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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 last publications ordered by: publication type  -  year
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, Beirlant J ; Teugels J (In Press). Reinsurance: Actuarial and Statistical Aspects. Wiley, Chichester. Peer Reviewed
Albrecher H , Ivanovs J (in press). Linking dividends and capital injections - a probabilistic approach. Scandinavian Actuarial Journal. Peer Reviewed
Albrecher H., Azcue P. ; Muler N. (in press). Optimal Dividend Strategies for Two Collaborating Insurance Companies. Advances in Applied Probability. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
Asmussen S, Hashorva E, Laub P ; Taimre T (in press). Tail asymptotics of light -tailed Weibull-like sums . Probability and Mathematical Statistics. Peer Reviewed
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. Peer Reviewed
Bai L, Debicki K, Hashorva E ; Luo L (in press). On Generalised Piterbarg Constants. Methodology and Computing in Applied Probability. Peer Reviewed
Debicki K , Hashorva E (in press). On extremal index of max-stable processes. Probability and Mathematical Statistics. Peer Reviewed
Debicki K., Hashorva E ; Liu P (in press). Uniform tail approximation of homogenous functionals of Gaussian fields. Advances Applied Probability. Peer Reviewed
Hashorva E, Ratovomirija G, Tamraz M ; Bai Y (in press). Some Mathematical Aspects of Price Optimisation. Scandinavian Actuarial Journal. Peer Reviewed
Ivanovs J. (in press). Potential measures of one-sided Markov additive processes with reflecting and terminating barriers. Journal of Applied Probability. Peer Reviewed
Ling C , Peng Z (in press). Extremes of order statistics of self-similar processes. Science China Mathematics. Peer Reviewed
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. Peer Reviewed
Mau S., Pletikosa Cvijikj I. ; Wagner J. (in press). 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. Peer Reviewed
Müller K., Schmeiser H. ; Wagner J. (in press). Insurance Claims Fraud: Optimal Auditing Strategies in Insurance Companies. Variance. Peer Reviewed
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. Peer Reviewed
S. Engelke , J. Ivanovs (in press). A Lévy-derived process seen from its supremum and max-stable processes. Electronic Journal of Probability. Peer Reviewed
Staudt Y. , Wagner J. (in press). What Customer, Policy and Distribution Characteristics Drive the Development of Insurance Customer Relationships? – A Case Study Analysis. International Journal of Bank Marketing. Peer Reviewed

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. Peer Reviewed
Albrecher H. , Cani A. (2017). Risk theory with affine dividend payment strategies. Number Theory - Diophantine Problems, Uniform Distribution and Applications, Festschrift for Robert F. Tichy (pp. 25-60). Springer. Peer Reviewed
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. Peer Reviewed
Asimit V., Hashorva E. ; Kortschak D. (2017). Aggregation of randomly weighted large risks. IMA Journal of Management Mathematics, 3, 403–419. Peer Reviewed
Bai L. (2017). Extremes of α(t)-locally stationary Gaussian processes with non-constant variances. Journal of Mathematical Analysis and Applications, 446, 248-263. Peer Reviewed
Bai L. , Luo L. (2017). Parisian ruin of the Brownian motion risk model with constant force of interest. Statistics & Probability Letters, 120, 34-44. Peer Reviewed
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. Peer Reviewed
Dȩbicki K., Liu P., Mandjes M. ; Sierpińska-Tułacz I. (2017). Lévy-driven GPS queues with heavy-tailed input. Queueing Systems, 85, 249-267. Peer Reviewed
Debicki Krzysztof, Engelke Sebastian ; Hashorva Enkelejd (2017). Generalized Pickands constants and stationary max-stable processes. Extremes, 20, 493-517. Peer Reviewed
Dȩbicki Krzysztof, Farkas Julia ; Hashorva Enkelejd (2017). Extremes of randomly scaled Gumbel risks. Journal of Mathematical Analysis and Applications. Peer Reviewed
Debiicki K., Hashorva E. ; Liu P. (2017). Extremes of Gaussian random fields with regularly varying dependence structure. Extremes, 20, 333-392. Peer Reviewed
Deng P. (2017). Boundary non-crossing probabilities for Slepian process. Statistics & Probability Letters, 122, 28-35. Peer Reviewed
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. Peer Reviewed
Liu P., Zhang C. ; Ji L. (2017). A note on ruin problems in perturbed classical risk models. Statistics & Probability Letters, 120, 28-33. Peer Reviewed
Liu P. , Ji L. (2017). Extremes of locally stationary chi-square processes with trend. Stochastic Processes and their Applications, 127, 497-525. Peer Reviewed
Peng X. , Luo L. (2017). Finite time Parisian ruin of an integrated Gaussian risk model. Statistics & Probability Letters, 124, 22-29. Peer Reviewed
Prettenthaler F., Albrecher H., Asadi P. ; Koeberl J. (2017). On Flood Risk Pooling in Europe. Natural Hazards, 88, 1-20. Peer Reviewed
Ratovomirija G., Tamraz M. ; Vernic R. (2017). On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation. Insurance: Mathematics and Economics, 74, 197-209. Peer Reviewed

