Enkelejd Hashorva
Coordonnées
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Professeur ordinaire
Département de sciences actuarielles Contact Enkelejd.Hashorva@unil.ch Extranef, bureau 205 Tél 021.692.33.68 Fax 0216923435 Adresse postale Université de Lausanne Quartier UNIL-Chamberonne Bâtiment Extranef 1015 Lausanne |
Enseignements
master Actuarial Modelling Formation concernée Maîtrise universitaire ès Sciences en sciences actuarielles |
master Loss Models Formations concernées Maîtrise universitaire ès Sciences en sciences actuarielles Maîtrise universitaire ès Sciences en sciences actuarielles |
master Time Series Formations concernées Maîtrise universitaire ès Sciences en sciences actuarielles Maîtrise universitaire ès Sciences en sciences actuarielles |
Recherches
Axes de recherche
Théorie des valeurs extrêmesProcessus Gaussiens
Assistants
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Krzysztof Bisewski
Krzysztof.Bisewski@unil.ch page personnelle |
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Pavel Ievlev
ievlev.pn@gmail.com Bureau: EXT page personnelle |
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Grigori Jasnovidov
grigori.jasnovidov@unil.ch page personnelle |
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Nikolai Kriukov
nikolai.kriukov@unil.ch page personnelle |
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Konrad Krystecki
konrad.krystecki@unil.ch page personnelle |
Publications
100 dernières publications
: Revue avec comité de lecture
In Press
Hashorva Enkelejd, Mishura Yuliya ; Shevchenko Georgiy (in press). Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics. Journal of Theoretical Probability. ![]() | |
Hashorva Enkelejd, Padoan Simone A. ; Rizzelli Stefano (in press). Multivariate Extremes Over a Random Number of Observations. Scandinavian Journal of Statistics. ![]() | |
2020
Dȩbicki Krzysztof , Hashorva Enkelejd (2020). Approximation of Supremum of Max-Stable Stationary Processes & Pickands Constants. Journal of Theoretical Probability, 33, 444-464. | |
Dȩbicki Krzysztof, Hashorva Enkelejd ; Michna Zbigniew (2020). Simultaneous ruin probability for two-dimensional brownian risk model. Journal of Applied Probability, 57, 597-612. ![]() | |
Dȩbicki Krzysztof, Hashorva Enkelejd ; Wang Longmin (2020). Extremes of vector-valued Gaussian processes. Stochastic Processes and their Applications, 130, 5802-5837. ![]() | |
Hashorva Enkelejd , Rullière Didier (2020). Asymptotic domination of sample maxima. Statistics & Probability Letters, 160, 108703. ![]() | |
2019
Hashorva Enkelejd (2019). Approximation of some multivariate risk measures for Gaussian risks. Journal of Multivariate Analysis, 169, 330-340. ![]() | |
2018
Bai L., Debicki K., Hashorva E. ; Luo L. (2018). On Generalised Piterbarg Constants. Methodology and Computing in Applied Probability, 20, 137-164. ![]() | |
Bai Long, Hashorva Enkelejd (Dir.) (2018). Extended Gaussian Threshold Dependent Risk Models. Université de Lausanne, Faculté des hautes études commerciales. | |
Bai Long, Dȩbicki Krzysztof, Hashorva Enkelejd ; Ji Lanpeng (2018). Extremes of threshold-dependent Gaussian processes. Science China Mathematics, 61, 1971-2002. ![]() | |
Constantinescu C., Hashorva E. ; Kratz M. (2018). Foreword by the Guest Editors of the RARE special issue. Annals of Actuarial Science, 12, 209-210. | |
Dȩbicki K., Farkas J. ; Hashorva E. (2018). Extremes of randomly scaled Gumbel risks. Journal of Mathematical Analysis and Applications, 458, 30-42. ![]() | |
Dombry Clément, Hashorva Enkelejd ; Soulier Philippe (2018). Tail measure and spectral tail process of regularly varying time series. The Annals of Applied Probability, 28, 3884-3921. ![]() | |
