Emiliano A. Valdez : Citation Profile

Are you Emiliano A. Valdez?

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311

Citations

RESEARCH PRODUCTION:

13

Articles

3

Papers

RESEARCH ACTIVITY:

   11 years (2001 - 2012). See details.
   Cites by year: 28
   Journals where Emiliano A. Valdez has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 3 (0.96 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva345
   Updated: 2022-07-02    RAS profile: 2012-05-13    
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Relations with other researchers

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:

Rulliere, Didier (14)

Guillen, Montserrat (13)

Vanduffel, Steven (8)

Dhaene, Jan (8)

Mitchell, Olivia (7)

Milevsky, Moshe (6)

Piggott, John (5)

Bravo, Jorge (4)

Hanewald, Katja (4)

Csóka, Péter (4)

Fan, Jianqing (3)

Cites to:

Pinquet, Jean (17)

Dhaene, Jan (13)

Goovaerts, Marc (9)

Dionne, Georges (8)

Cappellari, Lorenzo (6)

McDonald, James (6)

Jenkins, Stephen (6)

Vanduffel, Steven (4)

Cohen, Alma (3)

Chiappori, Pierre (3)

Heckman, James (2)

Main data

Where Emiliano A. Valdez has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics8
Journal of Risk & Insurance3

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany2

Recent works citing Emiliano A. Valdez (2021 and 2020)

YearTitle of citing document
2021.

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2020Life-Care Tontines. (2020). Lucas, Nathalie ; Hieber, Peter. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020026.

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2020On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

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2021A generalized reserving model: bridging the gap between pricing and individual reserving. (2019). Antonio, Katrien ; Crevecoeur, Jonas. In: Papers. RePEc:arx:papers:1910.12692.

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2020Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950.

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2020Quantifying 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.

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2021Some results on the risk capital allocation rule induced by the Conditional Tail Expectation risk measure. (2021). Furman, Edward ; Su, Jianxi ; Mohammed, Nawaf. In: Papers. RePEc:arx:papers:2102.05003.

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2021Wealth heterogeneity in a closed pooled annuity fund. (2021). Qu, GE ; Bernhardt, Thomas. In: Papers. RePEc:arx:papers:2110.13467.

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2021Multivariate matrix-exponential affine mixtures and their applications in risk theory. (2021). Woo, Jae-Kyung ; Peralta, Oscar. In: Papers. RePEc:arx:papers:2201.11122.

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2022Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims. (2022). Crevecoeur, Jonas ; Masquelein, Alexandre ; Desmedt, Stijn ; Antonio, Katrien. In: Papers. RePEc:arx:papers:2203.07145.

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2021The silver tsunami: an enquiry into the financial needs, preferences and behaviours of retirees. (2021). Gu, Yuanyuan ; Feng, Jun ; Walker, Ruth ; Chambers, Barbara. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:645-687.

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2020Selection 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.

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2021Capital allocation, the leverage ratio requirement. (2021). Vo, Quynh-Anh ; Neamtu, Ioana. In: Bank of England working papers. RePEc:boe:boeewp:0956.

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2021Pricing service maintenance contracts using predictive analytics. (2021). Boute, Robert ; Antonio, Katrien ; Deprez, Laurens. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:2:p:530-545.

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2022Peer-to-peer multi-risk insurance and mutual aid. (2022). Feng, Runhuan ; Abdikerimova, Samal. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:735-749.

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2021Closed-form solutions for an explicit modern ideal tontine with bequest motive. (2021). Dagpunar, John. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:261-273.

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2021Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (2021). Wang, Ying ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:329-349.

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2021Fees in tontines. (2021). Rach, Manuel ; Guillen, Montserrat ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:89-106.

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2021Optimal retirement products under subjective mortality beliefs. (2021). Rach, Manuel ; Hieber, Peter ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:55-69.

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2021Haezendonck-Goovaerts capital allocation rules. (2021). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Centrone, Francesca ; Canna, Gabriele. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:173-185.

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2021Pandemic risk management: Resources contingency planning and allocation. (2021). Zhang, Linfeng ; Feng, Runhuan ; Chong, Wing Fung ; Chen, Xiaowei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:359-383.

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2021Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (2021). Su, Jianxi ; Furman, Edward ; Mohammed, Nawaf. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:425-436.

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2021A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. (2021). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:437-465.

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2020On 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.

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2020Multi-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.

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2020On 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.

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2020Multivariate 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.

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2020Predictive 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.

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2020Modeling 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.

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2020On 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.

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2021Predictive 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.

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2021Multiplicative 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.

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2021Moment-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.

