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Department of Actuarial Science (DSA)

The Department of Actuarial Science (DSA) brings together various research activities in insurance, including theories of risk and credibility, pension systems, stochastic models in insurance, and mathematical instruments for finance. The department publishes scientific papers and maintains numerous contacts with both the academic and professional areas of insurance.

 

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

 


Publications


100 last publications ordered by: publication type  -  year
 

: Peer Reviewed


  N.B.: Publications appears only after the authors have joined HEC Lausanne.
For the complete publications list of authors, please, see their personal websites.

In Press

Albrecher H., Azcue P. ; Muler N. (in press). Optimal ratcheting of dividends in insurance. SIAM Journal on Control and Optimization. Peer Reviewed
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. Peer Reviewed
Albrecher H., Bladt Martin ; Bladt Mogens (in press). Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Extremes. Peer Reviewed
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. Peer Reviewed
Bai L. (in press). Estimation of Change-point Models. Fundamentalnaya i prikladnaya matematika. Peer Reviewed
Bladt M., Albrecher H. ; Beirlant J. (in press). Combined tail estimation using censored data and expert information. Scandinavian Actuarial Journal. Peer Reviewed
Dȩbicki Krzysztof, Liu Peng ; Michna Zbigniew (in press). Sojourn Times of Gaussian Processes with Trend. Journal of Theoretical Probability. Peer Reviewed
Fossati Flavia , Trein Josef Philipp (in press). Cobbler stick to your last? Social democrats’ electoral returns from labour market polic. Journal of Social Policy. Peer Reviewed
Hashorva Enkelejd, Mishura Yuliya ; Shevchenko Georgiy (in press). Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics. Journal of Theoretical Probability. Peer Reviewed
Hashorva Enkelejd, Padoan Simone A. ; Rizzelli Stefano (in press). Multivariate Extremes Over a Random Number of Observations. Scandinavian Journal of Statistics. Peer Reviewed
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. Peer Reviewed

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. Peer Reviewed
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. Peer Reviewed
Guevara-Alarcon W., Albrecher H. ; Chowdhury P. (2020). On marine liability portfolio modeling. ASTIN Bulletin, 50, 61-93. Peer Reviewed
Hashorva Enkelejd , Rullière Didier (2020). Asymptotic domination of sample maxima. Statistics & Probability Letters, 160, 108703. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
Albrecher H. , Cani A. (2019). On randomized reinsurance contracts. Insurance: Mathematics & Economics, 84, 67-78. Peer Reviewed
Albrecher H. , Vatamidou E. (2019). Ruin probability approximations in Sparre Andersen models with completely monotone claims. Risks, 7, 104-117. Peer Reviewed
Albrecher Hansjoerg , Bladt Mogens (2019). Inhomogeneous phase-type distributions and heavy tails. Journal of Applied Probability, 56, 1044-1064. Peer Reviewed
Arnold S. , Jijiie A. (2019). Generational transfers within the occupational pension system in Switzerland. European Actuarial Journal. Peer Reviewed
Arnold S., Jijiie A., Jondeau E. ; Rockinger M. (2019). Periodic or Generational Actuarial Tables: Which One to Choose?. European Actuarial Journal, 9, 519-554. Peer Reviewed
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. Peer Reviewed
Cheng Dan , Liu Peng (2019). Extremes of spherical fractional Brownian motion. Extremes, 22, 433-457. Peer Reviewed
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. Peer Reviewed
Daily-Amir D., Albrecher H., Bladt M. ; Wagner J. (2019). On market share drivers in the Swiss mandatory health insurance sector. Risks, 7, 114. Peer Reviewed
Debicki Krzysztof , Liu Peng (2019). The time of ultimate recovery in Gaussian risk model. Extremes, 22, 499-521. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
Ling Chengxiu (2019). Extremes of stationary random fields on a lattice. Extremes, 22, 391-411. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
Raaijmakers Y., Albrecher H. ; Boxma O. (2019). The single server queue with mixing dependencies. Methodology and Computing in Applied Probability, 21, 1023–1044. Peer Reviewed
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. Peer Reviewed
Trein Philipp (2019). Knowledge, policymaking and learning for European cities and regions. Local Government Studies, 45, 597-599. Peer Reviewed
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. Peer Reviewed

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. Peer Reviewed
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. Peer Reviewed
Albrecher H., Bäuerle N. ; Bladt M. (2018). Dividends: From Refracting to Ratcheting. Insurance: Mathematics and Economics, 83, 47-58. Peer Reviewed
Albrecher H. , Ivanovs J. (2018). Linking dividends and capital injections – a probabilistic approach. Scandinavian Actuarial Journal, 76-83. Peer Reviewed
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. Peer Reviewed
Bai L. (2018). Extremes of Lp-norm of vector-valued Gaussian processes with trend. Stochastics, 1-34. Peer Reviewed
Bai L. (2018). Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon. Scandinavian Actuarial Journal, 2018, 514-528. Peer Reviewed
Bai L., Debicki K., Hashorva E. ; Luo L. (2018). On Generalised Piterbarg Constants. Methodology and Computing in Applied Probability, 20, 137-164. Peer Reviewed
Bai L., Dȩbicki K. ; Liu P. (2018). Extremes of vector-valued Gaussian processes with Trend. Journal of Mathematical Analysis and Applications, 465, 47-74. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
Dȩbicki Krzysztof , Liu Peng (2018). Extremes of nonstationary Gaussian fluid queues. Advances in Applied Probability, 50, 887-917. Peer Reviewed
Deng P. (2018). The Joint Distribution of Running Maximum of a Slepian Process. Methodology and Computing in Applied Probability, 20, 1123-1135. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
Fuino M. , Wagner J. (2018). Old-Age Care Prevalence in Switzerland: Drivers and Future Development. European Actuarial Journal, 8, 321-362. Peer Reviewed
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. Peer Reviewed
Hashorva E. (2018). DOMINATION OF SAMPLE MAXIMA AND RELATED EXTREMAL DEPENDENCE MEASURES. Dependence Modelling, 6, 88–101. Peer Reviewed
Hashorva E., Ratovomirija G., Tamraz M. ; Bai Y. (2018). Some mathematical aspects of price optimisation. Scandinavian Actuarial Journal, 2018, 379-403. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
Müller K., Schmeiser H. ; Wagner J. (2018). Insurance Claims Fraud: Optimal Auditing Strategies in Insurance Companies. Variance, 10, 204-226. Peer Reviewed
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, Aug). 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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
Tamraz Maissa (2018). Mixture copulas and insurance applications. Annals of Actuarial Science, 12, 391-411. Peer Reviewed
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. Peer Reviewed
Trein Philipp (2018). Healthy or Sick ? Coevolution of Health Care and Public Health in a Comparative Perspective. Cambridge University Press. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
Albrecher H., Beirlant J. ; Teugels J.L. (2017). Reinsurance : Actuarial and Statistical Aspects. John Wiley & Sons, Ltd, Chichester. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed






 
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