Embedded Files
Akron, S., Gaoni Shoval, M., and Levy, S. (2025). "Identifying an Agency Problem in Online Shopping Groups under uncertainty". ARC Working Paper no. 2025-001
Kelner, M., Landsman, Z., and Makov, U. E. (2024). “Advances in Multivariate Archimedean Copula Modeling”. ARC Working Paper no. 2024-001
Thzukerva, R., Landsman, Z. and Makov, U.E. (2023). “Fitting Compound Archimedean Copula to data for modeling insurance risk”. ARC Working Paper no. 2023-001
Kelner, M., Landsman, Z., Makov, U. (2022) “Probabilistic peak demand estimation using members of the Clayton-Generalized Gamma copula family". TARC Working Paper no. 2022-002
Landsman, Z., Shushi, T. (2022). “A risk-loaded approach for regression analysis of risks”. ARC Working Paper no. 2022-001
Kelner, M., Landsman, Z., and Makov, U. E. (2021). "Compound Archimedean Copulas". ARC Working Paper no. 2021-003
Kelner, M., Landsman, Z., and Makov, U. E. (2021). "Fitting Compound Archimedean Copulas to Data for Modeling Electricity Demand". ARC Working Paper no. 2021-002
Kelner, M., Landsman, Z., and Makov, U. E. (2021). "New Approach to Multivariate Archimedean Copula Generation". ARC Working Paper no. 2021-001
Au, C., & Choy, S.T.B. (2020). "A Bayesian approach to modelling heavy-tailedness and skewness for multivariate data: the modified multivariate skew-t distribution". ARC Working Paper no. 2020-011
Aviv, R., Landsman, Z. and Makov U. (2020). "Risk Exchange with Multivariate Tail Measures". ARC Working Paper no. 2020-010
Chan,J., Choy,B. , Makov, U., Shamir, A., Shapovalov, V. (2020). “Handling overdispersion and variable selection in claims frequency modeling using telematics car driving data”. ARC Working Paper no. 2020-009
Choy, B. (2020). “A Bayesian approach to modelling heavy-tailedness and skewness for multivariate data: the modified multivariate skew-t distribution”. ARC Working Paper no. 2020-008
Choy, B. (2020). “Coupling Matrix Manifolds and Their Applications in Optimal Transport”. ARC Working Paper no. 2020-007
Choy, B. (2020). “Does Farm Size Matter in Response to the Price of Agricultural Mechanization Services?” ARC Working Paper no. 2020-006
Choy, B. (2020). “Long memory with Conditional Heteroscedastic Errors analysis for 2008 GFC and COVID-19”. ARC Working Paper no. 2020-005
Choy, B. (2020). “Modelling multivariate run-off triangles with flexibility”. ARC Working Paper no. 2020-004
Langbord, L., Landsman, Z. and Makov, U. (2020). "Credibility and Intrinsic Bayesian estimation of the mean of the Tweedie family". ARC Working Paper no. 2020-003
Wong, S.Y.K., Chan, J.S.K., Azizi, L., Xu, R.Y.D. (2020). “Non-stationary neural network for stock return prediction". ARC Working Paper no. 2020-002
Yuan, H., Peiris, S. & Choy, S.T.B. (2020). "Modelling long memory with conditional heteroscedastic errors: Analysis of GFC, CGBSM and COVID-19". ARC Working Paper no. 2020-001
Bäuerle, N., & Shushi, T. (2019). "Risk management with Tail Quasi-Linear Means". ARC Working Paper no. 2019-024
Chan, J.S.K., Ng, K.H., Nitithumbundit, T. and Peiris, M.S.(2019). "Estimating financial risk using parametric quantile regression: An application to CARR models". (2019). ARC Working Paper no. 2019-023
Choy, S.T.B. (2019). "Modelling multivariate run-off triangles with flexibility". ARC Working Paper no. 2019-022
Fleck, A., Furman, E., Shen, Y. (2019). "Risk aggregation and allocation in the presence of systemic risk: The tale of Stable laws". ARC Working Paper no. 2019-021
Furman, E., Kye, Y., & Su, J. (2019). " A reconciliation of the top-down and bottom-up approaches to risk capital allocations: Proportional allocations revisited". ARC Working Paper no. 2019-020
Furman, E., Kye, Y., & Su, J. (2019). "Multiplicative background risk models with nonexchangeable dependencies: Theory and applications". ARC Working Paper no. 2019-019
Furman, E., Kye, Y., Su, J. (2019). “On a unifying method to allocating economic capital: A reconciliation of the top-down and bottom-up approaches.” ARC Working Paper no. 2019-018