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2021Modality for scenario analysis and maximum likelihood allocation. (2021). Hofert, Marius ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:24-43.

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2021Modelling mortality dependence: An application of dynamic vine copula. (2021). Ji, Min ; Zhou, Rui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:241-255.

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2021Macro longevity risk and the choice between annuity products: Evidence from Denmark. (2021). Rangvid, Jesper ; Kallestrup-Lamb, Malene ; Balter, Anne G. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:355-362.

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2021The economics of sharing macro-longevity risk. (2021). van Ool, Annick ; Mehlkopf, Roel ; Broeders, Dirk. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:440-458.

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2020An 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.

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2021An 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.

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2021Disadvantaged Employees in the Trap of Defined Contribution Pension Plans. (2021). Rubinstein-Levi, Ravit. In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:ix:y:2021:i:4:p:55-76.

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2020Count 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.

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2022Combining Predictions of Auto Insurance Claims. (2022). Yang, Yuhong ; Zhao, Bingxin ; Yu, Yanjia ; Han, Mingxuan ; Zhang, Lin ; Ye, Chenglong. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:2:p:19-:d:791038.

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2020The Bayesian Approach to Capital Allocation at Operational Risk: A Combination of Statistical Data and Expert Opinion. (2020). Benbachir, Saad ; Habachi, Mohamed. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:1:p:9-:d:320948.

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2020Robust Inference in the Capital Asset Pricing Model Using the Multivariate t -distribution. (2020). Molina, Alonso ; Curci, Roberto ; Cademartori, David ; Galea, Manuel. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:123-:d:370994.

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2022.

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2021.

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2021.

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2022A Managed Volatility Investment Strategy for Pooled Annuity Products. (2022). Villegas, Andres M ; Sherris, Michael ; Hardy, Heloise Labit ; Li, Shuanglan. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:6:p:121-:d:836446.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2020). Hofert, Marius ; Koike, Takaaki. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:6-:d:308941.

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2020Quantile Credibility Models with Common Effects. (2020). Yuan, Quan ; Yang, Zhixin ; Wen, Limin ; Wang, Wei. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:100-:d:419448.

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2021Modeling the Future Value Distribution of a Life Insurance Portfolio. (2021). Viviano, Fabio ; Costabile, Massimo. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:10:p:177-:d:648693.

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2021Designing Annuities with Flexibility Opportunities in an Uncertain Mortality Scenario. (2021). Olivieri, Annamaria. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:189-:d:662618.

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2021An 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.

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2021Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters. (2021). Ayuso, Mercedes ; Palmer, Edward ; Holzmann, Robert ; Bravo, Jorge M. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:5:p:96-:d:554249.

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2020Multivariate probit model for a priori assessment of behavioral risks in audit. (2020). Sinyavskaya, Tatiana ; Arzhenovskiy, Sergey ; Bakhteev, Andrey. In: Applied Econometrics. RePEc:ris:apltrx:0409.

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2021Capital allocation and RORAC optimization under solvency 2 standard formula. (2021). Granito, Ivan ; Angelis, Paolo ; Baione, Fabio. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03543-6.

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2021Quantile-based optimal portfolio selection. (2021). Lindholm, Mathias ; Bodnar, Taras ; Tyrcha, Joanna ; Thorsen, Erik. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:3:d:10.1007_s10287-021-00395-8.

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2021Detecting departures from meta-ellipticity for multivariate stationary time series. (2021). Aleksey, Min ; Miriam, Jaser ; Axel, Bucher . In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:121-140:n:6.

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2021Asset concentration risk and insurance solvency regulation. (2021). Grundl, Helmut ; Regele, Fabian. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4021.

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Works by Emiliano A. Valdez:

YearTitleTypeCited
2008Hierarchical Insurance Claims Modeling In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article46
2005The Simple Analytics of a Pooled Annuity Fund In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article50
2008CAPM and Option Pricing With Elliptically Contoured Distributions In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article16
2004CAPM and Option Pricing with Elliptical Disbributions.(2004) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
2012Optimal Capital Allocation Principles In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article91
2009Optimal capital allocation principles.(2009) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 91		paper
2001Bivariate analysis of survivorship and persistency In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article3
2003Wangs capital allocation formula for elliptically contoured distributions In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article20
2006Claim dependence with common effects in credibility models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article7
2006Demand and adverse selection in a pooled annuity fund In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article25
2008Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article11
2009Multivariate probit models for conditional claim-types In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article10
2009Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article12
2011A copula approach to test asymmetric information with applications to predictive modeling In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article6
2009On the Distortion of a Copula and its Margins In: MPRA Paper.
[Full Text][Citation analysis]		paper14
2011Comments 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]		article0

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