Research Papers

Working Papers

Asimit, V. , Chen, Z. and Millossovich, P. (2024) Excess Verdicts Insurance
Aboagye, E., Asimit, V. , Fung, T. C. , Peng, L. and Wang, Q. (2024) A Revisit of the Optimal Excess-of-Loss Contract
Wang, R., Asimit, V., Zhu, R. and Zhou, F. (2024) Efficient PSD Matrix Approximation by Iterative Optimisations and Gradient Descent Method
Asimit, V. , Zhou, F. and Yuan, Z. (2024). Tail Similarity.
Asimit, V. , Tunaru, R. and Zhou, F. (2024). “Risk Parity and Socially Responsible Investment Portfolios”.
Asimit, V. ,Peng, L., Tunaru, R. and Zhou, F. (2024). Constructing Optimal Portfolios under Risk Budgeting.
Asimit, V. Chong, W. F., Tunaru, R. and Zhou, F. (2024) Portfolio Selection and Risk Sharing via Risk Budgeting.
Asimit, V. , Badescu, A. , and Zhou, F. (2024) Efficient and proper Generalised Linear Models with power link functions.

Journal Articles

Zinchenko, Y. and Asimit, A.V. (2023). Modeling Risk for CVaR-Based Decisions in Risk Aggregation. Journal of Risk and Financial Management, 16(5), pp. 266–266. doi:10.3390/jrfm16050266.
Asimit, A.V., Kyriakou, I., Santoni, S., Scognamiglio, S. and Zhu, R. (2022). Robust Classification via Support Vector Machines. Risks, 10(8), pp. 154–154. doi:10.3390/risks10080154.
Asimit, A.V., Boonen, T.J., Chi, Y. and Chong, W.F. (2021). Risk Sharing with Multiple Indemnity Environments. European Journal of Operational Research, 295(2), pp. 587–603. doi:10.1016/j.ejor.2021.03.012.
Asimit, A.V., Cheung, K.C., Chong, W.F. and Hu, J. (2020). Pareto-optimal insurance contracts with premium budget and minimum charge constraints. Insurance: Mathematics and Economics, 95, pp. 17–27. doi:10.1016/j.insmatheco.2020.08.001.
Asimit, A.V., Kyriakou, I. and Nielsen, J.P. (2020). Special Issue “Machine Learning in Insurance”. Risks, 8(2), pp. 54–54. doi:10.3390/risks8020054.
Asimit, A.V., Peng, L., Wang, R. and Yu, A. (2019). An efficient approach to quantile capital allocation and sensitivity analysis. Mathematical Finance, 29(4), pp. 1131–1156. doi:10.1111/mafi.12211.
Asimit, A.V., Hu, J. and Xie, Y. (2019). Optimal robust insurance with a finite uncertainty set. Insurance: Mathematics and Economics, 87, pp. 67–81. doi:10.1016/j.insmatheco.2019.03.009.
Asimit, A.V. and Boonen, T.J. (2018). Insurance with multiple insurers: A game-theoretic approach. European Journal of Operational Research, 267(2), pp. 778–790. doi:10.1016/j.ejor.2017.12.026.
Asimit, A.V. and Li, J. (2018). SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION. ASTIN Bulletin, 48(02), pp. 673–698. doi:10.1017/asb.2017.38.
Asimit, A.V. and Li, J. (2018). Measuring the Tail Risk: An Asymptotic Approach. Journal of Mathematical Analysis and Applications, 463(1), pp. 176–197. doi:10.1016/j.jmaa.2018.03.019.
Asimit, A.V., Gao, T., Hu, J. and Kim, E. (2018). Optimal Risk Transfer: A Numerical Optimisation Approach. North American Actuarial Journal, 22(3), pp. 341–364. doi:10.1080/10920277.2017.1421472.
Asimit, A.V., Bignozzi, V., Cheung, K.C., Hu, J. and Kim, E.-.S. (2017). Robust and Pareto optimality of insurance contracts. European Journal of Operational Research, 262(2), pp. 720–732. doi:10.1016/j.ejor.2017.04.029.
Asimit, A.V., Hashorva, E. and Kortschak, D. (2017). Aggregation of randomly weighted large risks. IMA Journal of Management Mathematics, 28(3), pp. 403–419. doi:10.1093/imaman/dpv020.
Asimit, A.V. and Li, J. (2016). Extremes for coherent risk measures. Insurance: Mathematics and Economics, 71, pp. 332–341. doi:10.1016/j.insmatheco.2016.10.003.
Asimit, A.V., Gerrard, R., Hou, Y. and Peng, L. (2016). Tail dependence measure for examining financial extreme co-movements. Journal of Econometrics, 194(2), pp. 330–348. doi:10.1016/j.jeconom.2016.05.011.
Asimit, A.V., Vernic, R. and Zitikis, R. (2016). Background Risk Models and Stepwise Portfolio Construction. Methodology and Computing in Applied Probability, 18(3), pp. 805–827. doi:10.1007/s11009-015-9458-3.