Hashorva E. (2018). DOMINATION OF SAMPLE MAXIMA AND RELATED EXTREMAL DEPENDENCE MEASURES. Dependence Modelling, 6, 88–101. ![]() | |
Hashorva E. (2018). Representations of max-stable processes via exponential tilting. Stochastic Processes and their Applications, 128, 2952-2978. ![]() | |
Hashorva E., Ratovomirija G., Tamraz M. ; Bai Y. (2018). Some mathematical aspects of price optimisation. Scandinavian Actuarial Journal, 2018, 379-403. ![]() | |
Hashorva E., Seleznjev O. ; Tan Z. (2018). Approximation of maximum of Gaussian random fields. Journal of Mathematical Analysis and Applications, 457, 841-867. | |
Tamraz Maissa, Hashorva Enkelejd (Dir.) (2018). Price Optimisation and Statistical Modeling of Dependent Risks. Université de Lausanne, Faculté des hautes études commerciales. | |
2017
Asimit V., Hashorva E. ; Kortschak D. (2017). Aggregation of randomly weighted large risks. IMA Journal of Management Mathematics, 28, 403-419. ![]() | |
Asmussen S., Hashorva E., Laub P. ; Taimre T. (2017). Tail asymptotics of light-tailed Weibull-like sums . Probability and Mathematical Statistics, 37, 235-256. ![]() | |
Debicki K., Engelke S. ; Hashorva E. (2017). Generalized Pickands constants and stationary max-stable processes. Extremes, 20, 493-517. ![]() | |
Debicki K. , Hashorva E. (2017). On extremal index of max-stable processes. Probability and Mathematical Statistics, 37, 299-317. ![]() | |
Debicki K., Hashorva E., Ji L. ; Ling C. (2017). Comparison Inequalities for Order Statistics of Gaussian Arrays. Latin American Journal of Probability and Mathematical Statistics, 14, 93-116. ![]() | |
Dȩbicki K., Hashorva E. ; Liu P. (2017). Uniform tail approximation of homogenous functionals of Gaussian fields. Advances in Applied Probability, 49, 1037-1066. ![]() | |
Dȩbicki Krzysztof, Hashorva Enkelejd ; Liu Peng (2017). Extremes of γ-reflected Gaussian processes with stationary increments. ESAIM: Probability and Statistics, 21, 495-535. ![]() | |
Debiicki K., Hashorva E. ; Liu P. (2017). Extremes of Gaussian random fields with regularly varying dependence structure. Extremes, 20, 333-392. ![]() | |
Farkas Yulia, Hashorva Enkelejd (Dir.) (2017). ASYMPTOTIC ANALYSIS OF AGGREGATED MULTI-VALUED RISKS. Université de Lausanne, Faculté des hautes études commerciales. | |
Hashorva E., Ratovomirija G. ; Tamraz M. (2017). On some new dependence models derived from multivariate collective models in insurance applications. Scandinavian Actuarial Journal, 2017, 730-750. ![]() | |
2016
Albin P., Hashorva E., Ji L. ; Ling C. (2016). Extremes and limit theorems for difference of chi-type processes. ESAIM: Probability and Statistics, 20, 349-366. ![]() | |
Debicki K., Hashorva E. ; Ji L. (2016). Extremes of a class of non-homogeneous Gaussian random fields. Annals of Probability, 44, 984-1012. ![]() | |
Debicki K., Hashorva E. ; Ji L. (2016). On Parisian ruin over a finite-time horizon. Science China Mathematics, 59, 557-572. ![]() | |
Hashorva E. , Ji L. (2016). Extremes of alpha-t locally stationary Gaussian random fields. Transactions of the American Mathematical Society, 368, 1-26. ![]() | |
Hashorva E. , Ling C. (2016). Maxima of skew elliptical triangular arrays. Communications in Statistics - Theory and Methods, 45, 3692-3705. ![]() | |
Hashorva E., Peng Z. ; Weng Z. (2016). Higher-order expansions of distributions of maxima in a Hüsler-Reiss model. Methodology and Computing in Applied Probability, 18, 181-196. ![]() | |
Ratovomirija Gildas , Hashorva Enkelejd (Dir.) (2016). MODELLING DEPENDENT INSURANCE RISKS. Université de Lausanne, Faculté des hautes études commerciales. | |
2015
Das B., Engelke S. ; Hashorva E. (2015). Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process. Stochastic Processes and their Applications, 125, 780-796. ![]() | |
