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The Department of Actuarial Science (DSA) was created in 1981 to foster research in actuarial science and to continue HEC’s long tradition in actuarial education dating back to 1919.

Research of the DSA’s members covers a wide spectrum and is published in high quality international scientific journals. Faculty carries out research in Risk Theory, Credibility Theory, pricing of insurance and reinsurance contracts, mortality and longevity modeling, solvency, loss reserving, asset-liability management of insurance companies and pension funds, and mathematical finance. Actuarial science being multidisciplinary, the DSA’s researchers are also doing research in probability and stochastic processes, extreme value theory, and Monte Carlo simulation methods, that are tools essential for the development of actuarial and financial theories and their implementations.

Publications


100 dernières publications classées par: type de publication  -  année
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, Beirlant J ; Teugels J (In Press). Reinsurance: Actuarial and Statistical Aspects. Wiley, Chichester. Revue avec comité de lecture
Albrecher H , Ivanovs J (in press). Linking dividends and capital injections - a probabilistic approach. Scandinavian Actuarial Journal. Revue avec comité de lecture
Albrecher H , Ivanovs J (in press). On the joint distribution of tax payments and capital injections for a L\'{e}vy risk model. Probability and Mathematical Statistics. Revue avec comité de lecture
Albrecher H., Azcue P. ; Muler N. (in press). Optimal Dividend Strategies for Two Collaborating Insurance Companies. Advances in Applied Probability. Revue avec comité de lecture
Albrecher H. , Cani A. (in press). Risk theory with affine dividend payment strategies. Number Theory - Diophantine Problems, Uniform Distribution and Applications, Festschrift for Robert F. Tichy. Springer.
Albrecher H. , Daily-Amir D. (in press). On Effects of Asymmetric Information on Non-Life Insurance Prices under Competition. International Journal of Data Analysis Techniques and Strategies. Revue avec comité de lecture
Arnold S., Boumezoued A., Labit-Hardy H. ; El Karoui N. (in press). Cause-of-Death Mortality: What Can Be Learned From Population Dynamics?. Insurance: Mathematics and Economics. Revue avec comité de lecture
Asimit V., Hashorva E. ; Kortschak D. (in press). Aggregation of randomly weighted large risks. IMA Journal of Management Mathematics. Revue avec comité de lecture
Avraam D., Arnold S., Vasieva O., de Magalhaes J. P. ; Vasiev B. (in press). On the heterogeneity of human population as reflected by the mortality dynamics. Aging. Revue avec comité de lecture
Bai L, Debicki K, Hashorva E ; Luo L (in press). On Generalised Piterbarg Constants. Methodology and Computing in Applied Probability. Revue avec comité de lecture
Debicki Krzysztof, Engelke Sebastian ; Hashorva Enkelejd (in press). Generalized Pickands constants and stationary max-stable processes. Extremes. Revue avec comité de lecture
Hashorva E, Ratovomirija G ; Tamraz M (in press). Some New Dependence Models derived from Multivariate Collective Models in Insurance Applications. Scandinavian Actuarial Journal. Revue avec comité de lecture
Ivanovs J. (in press). Potential measures of one-sided Markov additive processes with reflecting and terminating barriers. Journal of Applied Probability. Revue avec comité de lecture
Ling C , Peng Z (in press). Extremes of order statistics of self-similar processes. Science China Mathematics. Revue avec comité de lecture
Maichel-Guggemoos L. , Wagner J. (in press). Profitability and Growth in Motor Insurance Business – Empirical Evidence from Germany. Geneva Papers on Risk and Insurance - Issues and Practice. Revue avec comité de lecture
Müller K., Schmeiser H. ; Wagner J. (in press). Insurance Claims Fraud: Optimal Auditing Strategies in Insurance Companies. Variance. Revue avec comité de lecture
Müller P. , Wagner J. (in press). The Impact of Pension Funding Mechanisms on the Stability and the Payoff from DC Pension Schemes in Switzerland. Geneva Papers on Risk and Insurance - Issues and Practice. Revue avec comité de lecture
Prettenthaler F., Albrecher H., Asadi P. ; Koeberl J. (in press). On Flood Risk Pooling in Europe. Natural Hazards. Revue avec comité de lecture
S. Engelke , J. Ivanovs (in press). A Lévy-derived process seen from its supremum and max-stable processes. Electronic Journal of Probability. Revue avec comité de lecture

