| List of publications : 1993-1996 |
| 1996 |
| Improved analytical bounds for some risk quantities. ASTIN Bulletin 26, 185-199. Mean-variance portfolio theory under portfolio insurance. In : Albrecht, P. (Ed.). Aktuarielle Ansätze für Finanz- Risiken. Proceedings 6th International AFIR Colloquium, Nürnberg, vol. 1, 347-374. Verlag Versicherungswirtschaft, Karlsruhe. A mean scaled individual risk model and its approximative computation. Proceedings 27th International ASTIN Colloquium,Copenhagen. Some new recursive methods in computational risk theory. Proceedings 27th International ASTIN Colloquium, Copenhagen. |
| 1995 |
| A uniform approximation to the sampling distribution of the coefficient of variation. Statistics and Probability Letters 24, 263-268. Predictive stop-loss premiums and Student's t-distribution. Insurance : Mathematics Economics 16, 151-159. Transforming, ordering and rating risks. Bulletin of the Swiss Association of Actuaries, 213-236. On fair premium principles and Pareto-optimal risk-neutral portfolio valuation. Proceedings 25th International Congress of Actuaries, Brussels, vol. 1, 189-208. Links between premium principles and reinsurance. Proceedings 25th International Congress of Actuaries, Brussels, vol. 2, 141-167. A distribution-free all-finance binomial valuation model. Proceedings 25th International Congress of Actuaries, Brussels, vol. 3, 365-382. On binomial models of the term structure of interest rates. Proceedings 5th International AFIR Colloquium, Brussels. CAPM, derivative pricing and hedging. Proceedings 5th International AFIR Colloquium, Brussels. A stop-loss ordered extremal distribution and some of its applications. Proceedings 26th International ASTIN Colloquium, Leuven. Actuarial Statistics I : likelihood characterizations. Proceedings 26th International ASTIN Colloquium, Leuven. Actuarial Statistics II : exponential characterizations. Proceedings 26th International ASTIN Colloquium, Leuven. Links between actuarial mathematics and additive number theory. 19th Journées Arithmétiques, Barcelona, 16-20th July, 1995. |
| 1994 |
| A note on experience rating, reinsurance and premium principles. Insurance : Math. and Economics 14, 197-204. Splitting risk and premium calculation. Bulletin of the Swiss Association of Actuaries, 167-197. On stable insurance business models. Proceedings 25th International ASTIN Colloquium, Cannes. From the inequalities of Bowers, Kremer and Schmitter to the stop-loss risk. Proceedings 25th International ASTIN Colloquium, Cannes. Experience rating and reinsurance. Proceedings 25th International ASTIN Colloquium, Cannes. An actuarial selection of orthogonal parameters to the mean. Proceedings 25th International ASTIN Colloquium, Cannes. |
| 1993 |
| Bivariate distributions with diatomic conditionals and stop-loss transform of random sums. Statistics and Probability Letters 17, 329-335. Predictive stop-loss premiums. ASTIN Bulletin 23, 55-76. Optimal stop-loss limits under non-expected utility preferences. In : Operations Research '92, Physica-Verlag, 550-552. Solvabilité et réassurance. Bulletin of the Swiss Association of Actuaries, 229-249. An improved elementary upper bound for the variance of a stop-loss risk. Bulletin of the Swiss Association of Actuaries, 97-99. Correction note : Hesselager, O. (1993). Bulletin Swiss Association of Actuaries, 277-278. Méthodes stochastiques d'évaluation du rendement. Proceedings 3rd International AFIR Colloquium, Rom, vol. 2, 629-649. An insurance market based distribution-free stop-loss premium principle. Proceedings 24th International ASTIN Colloquium, Oxford. |