Manuel Morales, PhD

On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory

Maximum likelihood estimation of the Markov-switching GARCH model based on a sequential recombinatio

On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk t

Multivariate Data-based Risk Measures

On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model

Lévy systems and the time value of ruin for Markov additive processes

Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator.

Computing the finite-time expected discounted penalty function for a family of Lévy risk processes

Risk measures on the space of infinite sequences

On a generalization of the Gerber–Shiu function to path-dependent penalties

On the expected discounted penalty function for a perturbed risk process driven by a subordinator