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Vali Asimit
Vali Asimit
Professor in Actuarial Analytics, Bayes Business School, City, University of London
Verified email at city.ac.uk - Homepage
Title
Cited by
Cited by
Year
Extremes on the discounted aggregate claims in a time dependent risk model
AV Asimit, AL Badescu
Scandinavian Actuarial Journal 2010 (2), 93-104, 2010
1402010
Asymptotics for risk capital allocations based on conditional tail expectation
AV Asimit, E Furman, Q Tang, R Vernic
Insurance: Mathematics and Economics 49 (3), 310-324, 2011
1112011
On a multivariate Pareto distribution
AV Asimit, E Furman, R Vernic
Insurance: Mathematics and Economics 46 (2), 308-316, 2010
802010
Insurance with multiple insurers: A game-theoretic approach
V Asimit, TJ Boonen
European Journal of Operational Research 267 (2), 778-790., 2018
692018
Robust and Pareto Optimality of Insurance Contract
AV Asimit, V Bignozzi, KC Cheung, J Hu, ES Kim
European Journal of Operational Research 262 (2), 720-732., 2017
652017
Optimal risk transfer under quantile-based risk measurers
AV Asimit, AM Badescu, T Verdonck
Insurance: Mathematics and Economics 53 (1), 252-265, 2013
592013
Optimal reinsurance in the presence of counterparty default risk
AV Asimit, AM Badescu, KC Cheung
Insurance: Mathematics and Economics 53 (3), 690-697, 2013
482013
Optimal risk transfers in insurance groups
AV Asimit, AM Badescu, A Tsanakas
European Actuarial Journal 3, 159-190, 2013
452013
An efficient approach to quantile capital allocation and sensitivity analysis
V Asimit, L Peng, R Wang, A Yu
Mathematical Finance 29 (4), 1131-1156, 2019
422019
Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk: The multivariate Pareto-II model
AV Asimit, R Vernic, R Zitikis
Risks 1 (1), 14-33, 2013
412013
Portfolio optimization under solvency constraints: a dynamical approach
S Asanga, A Asimit, A Badescu, S Haberman
North American Actuarial Journal 18 (3), 394-416, 2014
332014
Dependence and the asymptotic behavior of large claims reinsurance
AV Asimit, BL Jones
Insurance: Mathematics and Economics 43 (3), 407-411, 2008
322008
Efficient risk allocation within a non-life insurance group under Solvency II Regime
AV Asimit, AM Badescu, S Haberman, ES Kim
Insurance: Mathematics and Economics 66, 69-76, 2016
272016
Pitfalls in using Weibull tailed distributions
AV Asimit, D Li, L Peng
Journal of Statistical Planning and Inference 140 (7), 2018-2024, 2010
272010
Background risk models and stepwise portfolio construction
AV Asimit, R Vernic, R Zitikis
Methodology and Computing in Applied Probability 18, 805-827, 2016
262016
Optimal Non-Life Reinsurance under Solvency II Regime
A Asimit, Y Chi, J Hu
Insurance: Mathematics and Economics 65, 227-237., 2015
232015
Extreme behavior of bivariate elliptical distributions
AV Asimit, BL Jones
Insurance: Mathematics and Economics 41 (1), 53-61, 2007
232007
Capital requirements and optimal investment with solvency probability constraints
AV Asimit, AM Badescu, TK Siu, Y Zinchenko
IMA Journal of Management Mathematics 26 (4), 345-375, 2015
222015
Risk sharing with multiple indemnity environments
AV Asimit, TJ Boonen, Y Chi, WF Chong
European Journal of Operational Research 295 (2), 587-603, 2021
212021
Statistical inference for a new class of multivariate Pareto distributions
AV Asimit, E Furman, R Vernic
Communications in Statistics-Simulation and Computation 45 (2), 456-471, 2016
212016
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