Debicki K., Hashorva E. ; Ji L. (2015). Parisian ruin of self-similar Gaussian risk processes. Journal Applied Probability, 52, 688-702. ![]() | |
Dȩbicki K., Hashorva E. ; Ji L. (2015). Gaussian risk models with financial constraints. Scandinavian Actuarial Journal, 2015, 469-481. ![]() | |
Dȩbicki K., Hashorva E., Ji L. ; Ling C. (2015). Extremes of order statistics of stationary processes. TEST, 24, 229-248. ![]() | |
Dȩbicki K., Hashorva E., Ji L. ; Tabiś K. (2015). Extremes of vector-valued Gaussian processes: Exact asymptotics. Stochastic Processes and their Applications, 125, 4039-4065. ![]() | |
Debicki K., Hashorva E. ; Soja-Kukieła N. (2015). Extremes of homogeneous Gaussian random fields. Journal of Applied Probability, 52, 55-67. ![]() | |
Farkas J. , Hashorva E. (2015). Tail approximation for reinsurance portfolios of Gaussian-like risks. Scandinavian Actuarial Journal, 2015, 319-331. ![]() | |
Hashorva E. (2015). Extremes of aggregated Dirichlet risks. Journal of Multivariate Analysis, 133, 334-345. ![]() | |
Hashorva E. , Ji L. (2015). Piterbarg theorems for chi-processes with trend. Extremes, 18, 37-64. ![]() | |
Hashorva E., Korshunov D. ; Piterbarg V.I. (2015). Asymptotic expansion of Gaussian chaos via probabilistic approach. Extremes, 18, 315-347. ![]() | |
Hashorva E. , Li J. (2015). Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks. Stochastic Models, 31, 1-19. ![]() | |
Hashorva E., Lifshits M. ; Seleznjev O. (2015). Approximation of a random process with variable smoothness. Festschrift in honor of Paul Deheuvels (pp. 189-208). Springer International Publishing. | |
Hashorva E., Peng L. ; Weng Z. (2015). Maxima of a triangular array of multivariate Gaussian sequence. Statistics & Probability Letters, 103, 62-72. ![]() | |
Hashorva E. , Ratovomirija G. (2015). On samanov mixed erlang risks in insurance applications. ASTIN Bulletin, 45, 175-205. ![]() | |
Hashorva E. , Tan Z. (2015). Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids. Statistics, 49, 338-360. ![]() | |
Hashorva E. , Weng Z. (2015). Limit Laws for Maxima of Contracted Stationary Gaussian Sequences. Communications in Statistics - Theory and Methods, 44, 4641-4650. ![]() | |
Hashorva E., Lifshits M. ; Seleznjev O. (2015). Approximation of a Random Process with Variable Smoothness. Mathematical Statistics and Limit Theorems, 189-208. ![]() | |
Korshunov D.A., Piterbarg V.I. ; Hashorva E. (2015). On the asymptotic Laplace method and its application to random chaos. Mathematical Notes, 97, 878-891. ![]() | |
Liu P., Hashorva E. ; Ji L. (2015). On the gamma-reflected processes with fBm input. Lithuanian Mathematical Journal, 55, 402-414. ![]() | |
2014
Dębicki K., Hashorva E. ; Ji L. (2014). Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals. Extremes, 17, 411-429. ![]() | |
Debicki K., Hashorva E. ; Ji L. (2014). Gaussian approximation of perturbed chi-square risks. Statistics and Its Interface, 7, 363-373. ![]() | |
Debicki K., Hashorva E., Ji L. ; Tan Z. (2014). Finite-time ruin probability of aggregate Gaussian processes. Markov Processes and Related Fields, 20, 435-450. ![]() | |
Dȩbicki K., Hashorva E., Ji L. ; Tabiś K. (2014). On the probability of conjunctions of stationary Gaussian processes. Statistics & Probability Letters, 88, 141-148. ![]() | |
Embrechts P., Hashorva E. ; Mikosch T. (2014). Aggregation of log-linear risks. Journal of Applied Probability, 51A, 203-212. ![]() | |
Hashorva E. , Ji L. (2014). Approximation of passage times of gamma-reflected processes with fBm input. Journal of Applied Probability, 51, 713-726. ![]() | |
Hashorva E. , Li J. (2014). Asymptotics for a discrete-time risk model with the emphasis on financial risk. Probability in the Engineering and Informational Sciences, 28, 573-588. ![]() | |
