Aller à : contenu haut bas recherche
 
 
EN     FR
Vous êtes ici:   UNIL > HEC Inst. > HEC App. > RECHERCHE
 
 

Département de sciences actuarielles (DSA)

Le Département de Sciences Actuarielles (DSA) rassemble les activités académiques lausannoises en assurance, comprenant les théories du risque et de la crédibilité, les systèmes de prévoyance, les modèles stochastiques en assurance, l'instrumentalisation mathématique de la finance. Le département publie des travaux scientifiques et entretient de nombreux contacts avec les milieux académiques et professionnels de l'assurance.

 

Site web: http://www.unil.ch/dsa

 


Publications


100 dernières publications classées par: type de publication  -  année
 

: Revue avec comité de lecture


  N.B. Les publications n'apparaissent qu'à partir de l'engagement des auteurs à la Faculté des HEC.
Pour une liste complète de chaque auteur, veuillez consulter son site web personnel.

In Press

Albrecher H., Azcue P. ; Muler N. (in press). Optimal ratcheting of dividends in insurance. SIAM Journal on Control and Optimization. Revue avec comité de lecture
Albrecher H., Bladt M. ; Vatamidou E. (in press). Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails. Methodology and Computing in Applied Probability. Revue avec comité de lecture
Albrecher H., Bladt Martin ; Bladt Mogens (in press). Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Extremes. Revue avec comité de lecture
Albrecher H., Bladt Martin ; Bladt Mogens (in press). Multivariate Matrix Mittag-Leffler distributions. Ann. Inst. Statist. Math.
Albrecher H., Chen B., Vatamidou E. ; Zwart B. (in press). Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. Journal of Applied Probability. Revue avec comité de lecture
Bai L. (in press). Estimation of Change-point Models. Fundamentalnaya i prikladnaya matematika. Revue avec comité de lecture
Bladt M., Albrecher H. ; Beirlant J. (in press). Combined tail estimation using censored data and expert information. Scandinavian Actuarial Journal. Revue avec comité de lecture
Dȩbicki Krzysztof, Liu Peng ; Michna Zbigniew (in press). Sojourn Times of Gaussian Processes with Trend. Journal of Theoretical Probability. Revue avec comité de lecture
Fossati Flavia , Trein Josef Philipp (in press). Cobbler stick to your last? Social democrats’ electoral returns from labour market polic. Journal of Social Policy. Revue avec comité de lecture
Hashorva Enkelejd, Mishura Yuliya ; Shevchenko Georgiy (in press). Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics. Journal of Theoretical Probability. Revue avec comité de lecture
Hashorva Enkelejd, Padoan Simone A. ; Rizzelli Stefano (in press). Multivariate Extremes Over a Random Number of Observations. Scandinavian Journal of Statistics. Revue avec comité de lecture
Jasnovidov Grigori (in press). Approximation of ruin probability and ruin time in discrete Brownian risk models. Scandinavian Actuarial Journal.
Jorge J., Gretsch F., Najdenovska E., Tuleasca C., Levivier M., Maeder P. et al. (in press). Improved susceptibility-weighted imaging for high contrast and resolution thalamic nuclei mapping at 7T. Magnetic resonance in medicine. Revue avec comité de lecture

