Professeurs et Recherche

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 extrêmes

Processus Gaussiens

Assistants

	Krzysztof Bisewski Krzysztof.Bisewski@unil.ch page personnelle			Pavel Ievlev ievlev.pn@gmail.com Bureau: EXT page personnelle

	Grigori Jasnovidov grigori.jasnovidov@unil.ch page personnelle			Nikolai Kriukov nikolai.kriukov@unil.ch page personnelle

	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.

	Dȩbicki Krzysztof, Hashorva Enkelejd, Ji Lanpeng ; Rolski Tomasz (2018). Extremal behavior of hitting a cone by correlated Brownian motion with drift. Stochastic Processes and their Applications, 128, 4171–4206.

	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.

	Dufresne François, Hashorva Enkelejd, Ratovomirija Gildas ; Toukourou Youssouf (2018). On age difference in joint lifetime modelling with life insurance annuity applications. Annals of Actuarial Science, 12, 350-371.

	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 Julia, Hashorva Enkelejd ; Piterbarg Vladimir I. (2017). Asymptotic Behavior of Reliability Function for Multidimensional Aggregated Weibull Type Reliability Indices. Analytical and Computational Methods in Probability Theory, 251-264.

	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., Mishura Y. ; Seleznjev O. (2015). Boundary non-crossing probabilities for fractional Brownian motion with trend. Stochastics An International Journal of Probability and Stochastic Processes, 87, 946-965.

	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). Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process. Communications in Statistics - Theory and Methods, 43, 2540-2548.

	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., Macci C. ; Pacchiarotti B. (2013). Large deviations for proportions of observations which fall in random sets determined by order statistics. Methodology and Computing in Applied Probability, 15, 875-896.

	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 mathematics
Année : 1986
Récipiendaire : Enkelejd Hashorva

Faculty prize 2000 for the PhD thesis, University of Bern
Année : 2000
Récipiendaire : Enkelejd Hashorva

Mots-clés

assurance (4)
mathématiques (3)
probabilité appliquée (3)
risque (3)
sciences actuarielles (6)

Enkelejd Hashorva

Coordonnées

Liens