Hashorva E., Nadarajah S. ; Pogany TK. (2014). Extremes of perturbed bivariate Rayleigh risks. Revstat Statistical Journal, 12, 157-168. ![]() | |
Hashorva E. , Weng Z. (2014). Berman's inequality under random scaling. Statistics and Its Interface, 7, 339-349. ![]() | |
Hashorva E. , Ji L. (2014). Random shifting and scaling of insurance risks. Risks, 2, 277-288. ![]() | |
Hashorva E. , Ji L. (2014). Extremes and First Passage Times of Correlated Fractional Brownian Motions. Stochastic Models, 30, 272-299. ![]() | |
Hashorva E. , Kortschak D. (2014). Tail asymptotics of random sum and maximum of log-normal risks. Statistics & Probability Letters, 87, 167-174. ![]() | |
Hashorva E., Ling C. ; Peng Z. (2014). Tail asymptotic expansions for L-statistics. Science China Mathematics, 57, 1993-2012. ![]() | |
Hashorva E., Ling C. ; Peng Z. (2014). Second-order tail asymptotics of deflated risks. Insurance: Mathematics and Economics, 56, 88-101. ![]() | |
Hashorva E., Ling C. ; Peng Z. (2014). Modeling of censored bivariate extremal events. Journal of the Korean Statistical Society, 43, 323-338. ![]() | |
Hashorva E. , Mishura Y. (2014). Boundary noncrossings of additive Wiener fields. Lithuanian Mathematical Journal, 54, 277-289. ![]() | |
Hashorva E., Peng Z. ; Weng Z. (2014). Limit properties of exceedances point processes of scaled stationary Gaussian sequences. Probability and Mathematical Statistics, 34, 45-59. ![]() | |
Hashorva E. , Weng Z. (2014). Tail asymptotic of Weibull-type risks. Statistics, 48, 1155-1165. ![]() | |
Hashorva E. , Weng Z. (2014). Maxima and minima of complete and incomplete stationary sequences. Stochastics An International Journal of Probability and Stochastic Processes, 86, 707-720. ![]() | |
Ji L., Hashorva E. (Dir.) (2014). Ruin and related quantities in some advanced insurance risk models. Université de Lausanne, Faculté des hautes études commerciales. | |
Kortschak D. , Hashorva E. (2014). Second Order Asymptotics of Aggregated Log-Elliptical Risk. Methodology and Computing in Applied Probability, 16, 969-985. ![]() | |
Ling C., Hashorva E. (Dir.) (2014). Extremal properties of certain risk models. Université de Lausanne, Faculté des hautes études commerciales. | |
Tan Z. , Hashorva E. (2014). On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes. Journal of Mathematical Analysis and Applications, 409, 299-314. ![]() | |
Tan Z. , Hashorva E. (2014). On Piterbarg Max-Discretisation Theorem for Standardised Maximum of Stationary Gaussian Processes. Methodology and Computing in Applied Probability, 16, 169-185. ![]() | |
Weng Z., Hashorva E. (Dir.) (2014). Extremal behaviour of random scaling models. Université de Lausanne, Faculté des hautes études commerciales. | |
2013
Balakrishnan N. , Hashorva E. (2013). Scale Mixtures of Kotz-Dirichlet Distributions. Journal of Multivariate Analysis, 113, 48-58. ![]() | |
Hashorva E. (2013). On beta-product convolutions. Scandinavian Actuarial Journal, 2013, 69-83. ![]() | |
Hashorva E. (2013). Exact tail asymptotics of aggregated parametrised risk. Journal of Mathematical Analysis and Applications, 400, 187-199. ![]() | |
Hashorva E. (2013). Minima and maxima of elliptical triangular arrays and spherical processes. Bernoulli, 19, 886-904. ![]() | |
Hashorva E., Ji L. ; Piterbarg V. I. (2013). On the supremum of gamma-reflected processes with fractional Brownian motion as input. Stochastic Processes and their Applications, 123, 4111-4127. ![]() | |
Hashorva E. , Li J. (2013). ECOMOR and LCR reinsurance with gamma-like claims. Insurance: Mathematics and Economics, 53, 206-215. ![]() | |
Hashorva E., Peng Z. ; Weng Z. (2013). On Piterbarg theorem for the maxima of stationary Gaussian sequences. Lithuanian Mathematical Journal, 53, 280-292. ![]() | |