2020

Albrecher Hansjörg, Araujo-Acuna José Carlos ; Beirlant Jan (2020). Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data. North American Actuarial Journal, 1-28. Revue avec comité de lecture
Bai Long (2020). Extremes of standard multifractional Brownian motion. Statistics & Probability Letters, 159, Article 108697.
Dȩbicki Krzysztof , Hashorva Enkelejd (2020). Approximation of Supremum of Max-Stable Stationary Processes & Pickands Constants. Journal of Theoretical Probability, 33, 444-464.
Fuino M. , Wagner J. (2020). Duration of Long-Term Care: Socio-Economic Factors, Type of Care Interactions and Evolution  . Insurance: Mathematics and Economics, 90, 151-168. Revue avec comité de lecture
Guevara-Alarcon W., Albrecher H. ; Chowdhury P. (2020). On marine liability portfolio modeling. ASTIN Bulletin, 50, 61-93. Revue avec comité de lecture
Hashorva Enkelejd , Rullière Didier (2020). Asymptotic domination of sample maxima. Statistics & Probability Letters, 160, 108703. Revue avec comité de lecture
Kalouguina V. , Wagner J. (2020). How Do Health, Care Services Consumption and Lifestyle Factors Affect the Choice of Health Insurance Plans in Switzerland?. Risks, 8, 41.
MAICHEL-GUGGEMOOS Liselotte, Wagner Joël (Dir.) (2020). FOUR ESSAYS ON THE GERMAN INSURANCE MARKET. Université de Lausanne, Faculté des hautes études commerciales.

2019

(2019). Special Issue on Long-Term Care Financing and Insurance, The Geneva Papers on Risk and Insurance - Issues and Practice (44). The Geneva Association.
Albrecher H., Bladt M., Kortschak D., Prettenthaler F. ; Swierczynski T. (2019). Flood occurrence change-point analysis in the paleoflood record from Lake Mondsee (NE Alps). Global and Planetary Change, 178, 65-76. Revue avec comité de lecture
Albrecher H., Bommier A., Filipovic D., Koch P., Loisel S. ; Schmeiser H. (2019). Insurance: Models, Digitalization, and Data Science. European Actuarial Journal, 9, 349-360. Revue avec comité de lecture
Albrecher H. , Cani A. (2019). On randomized reinsurance contracts. Insurance: Mathematics & Economics, 84, 67-78. Revue avec comité de lecture
Albrecher H. , Vatamidou E. (2019). Ruin probability approximations in Sparre Andersen models with completely monotone claims. Risks, 7, 104-117. Revue avec comité de lecture
Albrecher Hansjoerg , Bladt Mogens (2019). Inhomogeneous phase-type distributions and heavy tails. Journal of Applied Probability, 56, 1044-1064. Revue avec comité de lecture
Arnold S. , Jijiie A. (2019). Generational transfers within the occupational pension system in Switzerland. European Actuarial Journal. Revue avec comité de lecture
Arnold S., Jijiie A., Jondeau E. ; Rockinger M. (2019). Periodic or Generational Actuarial Tables: Which One to Choose?. European Actuarial Journal, 9, 519-554. Revue avec comité de lecture
Bai Long (2019). Extremes of Gaussian chaos processes with trend. Journal of Mathematical Analysis and Applications, 473, 1358-1376.
Bai Long , Liu Peng (2019). Drawdown and Drawup for Fractional Brownian Motion with Trend. Journal of Theoretical Probability, 32, 1581-1612. Revue avec comité de lecture
Cheng Dan , Liu Peng (2019). Extremes of spherical fractional Brownian motion. Extremes, 22, 433-457. Revue avec comité de lecture
Costa-Font J., Courbage C. ; Wagner J. (2019). Long-term care insurance research and trajectory. The Geneva Papers on Risk and Insurance - Issues and Practice, 44, 179-182. Revue avec comité de lecture