Guo, R., Choy, S.T.B. & Poon, S.K. (2019). "A new network-based multimorbidity index for better primary care assessment for elders: The Australian context". ARC Working Paper no. 2019-017
Ignatieva, K. and Landsman, Z. (2019). "A New Class of Generalised Hyper-Elliptical Distributions and their Applications in Computing Conditional Tail Risk Measures". ARC Working Paper no. 2019-016
James,N., Menzies, M., Azizi, L., Chan, J.S.K. (2019). “Similarity and anomaly detection in the cryptocurrency market”. ARC Working Paper no. 2019-015
James,N., Menzies, M., Chan, J.S.K. (2019). “Semi-metric portfolio optimisation: a new algorithm reducing simultaneous asset shocks”. ARC Working Paper no. 2019-014
Mohammed, N., Furman, E., Su, J. (2019). "When do the top-down and the bottom-up approaches to risk capital allocations agree?" ARC Working Paper no. 2019-013
Nitithumbundit, T. and Chan, J.S.K. (2019). “Learning Cross-dependency of Cryptocurrencies from Multivariate Time Series Models”. ARC Working Paper no. 2019-012
Nitithumbundit, T. and Chan, J.S.K. (2019). “Vector ARMA model with variance gamma distribution for multiple time series”. ARC Working Paper no. 2019-011
Shapovalov, V., Landsman, Z., & Makov, U. (2019). "A LC Model With Change-Points Regime". ARC Working Paper no. 2019-010
Shapovalov, V., Landsman, Z., & Makov, U. (2019)."Bayesian Log-Bilinear Mortality Projection with a Random Walk with Drift". ARC Working Paper no. 2019-009
Shapovalov, V., Landsman, Z., & Makov, U. (2019). "Exchangeable Mortality Projection". ARC Working Paper no. 2019-008
Shi, D., Gao, J., Choy, S.T.B. & Wang, Z. (2019). "Coupling Matrix Manifolds and Their Applications in Optimal Transport". ARC Working Paper no. 2019-007
Shushi, T. and Yao, J. (2019). "Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Model". ARC Working Paper no. 2019-006
Tan, S.K., Chan, J.S.K. and Ng, K.H., (2019). “Modelling and Forecasting Stock Volatility and Return: A New Approach based on Quantile Rogers-Satchell Volatility Measure with Asymmetric Bilinear CARR Model" . ARC Working Paper no. 2019-005
Tan, S.K., Chan, J.S.K. and Ng, K.H. (2019). "On the speculative nature of cryptocurrencies: a study on realised volatility". ARC Working Paper no. 2019-004
Wang, J.J.J. and Chan, J.S.K. (2019). “Stochastic Modelling of Volatility and Inter-relationships in the Australian Electricity Markets." ARC Working Paper no. 2019-003
Yan, H., Peters, G.W. and Chan, J.S.K. (2019). “Mortality models incorporating long memory for life table estimation: a comprehensive analysis”. ARC Working Paper no. 2019-002
Yan, H., Peters, G.W. and Chan, J.S.K. (2019). “Reducing Model Risk and Improving Mortality Forecasts for Life Insurance Product Pricing”. ARC Working Paper no. 2019-001
Adcock, C., Landsman, Z., & Shushi, T. (2018). "Stein’s Lemma for generalized skew-elliptical random vectors". ARC Working Paper no. 2018-027
Bai, M., Choy, S.T.B., Song, X. & Gao, J. (2018). "Tensor-train parameterization for ultra dimensionality reduction". ARC Working Paper no. 2018-026
Chan, J.S.K., Ng, K.H. and Ragell, R. (2018). "Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions". ARC Working Paper no. 2018-025
Chen, N., Kliger, D. and Qadan, M. (2018). "Idiosyncratic Volatility, VIX and Stock Returns". ARC Working Paper no. 2018-024
Chen, Y., Santoshkumar, S., Zhang, L., Furman, E., Su, J. (2018).“Modelling, measuring, and pricing the flood risk: Survey and actuarial perspective.” ARC Working Paper no. 2018-023
Furman, E., Kye, Y., & Su, J. (2018). "Computing the Gini index: A note". ARC Working Paper no. 2018-022
Gelman, S. Kliger, D. (2018). "Time-Induced Stress Effect on Financial Decision Making in Real Markets: The Case of Traffic Congestion". ARC Working Paper no. 2018-021
James,N., Menzies, M., Azizi, L., Chan, J.S.K. (2018). “Novel semi-metrics for multivariate change point analysis and anomaly detection”. ARC Working Paper no. 2018-020
Kliger, D., Kudryavtsev, A., Puhan, T.X., Vogel, R. (2018). "The HeUristic: First-Body vs. Third-Body Presentation Impression Effect on Employment Decisions". ARC Working Paper no. 2018-019