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. Peer Reviewed
Albrecher H. (2016, Jan). Asymmetric Information and Insurance. Cahiers de l'Institute Louis Bachélier, 20 (pp. 12-15). Peer Reviewed
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. Peer Reviewed
Albrecher H., Ivanovs J. ; Zhou X. (2016). Exit identities for Levy processes observed at Poisson arrival times. Bernoulli, 22, 1364-1382. Peer Reviewed
Arbenz P. , Guevara-Alarcón W. (2016). Risk Measure Preserving Piecewise Linear Approximation of Empirical Distributions. European Actuarial Journal, 6, 113-148. Peer Reviewed
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. Peer Reviewed
Debicki K., Hashorva E. ; Ji L. (2016). On Parisian ruin over a finite-time horizon. Science China Mathematics, 59, 557-572. Peer Reviewed
Debicki K., Hashorva E. ; Ji L. (2016). Extremes of a class of non-homogeneous Gaussian random fields. Annals of Probability, 44, 984-1012. Peer Reviewed
Dębicki Krzysztof , Liu Peng (2016). Extremes of stationary Gaussian storage models. Extremes, 19, 273-302. Peer Reviewed
Dombry C, Engelke E ; Oesting M (2016). Exact simulation of max-stable processes. Biometrika, 106, 317. Peer Reviewed
Hashorva E. , Ji L. (2016). Extremes of alpha-t locally stationary Gaussian random fields. Transactions of the American Mathematical Society, 368, 1-26. Peer Reviewed
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. Peer Reviewed
Ling C. , Peng Z. (2016). Tail asymptotics of generalized deflated risks with insurance applications. Insurance: Mathematics and Economics, 71, 220-231. Peer Reviewed
Ling Chengxiu , Tan Zhongquan (2016). On maxima of chi-processes over threshold dependent grids. Statistics, 50, 579-595. Peer Reviewed
Liu P. , Ji L. (2016). Extremes of chi-square processes with trend. Probability and Mathematical Statistics, 36, 1-20. Peer Reviewed
Mahlow N. , Wagner J. (2016). Evolution of Strategic Levers in Insurance Claims Management: An Industry Survey. Risk Management and Insurance Review, 19, 197-223. Peer Reviewed
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. Peer Reviewed
Müller K., Schmeiser H. ; Wagner J. (2016). The Impact of Auditing Strategies on Insurers' Profitability. Journal of Risk Finance, 17, 46-79. Peer Reviewed
Ratovomirija Gildas (2016). On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk. European Actuarial Journal, 6, 149-175. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed

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. Peer Reviewed
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). Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
Dȩbicki K., Hashorva E. ; Ji L. (2015). Gaussian risk models with financial constraints. Scandinavian Actuarial Journal, 2015, 469-481. Peer Reviewed
Debicki K., Hashorva E. ; Ji L. (2015). Parisian ruin of self-similar Gaussian risk processes. Journal Applied Probability, 52, 688-702. Peer Reviewed
Dȩbicki K., Hashorva E., Ji L. ; Ling C. (2015). Extremes of order statistics of stationary processes. TEST, 24, 229-248. Peer Reviewed
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. Peer Reviewed
Debicki K., Hashorva E. ; Soja-Kukieła N. (2015). Extremes of homogeneous Gaussian random fields. Journal of Applied Probability, 52, 55-67. Peer Reviewed
Engelke S , Kabluchko Z (2015). Max-stable processes and stationary systems of Lévy particles. Stochastic Processes and their Applications, 125, 4272-4299. Peer Reviewed
Farkas J. , Hashorva E. (2015). Tail approximation for reinsurance portfolios of Gaussian-like risks. Scandinavian Actuarial Journal, 2015, 319-331. Peer Reviewed
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. Peer Reviewed
Hashorva E. (2015). Extremes of aggregated Dirichlet risks. Journal of Multivariate Analysis, 133, 334-345. Peer Reviewed
Hashorva E. , Ji L. (2015). Piterbarg theorems for chi-processes with trend. Extremes, 18, 37-64. Peer Reviewed
Hashorva E., Korshunov D. ; Piterbarg V.I. (2015). Asymptotic expansion of Gaussian chaos via probabilistic approach. Extremes, 18, 315-347. Peer Reviewed
Hashorva E. , Li J. (2015). Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks. Stochastic Models, 31, 1-19. Peer Reviewed
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. Peer Reviewed
Hashorva E. , Ratovomirija G. (2015). On samanov mixed erlang risks in insurance applications. ASTIN Bulletin, 45, 175-205. Peer Reviewed
Hashorva E. , Tan Z. (2015). Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids. Statistics, 49, 338-360. Peer Reviewed
Hashorva E. , Weng Z. (2015). Limit Laws for Maxima of Contracted Stationary Gaussian Sequences. Communications in Statistics - Theory and Methods, 44, 4641-4650. Peer Reviewed
Hashorva E., Lifshits M. ; Seleznjev O. (2015). Approximation of a Random Process with Variable Smoothness. Mathematical Statistics and Limit Theorems, 189-208. Peer Reviewed
Kaas R., Gerber H., Goovaerts M., Shiu E. ; Albrecher H. (2015). The impact factor of IME (Editorial). Insurance: Mathematics and Economics, 62, 1-4. Peer Reviewed
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. Peer Reviewed
Liu P., Hashorva E. ; Ji L. (2015). On the gamma-reflected processes with fBm input. Lithuanian Mathematical Journal, 55, 402-414. Peer Reviewed
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). Springer. Peer Reviewed
P Asadi, A.C. Davison ; S. Engelke (2015). Extremes on river networks. The Annals of Applied Statistics, 9, 2023-2050. Peer Reviewed
Sherris M. (2015). Causes-of-Death Mortality: What Do We Know on their Dependence?. North American Actuarial Journal, 19, 116-128. Peer Reviewed
Wagner J. (2015). Gestion du risque. Université de Lausanne.
Wagner J. (2015). L'avenir de l'assurance vie : une mort lente. HEC Lausanne, Département de Sciences Actuarielles.

2014

Albrecher H., Asadi P. ; Ivanovs J. (2014). Exact boundaries in sequential testing for phase-type distributions. Journal of Applied Probability, 51A, 347-358. Peer Reviewed
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. Peer Reviewed
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. Peer Reviewed
Albrecher H. , Ivanovs J. (2014). Power identities for Lévy risk models under taxation and capital injections. Stochastic Systems, 4, 157-172. Peer Reviewed
Albrecher H., Robert C.Y. ; Teugels J.L. (2014). Joint asymptotic distributions of smallest and largest insurance claims. Risks, 2, 289-314. Peer Reviewed
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. Peer Reviewed
Dębicki K., Hashorva E. ; Ji L. (2014). Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals. Extremes, 17, 411-429. Peer Reviewed
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