Emiliano A. Valdez

University of Connecticut - Department of Mathematics

Professor, Actuarial Science

341 Mansfield Road U-1009

Storrs, CT 06269-1009

United States

http://www.math.uconn.edu/~valdez

SCHOLARLY PAPERS

30

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CITATIONS
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76

Scholarly Papers (30)

1.
Downloads 1,161 ( 17,068)
Citation 25

Optimal Capital Allocation Principles

The final version of this article appeared as: Dhaene J., Tsanakas, A. , Valdez, E. A. , Vanduffel, S. (2012), 'Optimal Capital Allocation Principles', Journal of Risk and Insurance, 79(1), p.1-28.
Number of pages: 23 Posted: 26 Jan 2009 Last Revised: 03 Jan 2014
Jan Dhaene, Andreas Tsanakas, Emiliano A. Valdez and Steven Vanduffel
Katholieke Universiteit Leuven, City University London - Cass Business School, University of Connecticut - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 1,158 (16,801)

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Capital allocation, risk measure, comonotonicity, Euler allocation, default option, Lloyd's of London

Optimal Capital Allocation Principles

Journal of Risk and Insurance, Vol. 79, Issue 1, pp. 1-28, 2012
Number of pages: 28 Posted: 24 Feb 2012
Jan Dhaene, Andreas Tsanakas, Emiliano A. Valdez and Steven Vanduffel
Katholieke Universiteit Leuven, City University London - Cass Business School, University of Connecticut - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 3 (650,326)
Citation 26
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2.

Economic Capital and the Aggregation of Risks Using Copulas

Number of pages: 29 Posted: 22 Feb 2009
Andrew Tang and Emiliano A. Valdez
University of New South Wales (UNSW) and University of Connecticut - Department of Mathematics
Downloads 833 (27,782)
Citation 8

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capital at risk, risk measures, risk aggregation, dependence, and copulas

3.

Statistical Concepts of a Priori and a Posteriori Risk Classification in Insurance

AStA Advances in Statistical Analysis, 2012, 96(2), 187-224.
Number of pages: 35 Posted: 25 Aug 2010 Last Revised: 17 May 2017
Katrien Antonio and Emiliano A. Valdez
KU LeuvenUniversity of Amsterdam and University of Connecticut - Department of Mathematics
Downloads 356 (82,313)
Citation 3

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Actuarial Science, Regression and Credibility Models, Bonus-Malus Systems

4.

A Black-Litterman Asset Allocation Model Under Elliptical Distributions

Number of pages: 20 Posted: 24 Aug 2010 Last Revised: 31 Aug 2010
Yugu Xiao and Emiliano A. Valdez
Renmin University of China - Institute of Statistics and Big Data and University of Connecticut - Department of Mathematics
Downloads 341 (86,524)
Citation 5

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optimal asset allocation, Black-Litterman model, risk measures, Elliptical distributions

5.

On the Distortion of a Copula and its Margins

Scandinavian Actuarial Journal, Forthcoming
Number of pages: 25 Posted: 20 Dec 2009 Last Revised: 24 Feb 2011
Emiliano A. Valdez and Yugu Xiao
University of Connecticut - Department of Mathematics and Renmin University of China - Institute of Statistics and Big Data
Downloads 222 (135,930)
Citation 1

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Multivariate Distortion, Ordering of Risks, Probability Integral Transformation, Excess of Loss Reinsurance

6.

Multivariate Negative Binomial Models for Insurance Claim Counts

Number of pages: 28 Posted: 14 Nov 2012
Peng Shi and Emiliano A. Valdez
University of Wisconsin - Madison and University of Connecticut - Department of Mathematics
Downloads 202 (148,645)
Citation 4

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Negative binomial distribution, Insurance claim count, Copula, Jitter, Multivariate model

7.

Longitudinal Modeling of Insurance Claim Counts Using Jitters

Number of pages: 21 Posted: 12 Sep 2011
Peng Shi and Emiliano A. Valdez
University of Wisconsin - Madison and University of Connecticut - Department of Mathematics
Downloads 148 (195,417)
Citation 4

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Claim count, Copula, Jitter, Longitudinal data, Predictive distribution

8.

Testing Adverse Selection with Two-Dimensional Information: Evidence from Singapore Auto Insurance Market

Number of pages: 36 Posted: 21 Feb 2011 Last Revised: 27 Sep 2011
Peng Shi, Wei Zhang and Emiliano A. Valdez
University of Wisconsin - Madison, Northern Illinois University and University of Connecticut - Department of Mathematics
Downloads 146 (197,532)
Citation 1

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Adverse selection, Two-dimensional information, Risk aversion, Insurance screening, Copula models

9.