Asimit, A.V., Furman, E. and Vernic, R. (2016). Statistical Inference for a New Class of Multivariate Pareto Distributions. Communications in Statistics - Simulation and Computation, 45(2), pp. 456–471. doi:10.1080/03610918.2013.861627.
Asimit, A.V. and Gerrard, R. (2016). On the worst and least possible asymptotic dependence. Journal of Multivariate Analysis, 144, pp. 218–234. doi:10.1016/j.jmva.2015.11.004.
Asimit, A.V., Badescu, A.M., Haberman, S. and Kim, E.-.S. (2016). Efficient risk allocation within a non-life insurance group under Solvency II Regime. Insurance: Mathematics and Economics, 66, pp. 69–76. doi:10.1016/j.insmatheco.2015.10.008.
Asimit, A.V., Chi, Y. and Hu, J. (2015). Optimal non-life reinsurance under Solvency II Regime. Insurance: Mathematics and Economics, 65, pp. 227–237. doi:10.1016/j.insmatheco.2015.09.006.
Asimit, A.V., Badescu, A.M., Siu, T.K. and Zinchenko, Y. (2015). Capital requirements and optimal investment with solvency probability constraints. IMA Journal of Management Mathematics, 26(4), pp. 345–375. doi:10.1093/imaman/dpt029.
Asimit, A.V. and Chen, Y. (2015). Asymptotic results for conditional measures of association of a random sum. Insurance: Mathematics and Economics, 60, pp. 11–18. doi:10.1016/j.insmatheco.2014.10.012.
Asanga, S., Asimit, A.V., Badescu, A. and Haberman, S. (2014). Portfolio Optimization under Solvency Constraints: A Dynamical Approach. North American Actuarial Journal, 18(3), pp. 394–416. doi:10.1080/10920277.2014.910127.
Asimit, A.V., Badescu, A.M. and Cheung, K.C. (2013). Optimal reinsurance in the presence of counterparty default risk. Insurance: Mathematics and Economics, 53(3), pp. 690–697. doi:10.1016/j.insmatheco.2013.09.012.
Asimit, A.V., Badescu, A.M. and Verdonck, T. (2013). Optimal risk transfer under quantile-based risk measurers. Insurance: Mathematics and Economics, 53(1), pp. 252–265. doi:10.1016/j.insmatheco.2013.05.005.
Asimit, A.V., Vernic, R. and Zitikis, R. (2013). Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model. Risks, 1(1), pp. 14–33. doi:10.3390/risks1010014.
Asimit, A.V., Badescu, A. and Tsanakas, A. (2013). Optimal Risk Transfers in Insurance Groups. European Actuarial Journal, 3(1), pp. 159–190.
Asimit, A.V., Furman, E., Tang, Q. and Vernic, R. (2011). Asymptotics for risk capital allocations based on Conditional Tail Expectation. Insurance: Mathematics and Economics, 49(3), pp. 310–324. doi:10.1016/j.insmatheco.2011.05.002.
Asimit, A.V., Li, D. and Peng, L. (2010). Pitfalls in using Weibull tailed distributions. Journal of Statistical Planning and Inference, 140(7), pp. 2018–2024. doi:10.1016/j.jspi.2010.01.039.
Asimit, A.V. and Badescu, A.L. (2010). Extremes on the discounted aggregate claims in a time dependent risk model. Scandinavian Actuarial Journal, (2), pp. 93–104. doi:10.1080/03461230802700897.
Asimit, A.V., Furman, E. and Vernic, R. (2010). On a multivariate Pareto distribution. Insurance: Mathematics and Economics, 46(2), pp. 308–316. doi:10.1016/j.insmatheco.2009.11.004.
Asimit, A.V. and Jones, B.L. (2008). Dependence and the asymptotic behavior of large claims reinsurance. Insurance: Mathematics and Economics, 43(3), pp. 407–411. doi:10.1016/j.insmatheco.2008.08.007.
Asimit, A.V. and Jones, B.L. (2008). Asymptotic tail probabilities for large claims reinsurance of a portfolio of dependent risks. ASTIN Bulletin, 38(1), pp. 147–159. doi:10.2143/AST.38.1.2030407.
Asimit, A.V. and Jones, B.L. (2007). Extreme behavior of multivariate phase-type distributions. Insurance: Mathematics and Economics, 41(2), pp. 223–233. doi:10.1016/j.insmatheco.2006.10.016.
Asimit, A.V. and Jones, B.L. (2007). Extreme behavior of bivariate elliptical distributions. Insurance: Mathematics and Economics, 41(1), pp. 53–61. doi:10.1016/j.insmatheco.2006.09.002.