Kliger, D., Qadan, M. (2018). "The High Holidays: Psychological Mechanisms of Honesty in Real-Life Financial Decisions". ARC Working Paper no. 2018-018
Landsman, Z., Makov, U. E., & Shushi, T. (2018). "Portfolio Optimization by a Bivariate Functional of the Mean and Variance". ARC Working Paper no. 2018-017
Miles, J., Furman, E., & Kuznetsov, A. (2018). "Risk aggregation: A general approach via the class of Generalized Gamma Convolutions". ARC Working Paper no. 2018-016
Nitithumbundit, T. and Chan, J.S.K. (2018). "ECM Algorithm for Auto-regressive Multivariate Skewed Variance Gamma Model with Unbounded Density". ARC Working Paper no. 2018-015
Phillip, A., Chan, J.S.K. and Peiris, M.S. (2018). "On generalized bivariate Student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of Cryptocurrencies with a focus on Bitcoin". ARC Working Paper no. 2018-014
Phillip, A., Chan, J.S.K. and Peiris, M.S. (2018). "On long memory effects in the volatility measure of Cryptocurrencies". ARC Working Paper no. 2018-013
Poon, S., Poon, C., Gorji, N., Tsoi, K., Choy, S.T.B., Loy, C. & Latt, M. (2018). "Derivation and analysis of dynamic handwriting features as clinical markers of Parkinson’s disease". ARC Working Paper no. 2018-012
Semenikhine, V., Furman, E., & Su, J. (2018). "On a multiplicative multivariate gamma distribution with applications in insurance". ARC Working Paper no. 2018-011
Shushi, T. (2018)."A note on the coefficients of elliptical random variables". ARC Working Paper no. 2018-010
Shushi, T. (2018). "The Minkowski length of a spherical random vector." ARC Working Paper no. 2018-009
Shushi, T. (2018). "Towards a Topological Representation of Risks and Their Measures". ARC Working Paper no. 2018-008
Shushi, T. (2018). "Modeling the Esscher Premium Principle for a System of Elliptically Distributed Risks". ARC Working Paper no. 2018-007
Van Belle, J., Vanduffel, S., & Yao, J. (2018). "Closed‐form approximations for spread options in Lévy markets". ARC Working Paper no. 2018-006
Wichitaksorn, N., Gerlach, R. & Choy, S.T.B. (2018). "Efficient MCMC estimation of some elliptical copula regression models through scale mixtures of normals". ARC Working Paper no. 2018-005
Xiao, Y., & Yao, J. (2018)."A note on joint mix random vectors". ARC Working Paper no. 2018-004
Yan, H. Peters, G.W. and Chan, J.S.K. (2018)."Evidence for Persistence and Long Memory Features in Mortality Data". ARC Working Paper no. 2018-003
Yan, H. Peters, G.W. and Chan, J.S.K. (2018). "Reducing Model Risk and Improving Mortality Forecasts for Life Insurance Product Pricing". ARC Working Paper no. 2018-002
Yatigammana, R.P., Chan, J.S.K. and Gerlach, R.H. (2018). "Forecasting the conditional distribution of durations via Mixture distributions". ARC Working Paper no. 2018-001
Alai, D. and Landsman, Z. (2017). "Truncated Multivariate Distributions Generated by Multiply Monotone Functions".ARC Working Paper no. 2017-014
BOXMA, O, FROSTIG, E. and PERRY, D. (2017)."A reinsurance risk model with a threshold coverage policy The Gerber-Shiu penalty function". TARC Working Paper no. 2017-013
Chan, J.S.K., Choy, S.T.B., Makov, U.E. and Landsman, Z. (2017). "Modeling insurance losses using contaminated generalized beta type II distribution." ARC Working Paper no. 2017-012
Dancer, D. and Choy, S.T.B. (2017). "Enhancing a student’s academic and social experience with a new peer learning support". ARC Working Paper no. 2017-011
Furman, E., Kuznetsov, A. and Zitikis, R. (2017). "Weighted risk capital allocations in the presence of systematic risk." ARC Working Paper no. 2017-010
Ignatieva, K. and Landsman, Z. (2017). "Conditional Tail Risk Measures for Skewed Generalised Hyperbolic Family". ARC Working Paper no. 2017-009
Mualem, E. and Zaks, A. (2017). "Fair Split of Profit generated by n Parties". ARC Working Paper no. 2017-008
Nitithumbundit, T. and Chan, J.S.K. (2017). "Maximum leave-one-out likelihood estimation for location parameter of unbounded densities." ARC Working Paper no. 2017-007