A Copula Approach to Test Asymmetric Information with Applications to Predictive Modeling

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 23 Posted: 01 Sep 2010 Last Revised: 27 Apr 2011
Peng Shi and Emiliano A. Valdez
University of Wisconsin - Madison and University of Connecticut - Department of Mathematics
Downloads 120 (230,365)
Citation 2

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Adverse selection, Moral hazard, Insurance, Copula models, Predictive models

10.

Lower Convex Order Bound Approximations for Sums of Log-Skew Normal Random Variables

Applied Stochastic Models in Business and Industry, Forthcoming
Number of pages: 18 Posted: 15 Feb 2009 Last Revised: 24 Feb 2011
Oriol Roch and Emiliano A. Valdez
Universitat de Barcelona and University of Connecticut - Department of Mathematics
Downloads 98 (265,601)

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11.

Bounds and Approximations for Sums of Dependent Log-Elliptical Random Variables

Insurance: Mathematics and Economics, Vol. 44, pp. 385-397
Number of pages: 25 Posted: 14 Jul 2009 Last Revised: 27 Feb 2011
Emiliano A. Valdez, Jan Dhaene, Mateusz Maj and Steven Vanduffel
University of Connecticut - Department of Mathematics, Katholieke Universiteit Leuven, Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences and Vrije Universiteit Brussel (VUB)
Downloads 88 (284,498)
Citation 14

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12.

Regression Modeling for the Valuation of Large Variable Annuity Portfolios

Number of pages: 25 Posted: 11 Aug 2016
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 83 (294,964)
Citation 7

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Variable annuities, Portfolio valuation, GB2, Kriging, Multi-stage optimization

13.

Multivariate Pascal Mixture Regression Models for Correlated Claim Frequencies

Number of pages: 28 Posted: 17 May 2016
Dameng Tang, Andrei Badescu, X. Sheldon Lin and Emiliano A. Valdez
University of Toronto, University of Toronto - Department of Statistics, Department of Statistical Sciences, University of Toronto and University of Connecticut - Department of Mathematics
Downloads 77 (308,415)
Citation 2

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Pascal Distribution, Pascal Finite Mixture, Multivariate Claim Frequencies, Count Regression, Expectation-Maximization (EM) Algorithm

14.

Predictive Analytics of Insurance Claims Using Multivariate Decision Trees

Number of pages: 32 Posted: 19 Jul 2018
Zhiyu Quan and Emiliano A. Valdez
University of Connecticut - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 73 (318,041)

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tree-based models, univariate regression trees, random forests, gradient boosting, multivariate regression trees, multivariate tree boosting, predictive model of insurance claims

15.

Life Insurance Policy Termination and Survivorship

Number of pages: 24 Posted: 03 Jul 2013
Emiliano A. Valdez, Jeyaraj Vadiveloo and Ushani
University of Connecticut - Department of Mathematics, Willis Towers Watson and University of Connecticut
Downloads 71 (322,945)

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survivorship and persistency, duration models, Gompertz models, mortality selection

16.

Empirical Investigation of Insurance Claim Dependencies Using Mixture Models

Number of pages: 23 Posted: 03 Jul 2013
Emiliano A. Valdez
University of Connecticut - Department of Mathematics
Downloads 63 (344,025)

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risk dependencies, relative risk measures, Logit-Normal, Probit-Normal mixture models, Beta-Binomial distributions

17.

Generalized Linear Mixed Models for Dependent Compound Risk Models

Number of pages: 23 Posted: 02 Oct 2017
Himchan Jeong, Emiliano A. Valdez, Jae Youn Ahn and Sojung Park
University of Connecticut - Department of Mathematics, University of Connecticut - Department of Mathematics, Ewha Womans University - Department of Statistics and Seoul National University
Downloads 52 (377,172)
Citation 2

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Dependent frequency-severity models, random effects models, GLM, GLMM, ratemaking

18.

Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Benchmark Datasets

Number of pages: 28 Posted: 02 May 2017
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 48 (390,564)
Citation 3

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Variable annuities, Monte Carlo simulation, metamodeling, benchmark datasets

19.

