econpapers || Download paper |
2021 | An Expectation-Maximization Algorithm for the Exponential-Generalized Inverse Gaussian Regression Model with Varying Dispersion and Shape for Modelling the Aggregate Claim Amount. (2021). Jeong, Himchan ; Tzougas, George. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:19-:d:477237. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2008 | Hierarchical Insurance Claims Modeling In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 36 |
2005 | The Simple Analytics of a Pooled Annuity Fund In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 35 |
2008 | CAPM and Option Pricing With Elliptically Contoured Distributions In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 14 |
2004 | CAPM and Option Pricing with Elliptical Disbributions.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2012 | Optimal Capital Allocation Principles In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 71 |
2009 | Optimal capital allocation principles.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
2001 | Bivariate analysis of survivorship and persistency In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
2003 | Wangs capital allocation formula for elliptically contoured distributions In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 18 |
2006 | Claim dependence with common effects in credibility models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
2006 | Demand and adverse selection in a pooled annuity fund In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 20 |
2008 | Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 11 |
2009 | Multivariate probit models for conditional claim-types In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 7 |
2009 | Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 11 |
2011 | A copula approach to test asymmetric information with applications to predictive modeling In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
2009 | On the Distortion of a Copula and its Margins In: MPRA Paper. [Full Text][Citation analysis] | paper | 14 |
2011 | Comments on: Inference in multivariate Archimedean copula models In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. [Full Text][Citation analysis] | article | 0 |
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