2017

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. , Ivanovs J. (2017). Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Stochastic Processes and their Applications, 127, 643-656. Revue avec comité de lecture
Bai Long (2017). Extremes of α(t)-locally stationary Gaussian processes with non-constant variances. Journal of Mathematical Analysis and Applications, 446, 248-263. Revue avec comité de lecture
Bai Long , Luo Li (2017). Parisian ruin of the Brownian motion risk model with constant force of interest. Statistics & Probability Letters, 120, 34-44. Revue avec comité de lecture
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. Revue avec comité de lecture
Dȩbicki Krzysztof, Liu Peng, Mandjes Michel ; Sierpińska-Tułacz Iwona (2017). Lévy-driven GPS queues with heavy-tailed input. Queueing Systems, 85, 249-267. Revue avec comité de lecture
Debiicki Krzysztof, Hashorva Enkelejd ; Liu Peng (2017). Extremes of Gaussian random fields with regularly varying dependence structure. Extremes, 20, 333-392. Revue avec comité de lecture
Deng Pingjin (2017). Boundary non-crossing probabilities for Slepian process. Statistics & Probability Letters, 122, 28-35. Revue avec comité de lecture
Liu Peng, Zhang Chunsheng ; Ji Lanpeng (2017). A note on ruin problems in perturbed classical risk models. Statistics & Probability Letters, 120, 28-33. Revue avec comité de lecture
Liu Peng , Ji Lanpeng (2017). Extremes of locally stationary chi-square processes with trend. Stochastic Processes and their Applications, 127, 497-525. Revue avec comité de lecture
Peng Xiaofan , Luo Li (2017). Finite time Parisian ruin of an integrated Gaussian risk model. Statistics & Probability Letters, 124, 22-29. Revue avec comité de lecture
Ratovomirija Gildas, Tamraz Maissa ; Vernic Raluca (2017). On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation. Insurance: Mathematics and Economics, 74, 197-209. Revue avec comité de lecture

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. Revue avec comité de lecture
Albrecher H. (2016, Jan). Asymmetric Information and Insurance. Cahiers de l'Institute Louis Bachélier, 20 (pp. 12-15). Revue avec comité de lecture
Albrecher H., Embrechts P., Filipovic D., Harrison G., Koch P., Loisel S. et al. (2016). Old-age provision: past, present, future. European Actuarial Journal, 6, 287-306. Revue avec comité de lecture
Albrecher H., Ivanovs J. ; Zhou X. (2016). Exit identities for Levy processes observed at Poisson arrival times. Bernoulli, 22, 1364-1382. Revue avec comité de lecture
Arbenz P. , Guevara-Alarcón W. (2016). Risk Measure Preserving Piecewise Linear Approximation of Empirical Distributions. European Actuarial Journal, 6, 113-148. Revue avec comité de lecture
Boado-Penas M.C. , Godinez-Olivares H. (2016). Longevity Risk in Notional Defined Contribution Pension Schemes: a Solution. The Geneva Papers on Risk and Insurance - Issues and Practice, 41, 24-52. Revue avec comité de lecture
Debicki K., Hashorva E. ; Ji L. (2016). On Parisian ruin over a finite-time horizon. Science China Mathematics, 59, 557-572. Revue avec comité de lecture
Debicki K., Hashorva E. ; Ji L. (2016). Extremes of a class of non-homogeneous Gaussian random fields. Annals of Probability, 44, 984-1012. Revue avec comité de lecture
Dębicki Krzysztof , Liu Peng (2016). Extremes of stationary Gaussian storage models. Extremes, 19, 273-302. Revue avec comité de lecture
Dombry C, Engelke E ; Oesting M (2016). Exact simulation of max-stable processes. Biometrika, 106, 317. Revue avec comité de lecture
Hashorva E. , Ji L. (2016). Extremes of alpha-t locally stationary Gaussian random fields. Transactions of the American Mathematical Society, 368, 1-26. Revue avec comité de lecture
Hashorva E. , Ling C. (2016). Maxima of skew elliptical triangular arrays. Communications in Statistics - Theory and Methods, 45, 3692-3705. Revue avec comité de lecture
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. Revue avec comité de lecture
Laas D., Schmeiser H. ; Wagner J. (2016). Empirical Findings on Motor Insurance Pricing in Germany, Austria, and Switzerland. Geneva Papers on Risk and Insurance - Issues and Practice, 41, 398-431. Revue avec comité de lecture
Ling C. , Peng Z. (2016). Tail asymptotics of generalized deflated risks with insurance applications. Insurance: Mathematics and Economics, 71, 220-231. Revue avec comité de lecture
Ling Chengxiu , Tan Zhongquan (2016). On maxima of chi-processes over threshold dependent grids. Statistics, 50, 579-595. Revue avec comité de lecture
Liu P. , Ji L. (2016). Extremes of chi-square processes with trend. Probability and Mathematical Statistics, 36, 1-20. Revue avec comité de lecture
Mahlow N. , Wagner J. (2016). Evolution of Strategic Levers in Insurance Claims Management: An Industry Survey. Risk Management and Insurance Review, 19, 197-223. Revue avec comité de lecture
Mahlow N. , Wagner J. (2016). Process Landscape and Efficiency in Non-Life Insurance Claims Management: An Industry Benchmark. Journal of Risk Finance, 17, 218-244. Revue avec comité de lecture
Müller K., Schmeiser H. ; Wagner J. (2016). The Impact of Auditing Strategies on Insurers' Profitability. Journal of Risk Finance, 17, 46-79. Revue avec comité de lecture
Ratovomirija Gildas (2016). On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk. European Actuarial Journal, 6, 149-175. Revue avec comité de lecture
Schmeiser H. , Wagner J. (2016). What Transaction Costs are Acceptable in Life Insurance Products from the Policyholders' Viewpoint?. Journal of Risk Finance, 17, 277-294. Revue avec comité de lecture
Sherris M. (2016). International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis. ASTIN Bulletin: The Journal of the International Actuarial Association, 46, 9-38. Revue avec comité de lecture