Hashorva E. , Tan Z. (2013). Large deviations of Shepp statistics for fractional Brownian motion. Statistics & Probability Letters, 83, 2242-2247. ![]() | |
Hashorva E. , Weng Z. (2013). Limit laws for extremes of dependent stationary Gaussian arrays. Statistics & Probability Letters, 83, 320-330. ![]() | |
Korshunov D.A., Piterbarg V.I. ; Hashorva E. (2013). On Extremal Behavior of Gaussian Chaos. Doklady Mathematics, 88, 566-568. ![]() | |
Kortschak D. , Hashorva E. (2013). Efficient simulation of tail probabilities for sums of log-elliptical risks. Journal of Computational and Applied Mathematics, 247, 53-67. ![]() | |
Merz M., Wüthrich M.V. ; Hashorva E. (2013). Dependence modelling in multivariate claims run-off triangles. Annals of Actuarial Science, 7, 3-25. ![]() | |
Tan Z. , Hashorva E. (2013). Exact asymptotics and limit theorems for supremum of stationary chi-processes over a random interval. Stochastic Processes and their Applications, 123, 2983-2998. ![]() | |
Tan Z. , Hashorva E. (2013). Limit theorems for extremes of strongly dependent cyclo-stationary χ-processes. Extremes, 16, 241-254. ![]() | |
Tan Z. , Hashorva E. (2013). Exact tail asymptotics of the supremum of strongly dependent gaussian processes over a random interval. Lithuanian Mathematical Journal, 53, 91-102. ![]() | |
Curriculum
Compétences
Current research areas
--Extreme value theory
--Gaussian random fields
--Max-stable random fields
--Rare-event simulation
--Risk aggregation/disaggregation
--Multivariate distributions
--Non-Life Insurance: Big data pricing; price optimisation
Formations
Academic Qualification--Habilitation in applied stochastics, University of Bern, 2004
--Aktuar ASA, 2003
--Ph.D. in applied probability, University of Bern, 1999
Expériences professionnelles
Positions--Professor of Actuarial Mathematics, University of Lausanne, since 2010
--Privat dozent, University of Bern, since 2004
--Actuary/Chief Actuary, Allianz Suisse Insurance Company, 2000-2010
--Assistant, University of Bern, 1998-2000
--Actuary/Chief Actuary, INSIG, 1994-1996
Autres activités
Research Projects-- Principal Investigator of the project
"Rare Events & Extremes of Multi-Valued Random Fields" supported by the Swiss National Science Foundation, 2018-2020.
More details here: http://p3.snf.ch/Project-175752
-- Principal Investigator of the project
"Extremes of Threshold-Dependent Random Fields" supported by the Swiss National Science Foundation, 2016-2018.
More details here: http://p3.snf.ch/Project-166274
-- Principal Investigator of the project "Extremes of Gaussian processes and related random fields" supported by the Swiss National Science Foundation, 2012-2015
More details here: http://p3.snf.ch/Project-140633
-- Principal Investigator of the project "Extremal behaviour of random scaling models" supported by the Swiss National Science Foundation, 2011-2014
More details here: http://p3.snf.ch/project-134785
-- Co-Investigator of the project "Risk Analysis, Ruin and Extremes" (RARE), FP7 Marie Currie IRSES Fellowship, 2013-2016
More details here: http://www.liv.ac.uk/institute-for-financial-and-actuarial-mathematics/rare/partners/
Editorial Activities
-- Associate Editor: Dependence Modelling, since 2018
-- Associate Editor: Journal of Applied Probability, since 2016
-- Associate Editor: Advances in Applied Probability, since 2016
-- Associate Editor: Statistics & Probability Letters, since 2012
-- Associate Editor: Extremes, since 2011
-- Associate Editor: European Actuarial Journal, since 2011
Prix et distinctions scientifiques
2nd place in the national olympiad of mathematicsAnnée : 1986
Récipiendaire : Enkelejd Hashorva
Faculty prize 2000 for the PhD thesis, University of Bern
Année : 2000
Récipiendaire : Enkelejd Hashorva