Introducing Non-ruin Quantities in Collective Risk Theory
My current research program in Ruin Theory includes exploring non-ruin quantities as proxies for risk. Quantities like drawdowns can be...
Lévy Insurance Risk Processes
We study general risk models where the aggregate claims, as well as the premium function, evolve by jumps. This is achieved by...
Lévy systems and the time value of ruin for Markov additive processes
In this paper we study the ruin problem for an insurance risk process driven by a spectrally-positive Markov additive process. Particular...
Constructing Axiomatic Data-based Risk Measures
Risk managers must build models from data in order to asses risk. A part of my research program involves studying risk measures that take...
Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator.
We consider the problem of pricing contingent claims using distortion operators. This approach was first developed in (Wang, 2000) where...
Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
Ever since the first introduction of the expected discounted penalty function (EDPF), it has been widely acknowledged that it contains...
Applications of Markov-additive Processes in Finance and Insurance
The Markov-additive process family represents a natural theoretical framework to study the so-called regime-switching models. Models with...
Risk measures on the space of infinite sequences
Axiomatically based risk measures have been the object of numerous studies and generalizations in recent years. In the literature we find...
On a generalization of the Gerber–Shiu function to path-dependent penalties
The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers. Motivated by applications in option...
On the expected discounted penalty function for a perturbed risk process driven by a subordinator
The Expected Discounted Penalty Function (EDPF) was introduced in a series of now classical papers [Gerber, H.U., Shiu, E.S.W., 1997. The...