Daily-Amir D., Albrecher H., Bladt M. ; Wagner J. (2019). On market share drivers in the Swiss mandatory health insurance sector. Risks, 7, 114. Revue avec comité de lecture
Debicki Krzysztof , Liu Peng (2019). The time of ultimate recovery in Gaussian risk model. Extremes, 22, 499-521. Revue avec comité de lecture
FUINO Michel, Wagner Joël (Dir.) (2019). Actuarial and Econometric Studies on Long-Term Care in Switzerland. Université de Lausanne, Faculté des hautes études commerciales.
Gerber H.U., Shiu E.S.W. ; Yang H. (2019). A constraint-free approach to optimal reinsurance. Scandinavian Actuarial Journal, 2019, 62-79. Revue avec comité de lecture
Guevara Alarcón William Miguel, Albrecher Hansjörg (Dir.) (2019). Data Compression Algorithms, Marine Liability Modeling, and Hierarchical Risk Aggregation in Reinsurance. Université de Lausanne, Faculté des hautes études commerciales.
Hashorva Enkelejd (2019). Approximation of some multivariate risk measures for Gaussian risks. Journal of Multivariate Analysis, 169, 330-340. Revue avec comité de lecture
Kaakaï Sarah, Labit Hardy Héloïse, Arnold Séverine ; El Karoui Nicole (2019). How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach. Insurance: Mathematics and Economics, 89, 16-37. Revue avec comité de lecture
Ling Chengxiu (2019). Extremes of stationary random fields on a lattice. Extremes, 22, 391-411. Revue avec comité de lecture
Ling Chengxiu (2019). Asymptotics of multivariate conditional risk measures for Gaussian risks. Insurance: Mathematics and Economics, 86, 205-215.
Maggetti Martino , Trein Philipp (2019). Multilevel governance and problem-solving: Towards a dynamic theory of multilevel policy-making?. Public Administration, 97, 355-369. Revue avec comité de lecture
Maichel-Guggemoos L. , Wagner J. (2019, Jan). Balancing growth, profitability and safety in the German insurance market. Zeitschrift für die gesamte Versicherungswissenschaft, Sonderheft zur Jahrestagung 2019. Revue avec comité de lecture
Munier F.L., Beck-Popovic M., Chantada G.L., Cobrinik D., Kivelä T.T., Lohmann D. et al. (2019). Conservative management of retinoblastoma: Challenging orthodoxy without compromising the state of metastatic grace. "Alive, with good vision and no comorbidity". Progress in retinal and eye research, 73, 100764. Revue avec comité de lecture
Raaijmakers Y., Albrecher H. ; Boxma O. (2019). The single server queue with mixing dependencies. Methodology and Computing in Applied Probability, 21, 1023–1044. Revue avec comité de lecture
Rudnytskyi I. , Wagner J. (2019). Drivers of Old-Age Dependence and Long-Term Care Usage in Switzerland: a Structural Equation Model Approach. Risks, 7, 92.
Thomann Eva, Trein Philipp ; Maggetti Martino (2019). What's the Problem? Multilevel Governance and Problem‐Solving. European Policy Analysis, 5, 37-57. Revue avec comité de lecture
Trein Philipp (2019). Knowledge, policymaking and learning for European cities and regions. Local Government Studies, 45, 597-599. Revue avec comité de lecture
Trein Philipp (2019). Health Policy. Swiss Public Administration Making the State Work Successfully (pp. 323-338). Palgrave Macmillan.
Trein Philipp, Thomann Eva ; Maggetti Martino (2019). Integration, functional differentiation and problem‐solving in multilevel governance. Public Administration, 97, 339-354. Revue avec comité de lecture