Phillip, A., Chan, J.S.K. and Peiris, M.S. (2017). "A new look at Cryptocurrencies". ARC Working Paper no. 2017-006
Tan, S.K., Ng, K.H., Chan, J.S.K. and Ibrahim, M. (2017). "Quantile Range-based Volatility Measure for Modelling and Forecasting Volatility Using High Frequency Data".ARC Working Paper no. 2017-005
Yan, H. Chan, J.S.K. and Peters, G.W. (2017). "The cohort mortality model in-cooperating with long memory for better life table construction and retirement plan formulation". ARC Working Paper no. 2017-004
Yatigammana, R.P., Chan, J.S.K. and Gerlach, R.H. (2017). "Forecasting trade durations via ACD models with mixture distributions". ARC Working Paper no. 2017-003
Yeap, C., Kwok, S. & Choy, S.T.B. (2017). "A flexible generalised hyperbolic option pricing model and special cases." ARC Working Paper no. 2017-002
Zhu, X., Wang, T., Choy, S.T.B. and Autchariyapanitkul, K. (2017). "Measures of mutually complete dependence for discrete random vectors". ARC Working Paper no. 2017-001
Au, C. and Choy S.T.B. (2016). "An application of Bayesian seemingly unrelated regression models with flexible tails".ARC Working Paper no. 2016-027
Bernard, C., Rüschendorf, L., Vanduffel, S. and Yao, J. (2016). "How robust is the value-at-risk of credit risk portfolios?" ARC Working Paper no. 2016-026
BOXMA, O, FROSTIG, E., PERRY, D. and YOSEF, R. (2016)." PARTIAL COVERAGE BY A RICH UNCLE UNTIL BANKRUPTCY: A REINSURANCE MODEL". ARC Working Paper no. 2016-025
Chan, J., Choy, B. and Makov, U. (2016). "Enhanced Predictive Modeling for Usage-Based Auto Insurance".ARC Working Paper no. 2016-024
Chan, J., Choy, B. and Makov, U. (2016). "Predictive Modelling for Usage-Based Auto Insurance". ARC Working Paper no. 2016-023
Chan, J., Choy, B. and and Walker, S. (2016). "A new method to estimate the shape parameter of a distribution."ARC Working Paper no. 2016-022
Chan, J., Makov, U., Landsman, Z. and Choy, B. (2016)." Contaminated generalized beta distribution for loss reserving". ARC Working Paper no. 2016-021
Chan, J., Nitithumbundit, T., Ng, K.H. and Peiris, M.S. (2016)." Estimating financial risk using parametric quantile regression: An application to CARR models." ARC Working Paper no. 2016-020
Chan, J.S.K. and Wan, Wai-Yin. (2016). "Bayesian analysis of Cannabis offences using generalized Poisson geometric process model with flexible dispersion". ARC Working Paper no. 2016-019
Furman, E., Hackmann, D. and Kuznetsov, A. (2016). “On log-normal convolutions: An analytical-numerical method with applications to economic capital determination.”ARC Working Paper no. 2016-018
Furman, E. and Zitikis, R. (2016) "Tail based Solvency risk measures and capital allocations". ARC Working Paper no. 2016-017
Furman, E and Zitikis, R. (2016). "Weighted Gini correlations: the Gini correlation revisited." ARC Working Paper no. 2016-016
Kye, Y. and Furman, E. (2016). "Economic capital allocations for heavy-tailed risks". ARC Working Paper no. 2016-015
Landsman,Z., Langbord, L. and Makov, U.E. (2016). "Actuarial applications of Intrinsic Objective Bayesian point estimation". ARC Working Paper no. 2016-014
Landsman, Z., Makov, U. and Shushi, T. (2016). "A new class of Skewed Elliptical distributions and their moments". ARC Working Paper no. 2016-013
Landsman, Z., Makov, U. and Shushi, T. (2016). "Multivariate Tail Conditional Expectation for Elliptical Distribution". ARC Working Paper no. 2016-012
Landsman, Z., Makov, U. and Shushi, T. (2016). "Stein's Lemma for Skew-Symmetric distributions". ARC Working Paper no. 2016-011
Leung, W.Y.J. and Choy, S.T.B. (2016). " Robustness in Forecasting Future Liabilities in Insurance ". ARC Working Paper no. 2016-010
Ng, K.H., Peiris, M.S., Chan, J. and Ng, K.H. (2016). " Modeling Range data in Finance to Minimize Risk Using Conditional Autoregressive Range model and Combined Estimating Function method." ARC Working Paper no. 2016-009
Nitithumbundit, T. and Chan, J. (2016). " An ECM algorithm for Skewed Multivariate Variance Gamma Distribution in Mean-Variance Representation." ARC Working Paper no. 2016-008
