Details about Emiliano A. Valdez

Access statistics for papers by Emiliano A. Valdez.

Last updated 2012-05-13. Update your information in the RePEc Author Service.

Short-id: pva345

Working Papers

2009

1. On the Distortion of a Copula and its Margins
   MPRA Paper, University Library of Munich, Germany View citations (14)
2. Optimal capital allocation principles
   MPRA Paper, University Library of Munich, Germany View citations (13)
   See also Journal Article Optimal Capital Allocation Principles, Journal of Risk & Insurance, The American Risk and Insurance Association (2012) View citations (92) (2012)

2004

3. CAPM and Option Pricing with Elliptical Disbributions
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (6)
   See also Journal Article CAPM and Option Pricing With Elliptically Contoured Distributions, Journal of Risk & Insurance, The American Risk and Insurance Association (2008) View citations (12) (2008)

Journal Articles

2012

1. Optimal Capital Allocation Principles
   Journal of Risk & Insurance, 2012, 79, (1), 1-28 View citations (92)
   See also Working Paper Optimal capital allocation principles, MPRA Paper (2009) View citations (13) (2009)

2011

2. A copula approach to test asymmetric information with applications to predictive modeling
   Insurance: Mathematics and Economics, 2011, 49, (2), 226-239 View citations (7)
3. Comments on: Inference in multivariate Archimedean copula models
   TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2011, 20, (2), 257-262

2009

4. Bounds and approximations for sums of dependent log-elliptical random variables
   Insurance: Mathematics and Economics, 2009, 44, (3), 385-397 View citations (13)
5. Multivariate probit models for conditional claim-types
   Insurance: Mathematics and Economics, 2009, 44, (2), 214-228 View citations (10)

2008

6. Analytic bounds and approximations for annuities and Asian options
   Insurance: Mathematics and Economics, 2008, 42, (3), 1109-1117 View citations (12)
7. CAPM and Option Pricing With Elliptically Contoured Distributions
   Journal of Risk & Insurance, 2008, 75, (2), 387-409 View citations (12)
   See also Working Paper CAPM and Option Pricing with Elliptical Disbributions, Research Paper Series (2004) View citations (6) (2004)
8. Hierarchical Insurance Claims Modeling
   Journal of the American Statistical Association, 2008, 103, (484), 1457-1469 View citations (60)

2006

9. Claim dependence with common effects in credibility models
   Insurance: Mathematics and Economics, 2006, 38, (3), 609-629 View citations (8)
10. Demand and adverse selection in a pooled annuity fund
    Insurance: Mathematics and Economics, 2006, 39, (2), 251-266 View citations (29)

2005

11. The Simple Analytics of a Pooled Annuity Fund
    Journal of Risk & Insurance, 2005, 72, (3), 497-520 View citations (60)

2003

12. Wang's capital allocation formula for elliptically contoured distributions
    Insurance: Mathematics and Economics, 2003, 33, (3), 517-532 View citations (26)

2001

13. Bivariate analysis of survivorship and persistency
    Insurance: Mathematics and Economics, 2001, 29, (3), 357-373 View citations (3)