2018

Alai D.H., Arnold S., Bajekal M. ; Villegas A.M. (2018). Mind the Gap: A Study of Cause-Specific Mortality by Socioeconomic Circumstances. North American Actuarial Journal, 22, 161-181. Revue avec comité de lecture
Albrecher H., Bauer D., Embrechts P., Filipović D., Koch-Medina P., Korn R. et al. (2018). Asset-liability management for long-term insurance business. European Actuarial Journal, 8, 9-25. Revue avec comité de lecture
Albrecher H., Bäuerle N. ; Bladt M. (2018). Dividends: From Refracting to Ratcheting. Insurance: Mathematics and Economics, 83, 47-58. Revue avec comité de lecture
Albrecher H. , Ivanovs J. (2018). Linking dividends and capital injections – a probabilistic approach. Scandinavian Actuarial Journal, 76-83. Revue avec comité de lecture
Arbenz P. , Guevara-Alarcón W. (2018). Piecewise Linear Approximation of Empirical Distributions under a Wasserstein Distance Constraint. Journal of Statistical Computation and Simulation, 88, 3193-3216. Revue avec comité de lecture
Bai L. (2018). Extremes of Lp-norm of vector-valued Gaussian processes with trend. Stochastics, 1-34. Revue avec comité de lecture
Bai L. (2018). Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon. Scandinavian Actuarial Journal, 2018, 514-528. Revue avec comité de lecture
Bai L., Debicki K., Hashorva E. ; Luo L. (2018). On Generalised Piterbarg Constants. Methodology and Computing in Applied Probability, 20, 137-164. Revue avec comité de lecture
Bai L., Dȩbicki K. ; Liu P. (2018). Extremes of vector-valued Gaussian processes with Trend. Journal of Mathematical Analysis and Applications, 465, 47-74. Revue avec comité de lecture
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. Revue avec comité de lecture
Boumezoued A., Hardy Labit H., El Karoui N. ; Arnold S. (2018). Cause-of-death mortality: What can be learned from population dynamics?. Insurance: Mathematics and Economics, 78, 301-315. Revue avec comité de lecture
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. Revue avec comité de lecture
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. Revue avec comité de lecture
Dȩbicki Krzysztof , Liu Peng (2018). Extremes of nonstationary Gaussian fluid queues. Advances in Applied Probability, 50, 887-917. Revue avec comité de lecture
Deng P. (2018). The Joint Distribution of Running Maximum of a Slepian Process. Methodology and Computing in Applied Probability, 20, 1123-1135. Revue avec comité de lecture
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. Revue avec comité de lecture
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. Revue avec comité de lecture
Dunlop Claire, Radaelli Claudio ; Trein Philipp (2018). Learning in Public Policy : Analysis, Modes and Outcomes. Palgrave Macmillan.
Dunlop Claire, Radaelli Claudio ; Trein Philipp (2018). Introduction : The Family Tree of Policy Learning. Learning in Public Policy : Analysis, Modes and Outcomes (pp. 1-25). Palgrave Macmillan. Revue avec comité de lecture
Fuino M. , Wagner J. (2018). Long-Term Care Models and Dependence Probability Tables by Acuity Level: New Empirical Evidence from Switzerland. Insurance: Mathematics and Economics, 81, 51-70. Revue avec comité de lecture
Fuino M. , Wagner J. (2018). Old-Age Care Prevalence in Switzerland: Drivers and Future Development. European Actuarial Journal, 8, 321-362. Revue avec comité de lecture
Gong Chengping , Ling Chengxiu (2018). Robust Estimations for the Tail Index of Weibull-Type Distribution. Risks, 15.
Hashorva E. (2018). Representations of max-stable processes via exponential tilting. Stochastic Processes and their Applications, 128, 2952-2978. Revue avec comité de lecture
Hashorva E. (2018). DOMINATION OF SAMPLE MAXIMA AND RELATED EXTREMAL DEPENDENCE MEASURES. Dependence Modelling, 6, 88–101. Revue avec comité de lecture
Hashorva E., Ratovomirija G., Tamraz M. ; Bai Y. (2018). Some mathematical aspects of price optimisation. Scandinavian Actuarial Journal, 2018, 379-403. Revue avec comité de lecture
Hashorva E., Seleznjev O. ; Tan Z. (2018). Approximation of maximum of Gaussian random fields. Journal of Mathematical Analysis and Applications, 457, 841-867.
Kosiński K.M. , Liu P. (2018). Sample path properties of reflected Gaussian processes. Latin American Journal of Probability and Mathematical Statistics, 15, 453. Revue avec comité de lecture