Phillip, A., Chan, J. and Peiris, M.S. (2016). "Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and application". ARC Working Paper no. 2016-007
Vanduffel, S., and Yao, J. (2016). "A stein type lemma for the multivariate generalized hyperbolic distribution." ARC Working Paper no. 2016-006
Wang, J.J.J. and Chan, J. (2016). "Stochastic Modelling of Volatility and Inter-relationships in the Australian Electricity Markets". ARC Working Paper no. 2016-005
Wang, Y., Choy, S.T.B. and Wong, H.Y. (2016). "Bayesian option pricing framework with stochastic volatility for FX data". ARC Working Paper no. 2016-004
Weiss, J. and Makov, U. (2016)."Machine Learning for UBI: Exploring the path less traveled". ARC Working Paper no. 2016-003
Yan, H., Peters, G.W. and Chan, J.S.K. (2016). "Long memory models for financial time series of counts and evidence of systematic market participant trading behaviour patterns in futures on US Treasuries". ARC Working Paper no. 2016-002
Yao, J. (2016)."A note on Multivariate Generalized Hyperbolic distribution: Stein-type (in-)equality and bounds for variance of a function". ARC Working Paper no. 2016-001
Alai, D., Landsman, Z. and Sherris, M. (2015). "Modelling lifetime dependence for older ages using a multivariate Pareto distribution". ARC Working Paper no. 2015-019
Bar-Lev, S.K., Boukai, B. and Kleiner, I. (2015). "A numerical study of small parameter behavior of some families of distributions". ARC Working Paper no. 2015-018
Chan, J.S.K. (2015). " Bayesian informative dropout model for longitudinal binary data with random effects using conditional and joint modeling". ARC Working Paper no. 2015-017
Chan, J.S.K. (2015). " Predicting loss reserves using quantile regression".ARC Working Paper no. 2015-016
Dahan, E., Landsman, Z. and Makov, U. (2015). "Hedging investment portfolio risk using Translation-invariant and positive-homogeneous measures as risk measures - Multi dimensional case". ARC Working Paper no. 2015-015
Dong, A.X.D., Chan, J.S.K. and Peters, G. (2015). "Risk margin quantile function via parametric and non-parametric Bayesian quantile regression". ARC Working Paper no. 2015-014
Furman, E., Kuznetsov, A. Su, J. and Zitikis, R. (2015). “The maximal tail dependence path of the Gaussian copula is diagonal.” ARC Working Paper no. 2015-013
Kye, Y., Furman, E. and Vernic, R. (2015). "Probability of ruin for non-identically distributed and dependent claims". ARC Working Paper no. 2015-012
Lam, Y., Choy, S.T.B., and Yu, P. (2015). "A Sequential sampling plan for exponential distribution." ARC Working Paper no. 2015-011
Landsman, Z., Makov, U. and Shushi, T. (2015). "A generalized measure for optimal portfolio selection and its explicit solution". ARC Working Paper no. 2015-010
Landsman, Z., Makov, U. and Shushi, T. (2015). "European option pricing under Skew-Symmetric process". ARC Working Paper no. 2015-009
Landsman, Z., Makov, U. and Shushi, T. (2015). "General approach to optimal portfolio selection". TARC Working Paper no. 2015-008
Landsman, Z., Makov, U. and Shushi, T. (2015). "Tail conditional moments for Elliptical and Log-Elliptical distributions". ARC Working Paper no. 2015-007
Landsman, Z., Makov, U. and Shushi, T. (2015). "The Extended Skew-Elliptical distribution and it's characteristics". ARC Working Paper no. 2015-006
Landsman, Z., Makov, U. and Yao, J. (2015). "Optimal Portfolios with Downside Risk". ARC Working Paper no. 2015-005
Makov, U. and Weiss, J. (2015). "Predictive Modeling for Usage-Based Auto Insurance". ARC Working Paper no. 2015-004
Wichitaksorn, N. and Choy, S.T.B. (2015). " Assessing sectoral risk through skew-error capital asset pricing model: Empirical evidence from Thai stock market". ARC Working Paper no. 2015-003
Wichitaksorn, N., Wang, J.J.J., Choy, S.T.B. and Gerlach, R. (2015). "Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via scale-mixture uniform". ARC Working Paper no. 2015-002