2015

Alai D.H. , Sherris M. (2015). Modelling Cause-of-Death Mortality and the Impact of Cause-Elimination. Annals of Actuarial Science, 9, 167-186. Revue avec comité de lecture
Albrecher H. , Daily-Amir D. (2015, Jan). On competitive non-life insurance pricing under incomplete information. Current Topics on Risk Analysis: ICRA 6 and Risk 2015 Conference (pp. 41-48). Revue avec comité de lecture
Albrecher H. , Lautscham V. (2015). Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement. Anales del Instituto de Actuarios Espanoles, 1-30. Revue avec comité de lecture
Avraam D., de Magalhaes J. P., Arnold S. ; Vasiev B. (2015). Mathematical study of mortality dynamics in heterogeneous population composed of subpopulations following the exponential law. Stochastic Modeling Techniques and Data Analysis International Conference Book Series (Vol. 1, pp. 159-171). ISAST. Revue avec comité de lecture
C. Ling , Z. Peng (2015). Tail dependence for two skew slash distributions. Statistics and Its Interfaces, 8, 63-69.
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. Revue avec comité de lecture
Debicki K., Hashorva E. ; Ji L. (2015). Parisian ruin of self-similar Gaussian risk processes. Journal Applied Probability, 52, 688-702. Revue avec comité de lecture
Dȩbicki K., Hashorva E. ; Ji L. (2015). Gaussian risk models with financial constraints. Scandinavian Actuarial Journal, 2015, 469-481. Revue avec comité de lecture
Dȩbicki K., Hashorva E., Ji L. ; Ling C. (2015). Extremes of order statistics of stationary processes. TEST, 24, 229-248. Revue avec comité de lecture
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. Revue avec comité de lecture
Debicki K., Hashorva E. ; Soja-Kukieła N. (2015). Extremes of homogeneous Gaussian random fields. Journal of Applied Probability, 52, 55-67. Revue avec comité de lecture
Engelke S , Kabluchko Z (2015). Max-stable processes and stationary systems of Lévy particles. Stochastic Processes and their Applications, 125, 4272-4299. Revue avec comité de lecture
Farkas J. , Hashorva E. (2015). Tail approximation for reinsurance portfolios of Gaussian-like risks. Scandinavian Actuarial Journal, 2015, 319-331. Revue avec comité de lecture
Gerber H.U., Shiu E.S.W. ; Yang H. (2015). Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Insurance: Mathematics and Economics, 64, 313-325. Revue avec comité de lecture
Hashorva E. (2015). Extremes of aggregated Dirichlet risks. Journal of Multivariate Analysis, 133, 334-345. Revue avec comité de lecture
Hashorva E. , Ji L. (2015). Piterbarg theorems for chi-processes with trend. Extremes, 18, 37-64. Revue avec comité de lecture
Hashorva E., Korshunov D. ; Piterbarg V.I. (2015). Asymptotic expansion of Gaussian chaos via probabilistic approach. Extremes, 18, 315-347. Revue avec comité de lecture
Hashorva E. , Li J. (2015). Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks. Stochastic Models, 31, 1-19. Revue avec comité de lecture
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. Revue avec comité de lecture
Hashorva E., Peng L. ; Weng Z. (2015). Maxima of a triangular array of multivariate Gaussian sequence. Statistics & Probability Letters, 103, 62-72. Revue avec comité de lecture
Hashorva E. , Ratovomirija G. (2015). On samanov mixed erlang risks in insurance applications. ASTIN Bulletin, 45, 175-205. Revue avec comité de lecture
Hashorva E. , Tan Z. (2015). Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids. Statistics, 49, 338-360. Revue avec comité de lecture
Hashorva E. , Weng Z. (2015). Limit Laws for Maxima of Contracted Stationary Gaussian Sequences. Communications in Statistics - Theory and Methods, 44, 4641-4650. Revue avec comité de lecture
Hashorva E., Lifshits M. ; Seleznjev O. (2015). Approximation of a Random Process with Variable Smoothness. Mathematical Statistics and Limit Theorems, 189-208. Revue avec comité de lecture
Kaas R., Gerber H., Goovaerts M., Shiu E. ; Albrecher H. (2015). The impact factor of IME (Editorial). Insurance: Mathematics and Economics, 62, 1-4. Revue avec comité de lecture
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. Revue avec comité de lecture
Liu P., Hashorva E. ; Ji L. (2015). On the gamma-reflected processes with fBm input. Lithuanian Mathematical Journal, 55, 402-414. Revue avec comité de lecture
Mahlow N., Maier S., Müller P., Schmidt J. ; Wagner J. (2015). Trends im Schadenmanagement 2015 - Digitalisierung, Betrugsbekämpfung, Dienstleistermanagement. HEC Lausanne & INNOVALUE Management Advisors.
Mau S., Pletikosa Cvijikj I. ; Wagner J. (2015, Jan). From Research to Purchase: An Empirical Analysis of Research-Shopping Behavior in the Insurance Sector. Zeitschrift für die gesamte Versicherungswissenschaft, Sonderheft zur Jahrestagung 2015, 104 (pp. 573-593). Revue avec comité de lecture
P Asadi, A.C. Davison ; S. Engelke (2015). Extremes on river networks. The Annals of Applied Statistics, 9, 2023-2050. Revue avec comité de lecture
Sherris M. (2015). Causes-of-Death Mortality: What Do We Know on their Dependence?. North American Actuarial Journal, 19, 116-128. Revue avec comité de lecture
Wagner J. (2015). L'avenir de l'assurance vie : une mort lente. HEC Lausanne, Département de Sciences Actuarielles.
Wagner J. (2015). Gestion du risque. Université de Lausanne.