Maichel-Guggemoos L. , Wagner J. (2018). Profitability and Growth in Motor Insurance Business – Empirical Evidence from Germany. Geneva Papers on Risk and Insurance - Issues and Practice, 43, 126-157. Revue avec comité de lecture
Mau S., Pletikosa Cvijikj I. ; Wagner J. (2018). Forecasting the next likely purchase events of insurance customers: A case study on the value of data-rich multichannel environments. International Journal of Bank Marketing, 36, 1125-1144. Revue avec comité de lecture
Mirza C. , Wagner J. (2018). Policy Characteristics and Stakeholder Returns in Participating Life Insurance: Which Contracts Can Lead to a Win-Win?. European Actuarial Journal, 8, 291-320. Revue avec comité de lecture
Müller K., Schmeiser H. ; Wagner J. (2018). Insurance Claims Fraud: Optimal Auditing Strategies in Insurance Companies. Variance, 10, 204-226. Revue avec comité de lecture
Müller P., Wagner J. (Dir.) (2018). Essays on Funding Mechanisms, Asset Allocation and Calibration of Annuities in Swiss Pension Funds. Université de Lausanne, Faculté des hautes études commerciales.
Müller P. , Wagner J. (2018, Août). How Do the Consideration of Non-Normal Return Distributions and of Higher Moments Influence the Optimal Asset Allocation in Swiss Pension Funds?. Zeitschrift für die gesamte Versicherungswissenschaft, Sonderheft zur Jahrestagung 2018. Revue avec comité de lecture
Staudt Y. , Wagner J. (2018). What policyholder and contract features determine the evolution of non-life insurance customer relationships? : A case study analysis. International Journal of Bank Marketing, 36, 1098-1124. Revue avec comité de lecture
Staudt Y. , Wagner J. (2018). What Customer, Policy and Distribution Characteristics Drive the Development of Insurance Customer Relationships? – A Case Study Analysis. International Journal of Bank Marketing, 36, 1098-1124. Revue avec comité de lecture
Tamraz Maissa (2018). Mixture copulas and insurance applications. Annals of Actuarial Science, 12, 391-411. Revue avec comité de lecture
Tamraz Maissa , Vernic Raluca (2018). ON THE EVALUATION OF MULTIVARIATE COMPOUND DISTRIBUTIONS WITH CONTINUOUS SEVERITY DISTRIBUTIONS AND SARMANOV'S COUNTING DISTRIBUTION. ASTIN Bulletin, 48, 841-870. Revue avec comité de lecture
Trein Philipp (2018). Healthy or Sick ? Coevolution of Health Care and Public Health in a Comparative Perspective. Cambridge University Press. Revue avec comité de lecture
Trein Philipp (2018). Median Problem Pressure and Policy Learning : An Exploratory Analysis of European Countries. Learning in Public Policy : Analysis, Modes and Outcomes (pp. 243-266). Palgrave Macmillan. Revue avec comité de lecture
Trein Philipp (2018). ESPN Thematic Report on Challenges in Long-term Care in Switzerland. European Commission.
Trein Philipp (2018). ESPN Flash Reports : Cost Containment and Equity Concerns in Swiss Healthcare Policy. European Commission.
Trein Philipp (2018). ESPN Thematic Report on Inequalities in access to healthcare Switzerland. European Commission.

2017

Albrecher H., Azcue P. ; Muler N. (2017). Optimal dividend strategies for two collaborating insurance companies. Advances in Applied Probability, 49, 515-548. Revue avec comité de lecture
Albrecher H., Beirlant J. ; Teugels J.L. (2017). Reinsurance : Actuarial and Statistical Aspects. John Wiley & Sons, Ltd, Chichester. Revue avec comité de lecture
Albrecher H., Boxma O.J., Essifi R. ; Kuijstermans R. (2017). A queueing model with randomized depletion of inventory. Probability in the Engineering and Informational Sciences, 31, 43-59. Revue avec comité de lecture
Albrecher H. , Cani A. (2017). Risk Theory with Affine Dividend Payment Strategies. Number Theory – Diophantine Problems, Uniform Distribution and Applications (pp. 25-60). Springer International Publishing. Revue avec comité de lecture
Albrecher H. , Daily-Amir D. (2017). On Effects of Asymmetric Information on Non-Life Insurance Prices under Competition. International Journal of Data Analysis Techniques and Strategies, 9, 287-299. Revue avec comité de lecture






 
Recherche


Internef - CH-1015 Lausanne - Suisse  -   Tél. +41 21 692 33 00  -   Fax +41 21 692 33 05
Swiss University