Yatigammana, R.P., Choy, S.T.B. and Chan, J.S.K. (2015). "Autoregressive conditional duration model with an extended Weibull error distribution". ARC Working Paper no. 2015-001
Alai, D.,Landsman, Z. and Sherris, M. (2014). "Truncation and censoring applied to Multivariate Tweedie Lifetimes." ARC Working Paper no. 2014-003
Landsman, Z., Makov, U. and Shushi, T. (2014). "Tail conditional moments for Slash and Skew-Slash distributions". ARC Working Paper no. 2014-002
Landsman, Z., Makov, U. and Shushi, T. (2014). "The Extended FGM copulas and it's risk measures". ARC Working Paper no. 2014-001
Alai, D.,Landsman, Z. and Sherris, M. (2013). "Multivariate Tweedie Lifetimes: The Impact of Dependence." ARC Working Paper no. 2013-012
Asimit, V. A., Furman, E. and Vernic, R. (2013). “Statistical Inference for a New Class of Multivariate Pareto Distributions.” ARC Working Paper no. 2013-011
Furman, E. and Marri, F. (2013). “Economic capital allocations for risk portfolios with dependent matrix exponential components.” ARC Working Paper no. 2013-010
Furman, E. and Marri, F. (2013). “Matrix exponential distributions with applications to actuarial pricing." ARC Working Paper no. 2013-009
Furman, E., Su, J. and Zitikis, R. (2013). “Dependence maximizing paths: the notion of lower tail dependence for copulas revisited.” ARC Working Paper no. 2013-008
Ignatieva, K., Landsman, Z. (2013). "Tail Conditional Expectations for Symmetric Generalized Hyperbolic Family." ARC Working Paper no. 2013-007
Landsman, Z., Makov, U. and Shushi, T. (2013). "A new class of distributions based on Hurwitz zeta function with applications for risk management. ARC Working Paper no. 2013-006
Landsman, Z., Makov, U. and Shushi, T. (2013). "Tail conditional expectation for Generalized skew elliptical distributions". ARC Working Paper no. 2013-005
Landsman, Z., Makov, U. and Shushi, T. (2013). "Tail risk measures for Generalized skew elliptical distributions". ARC Working Paper no. 2013-004
Su, J and Furman, E. (2013). “On a class of completely monotone copula functions with applications to insurance and finance".” TARC Working Paper no. 2013-003
Su, J. and Furman, E. (2013). “On a family of multivariate Pareto distributions with applications to insurance pricing.” ARC Working Paper no. 2013-002
Su, J and Furman, E. (2013). “On a multiple-shock dependence structures.” ARC Working Paper no. 2013-001
Alai, D.,Landsman, Z. and Sherris, M. (2012). "Lifetime Dependence Modelling using the Truncated Multivariate Gamma Distribution." ARC Working Paper no. 2012-012
Asimit, V., Furman. E. and Vernic, R. (2012). "Multivariate Pareto distributions - statistical inference". ARC Working Paper no. 2012-011
Bar-Lev, S.K., Schult-Geers, E. and Stadje, W.(2012). "Conditional limit theorems for the terms of a random walk revisited". ARC Working Paper no. 2012-010
Di Cresscenzo,A., Frostig, E., Pellerey, F.(2012). "Stochastic comparisons of symmetric supermodular functions of heterogeneous random vectors". ARC Working Paper no. 2012-009
Landsman, Z. and Makov, U. (2012). "Minimization of a function of a quadratic functional with application to optimal portfolio selection."ARC Working Paper no. 2012-008
Makov, U.(2012). "Actuarial Credibility Theory and Bayesian Statistics - The Story of a Special Evolution". ARC Working Paper no. 2012-007
Makov, U.(2012). "The current state in the evolution of Usage Based Insurance".ARC Working Paper no. 2012-006
Marri, F. and Furman, E. (2012). "On matrix exponential distributions with applications to actuarial pricing". ARC Working Paper no. 2012-005
Zaks, A.(2012). "Premiums are Not Necessarily Monotonic with Interest and Age". ARC Working Paper no. 2012-004
Zaks, Y.(2012). "An alternative proof to Markowitz's model". ARC Working Paper no. 2012-003
Zaks, Y.(2012). "The Optimal Asset and Liability Portfolio for a Financial Institution with Multiple Lines of Businesses". ARC Working Paper no. 2012-002
Zaks, Y. and Landsman, Z.(2012). "Turning an Asset-Liability Problem into an Investment Portfolio Problem".ARC Working Paper no. 2012-001