2014

Albrecher H., Asadi P. ; Ivanovs J. (2014). Exact boundaries in sequential testing for phase-type distributions. Journal of Applied Probability, 51A, 347-358. Revue avec comité de lecture
Albrecher H., Avram F., Constantinescu C. ; Ivanovs J. (2014). The tax identity for Markov additive risk processes. Methodology and Computing in Applied Probability, 16, 245-258. Revue avec comité de lecture
Albrecher H., Boxma O.J. ; Ivanovs J. (2014). On simple ruin expressions in dependent Sparre Andersen risk models. Journal of Applied Probability, 51, 293-296. Revue avec comité de lecture
Albrecher H. , Ivanovs J. (2014). Power identities for Lévy risk models under taxation and capital injections. Stochastic Systems, 4, 157-172. Revue avec comité de lecture
Albrecher H., Robert C.Y. ; Teugels J.L. (2014). Joint asymptotic distributions of smallest and largest insurance claims. Risks, 2, 289-314. Revue avec comité de lecture
Avraam D., Jones D. ; Vasiev B. (2014). Time-evolution of age-dependent mortality patterns in mathematical model of heterogeneous human population. Experimental Gerontology, 60, 18-30. Revue avec comité de lecture
Dębicki K., Hashorva E. ; Ji L. (2014). Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals. Extremes, 17, 411-429. Revue avec comité de lecture
Debicki K., Hashorva E. ; Ji L. (2014). Gaussian approximation of perturbed chi-square risks. Statistics and Its Interface, 7, 363-373. Revue avec comité de lecture
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. Revue avec comité de lecture
Dȩbicki K., Hashorva E., Ji L. ; Tabiś K. (2014). On the probability of conjunctions of stationary Gaussian processes. Statistics & Probability Letters, 88, 141-148. Revue avec comité de lecture
Embrechts P., Hashorva E. ; Mikosch T. (2014). Aggregation of log-linear risks. Journal of Applied Probability, 51A, 203-212. Revue avec comité de lecture
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