Frostig, E. (2011). A Markov additive risk process with a dividend barrier. ARC Working Paper no. 2011-002
Zaks A.(2011). "The Gompertz - Makeham Coupling as a Dynamic Life Table". ARC Working Paper no. 2011-001
Asimit, V. A., Furman, E., Tang, Q. & Vernic, R. (2010). "Asymptotic approximations for allocating risk capitals". ARC Working Paper no. 2010-014
Asimit, V., Furman. E. and Vernic, R. (2010). "On a Multivariate Pareto distributions: Estimation Methods". ARC Working Paper no. 2010-013
Bar-Lev, S.K., Blanc, H., Boxma, O., Janssen, G. & Perry, D. (2010). "Tandem queues with impatient customers for blood screening procedures”. TARC Working Paper no. 2010-012
Bar-Lev, S.K., Boxma, O., Lopker, A., Stadje, W. & Van der Duyn Schouten, F.A. (2010). "Group testing procedures with quantitative features and incomplete identification". ARC Working Paper no. 2010-011
Bar-Lev, S.K., Lopker, A. & Stadje, W. (2010). "On the small-time behavior of subordinators”. ARC Working Paper no. 2010-010
Bar-Lev, S.K., Schult-Geers, E. & Stadje, W. (2010). "On the demand pooling anomaly in inventory theory". ARC Working Paper no. 2010-009
Boxma, O.J. , Kella, O. & Perry, D. (2010)."On Some Tractable Growth Collapse Processes with Renewal Collapse Epochs". ARC Working Paper no. 2010-008
Boxma O, Loprer A. & Perry, D. (2010). "Threshold Strategies for Risk Processes and Their Relation to Queueing Theory". ARC Working Paper no. 2010-007
Frostig E., Pitts S., Politis K. (2010). " The time to ruin and the number of claims until ruin for phase-type claims". ARC Working Paper no. 2010-006
Furman, E. and Furman, O. (2010) “On Some Layer Based Risk Measures with Applications to Exponential Dispersion Models,” ARC Working Paper no. 2010-005
Landsman,Z. and Makov,U. (2010). "Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the case of presence of the riskless component". ARC Working Paper no. 2010-004
Landsman, Z. & Tsanakas, A.(2010). "Parameter uncertainty in exponential family tail estimation". ARC Working Paper no. 2010-003
Landsman, Z. & Vanduffel, S. (2010). "Bounds for some general sums of random variables". ARC Working Paper no. 2010-002
Marri, F., Furman. E. (2010). "Pricing compound Poisson processes with the Farlie-Gambel-Morgenstern dependence structure."ARC Working Paper no. 2010-001
Awad, Y.,Bar-Lev, S. and Makov, U. (2009). "Extensions of the Lee-Carter model for mortality projections" . ARC Working Paper no. 2009-018
Bar-Lev, S.K. and Boukai, B. (2009)." A two-stage determination of the optimal sample size and sampling allocation from a stratified finite population”. TARC Working Paper no. 2009-017
Bar-Lev, S.K., Boxma, O, and Letac, G. (2009). "A Characterization Related to the Equilibrium Distribution Associated with a Polynomial Structure".ARC Working Paper no. 2009-016
Bar-Lev, S.K., Boxma, O., Stadje, W. and Van der Duyn Schouten, F.A. (2009)." A two-stage group testing model for infections with window periods". ARC Working Paper no. 2009-015
Bar-Lev, S.K., Bshouty, D., Grunwald, P. and Harremos, P. (2009). "Jeffreys vs. Shtarkov Distributions Associated with Some Natural Exponential Families”. ARC Working Paper no. 2009-014
Bar-Lev, S.K., Bshouty, D. and Landsman, Z. (2009). "Second order minimax estimation of the mean". ARC Working Paper no. 2009-013
Bar-Lev, S.K. and Kagan, A. (2009) “Regression of polynomial statistics on the sample mean and natural exponential families”. ARC Working Paper no. 2009-012
Bar-Lev, S.K. & Letac, G. (2009). "A note on hazard measures and mean residual life functions for arbitrary probability measures". ARC Working Paper no. 2009-011
Bar-Lev, S.K. & Letac, G. (2009). "Increasing hazard rates of mixtures in natural exponential families". ARC Working Paper no. 2009-010
Bar-Lev, S.K and Letac, G. (2009). "The limiting behavior of some infinitely divisible exponential dispersion models". ARC Working Paper no. 2009-009
Fogel-Guedj,A., Landsman,Z. and Makov, U.(2009). "The market sensitivity hedging model". ARC Working Paper no. 2009-008
Frostig, E. (2009). "Asymptotic analysis of a risk process with high dividend barrier". ARC Working Paper no. 2009-007
Frostig, E. (2009). "Different aspects of heterogeneity in actuarial modeling ". ARC Working Paper no. 2009-006
Landsman Z. (2009). "On the tail mean-variance optimal portfolio selection" . ARC Working Paper no. 2009-005
Zaks, A.(2009). " Annuities under changes in Life Tables and changes in the Interest". ARC Working Paper no. 2009-004
Zaks, A.(2009). "Annuities Under Changes in Life Tables and Changes in the Interest II". ARC Working Paper no. 2009-003
Zaks, A.(2009). "Annuities Under Random Rates of Interest II". ARC Working Paper no. 2009-002
Zaks, A.(2009). "Annuities Under Changes in Life Tables and Changes in the Interest III or, Premium Increases When Interest Decreases" ARC Working Paper no. 2009-001
Bar-Lev, S.K. and Boukai, B. (2008). "A characterization of the exponential distribution by means of coincidence of location and truncated densities". ARC Working Paper no. 2008-012
Bar-Lev, S.K., Boxma, O., Stadje, W., Van der Duyn Schouten, F.A. and Wiesmeyr, C. (2008). Two-stage queuing network models for quality control and testing”. ARC Working Paper no. 2008-011
Bar-Lev, S.K. and Kagan, A. (2008). “Bivariate distributions with Gaussian-Type dependence structure”. ARC Working Paper no. 2008-010
Chiragiev, A. and Landsman, Z.(2008). ”Multivariate Flexible Pareto Model: Dependency Structure, Properties and Characterizations”. ARC Working Paper no. 2008-009
Choy, S.T.B., Chan, J.S.K. & Makov, U.(2008).“Model selection for loss reserves: The growing triangle technique”. ARC Working Paper no. 2008-008
Denuit, M. , and Frostig, E. (2008). Life insurance mathematics with random life tables. ARC Working Paper no. 2008-007
Frostig, E., and Denuit, M .(2008). "Dependence in failure times due to environmental factors". ARC Working Paper no. 2008-006
Frostig, E., and Denuit, M .(2008). "Ruin Probabilities and optimal capital allocation for heterogeneous life annuity portfolios". ARC Working Paper no. 2008-005
Furman, E. and Landsman, Z. (2008) ”Multivariate Tweedie distributions and some related capital-at-risk analysis”, ARC Working Paper no. 2008-004
Landsman,Z.(2008). ”Elliptical families and copulas: tilting and premiums, capital allocation”, ARC Working Paper no. 2008-003
Landsman, Z. and Sherris, M. (2008). "Pricing in the multi-line insurer allowing for frictional costs of capital with dependent gamma distributed risks". ARC Working Paper no. 2008-002
Sheinfeld, E., Makov, U. (2008). "Extended Loss Reserving: The Parallelogram Approach". ARC Working Paper no. 2008-001
Bar-Lev, S.K. and Bshouty, D. (2007). "Exponential families are not preserved by the formation of order statistics". ARC Working Paper no. 2007-010
Chan, J.S.K., Choy, S.T.B and Makov, U.(2007) "Robust Bayesian analysis of loss reserves data using the generalized-t distribution". ARC Working Paper no. 2007-009
Chiragiev, A. and Z. Landsman.(2007).”Multivariate Pareto Portfolios: TCE-based Capital Allocation and Divided Differences”. ARC Working Paper no. 2007-008
Denuit, M., and Frostig, E. (2007)."Comparison of dependence in factor models with applications to credit risk portfolios". ARC Working Paper no. 2007-007
Denuit, M., and Frostig, E. (2007).First order mortality basis for life annuities. ARC Working Paper no. 2007-006
Frostig, E. (2007). "On ruin probability for a risk process perturbed by a Lévy process with no negative jumps". ARC Working Paper no. 2007-005
Frostig, E. (2007). "On risk model with dividends payments perturbed by a Brownian motion - an algorithmic approach". ARC Working Paper no. 2007-004
Furman,E. and Landsman,Z.(2007). ”Economic Capital Allocations for Non-Negative Portfolios of Dependent Risks”. ARC Working Paper no. 2007-003
Landsman, Z.(2007). ”Minimization of the root of a quadratic functional under an affineequality constraint”. ARC Working Paper no. 2007-002
Landsman,Z.(2007). ”Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management”. ARC Working Paper no. 2007-001
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