Tree-Based Models for the Efficient Valuation of Large Variable Annuity Portfolios

Number of pages: 32 Posted: 28 Sep 2018
Zhiyu Quan, Guojun Gan and Emiliano A. Valdez
University of Connecticut - Department of Mathematics, University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 43 (408,258)

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variable annuity, portfolio valuation, metamodeling, tree-based models

20.

The Tail Stein's Identity with Actuarial Applications

Number of pages: 16 Posted: 17 May 2016
Zinoviy Landsman and Emiliano A. Valdez
University of Haifa, Department of Statistics and University of Connecticut - Department of Mathematics
Downloads 42 (411,901)

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Stein's Lemma, Tail Conditional Moments, Exponential Family, Pearson Distributions, Recursive Formulas

21.

Fat-Tailed Regression Modeling with Spliced Distributions

Number of pages: 27 Posted: 18 Sep 2017
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 36 (435,510)

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Frequency-Severity Models, Spliced Distributions, Tweedie Distributions, Heterogeneity, Multi-Stage Optimization

22.

Data Clustering With Actuarial Applications

North American Actuarial Journal, 2019
Number of pages: 27 Posted: 07 Feb 2019
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 33 (448,017)
Citation 2

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data clustering; partitional algorithm; hierarchical algorithm; variable annuity; portfolio valuation

23.

Unlocking Reserve Assumptions Based on the Retrospective Loss Random Variable

Number of pages: 23 Posted: 17 May 2016 Last Revised: 28 Aug 2016
Jeyaraj Vadiveloo, Gao Niu, Emiliano A. Valdez and Guojun Gan
Willis Towers Watson, University of Connecticut - Department of Mathematics, University of Connecticut - Department of Mathematics and University of Connecticut
Downloads 33 (448,017)

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Life Insurance Reserves, Prospective and Retrospective Loss Random Variables, Emerging Mortality Experience, Unlocking Assumptions

24.

An Empirical Comparison of Some Experimental Designs for the Valuation of Large Variable Annuity Portfolios

Number of pages: 19 Posted: 29 Aug 2016
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 30 (461,818)
Citation 3

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Variable annuity, Portfolio valuation, Metamodeling, Generalized beta of the second kind (GB2), Multivariate experimental design, Data clustering, Latin hypercube

25.

Modeling Partial Greeks of Variable Annuities with Dependence

Number of pages: 30 Posted: 28 Sep 2016 Last Revised: 30 Sep 2016
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 27 (476,644)
Citation 3

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Variable annuity, Portfolio valuation, Metamodeling, Gamma distribution, Copula

26.

Bayesian Shrinkage Estimators with GB2 Copulas

Number of pages: 18 Posted: 16 May 2019
Himchan Jeong and Emiliano A. Valdez
University of Connecticut - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 19 (521,336)

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Hierarchical models, Bayesian posterior, Insurance credibility, Generalized beta of the second kind (GB2) and its copula, Generalized Pareto (GP)

27.

Valuation of Large Variable Annuity Portfolios with Rank Order Kriging

North American Actuarial Journal, Forthcoming
Number of pages: 26 Posted: 30 May 2019
Guojun Gan and Emiliano A. Valdez
University of Connecticut and University of Connecticut - Department of Mathematics
Downloads 5 (606,700)

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variable annuity, portfolio valuation, rank order kriging, ordinary kriging, GB2

28.

Ratemaking application of Bayesian LASSO with conjugate hyperprior

Number of pages: 21 Posted: 12 Oct 2018
Himchan Jeong and Emiliano A. Valdez
University of Connecticut - Department of Mathematics and University of Connecticut - Department of Mathematics
Downloads 5 (606,700)

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Dependent frequency-severity model, Bayesian LASSO, penalized likelihood, log-adjusted absolute deviation (LAAD) penalty, variable selection

29.

CAPM and Option Pricing with Elliptically Contoured Distributions

Journal of Risk & Insurance, Vol. 75, Issue 2, pp. 387-409, June 2008
Number of pages: 23 Posted: 08 May 2008
Mahmoud Hamada and Emiliano A. Valdez
RWE Supply and Trading and University of Connecticut - Department of Mathematics
Downloads 2 (631,365)
Citation 8
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30.

Testing Adverse Selection with Two‚ÄźDimensional Information: Evidence from the Singapore Auto Insurance Market

Journal of Risk and Insurance, Vol. 79, Issue 4, pp. 1077-1114, 2012
Number of pages: 38 Posted: 22 Nov 2012
Peng Shi, Wei Zhang and Emiliano A. Valdez
University of Wisconsin - Madison, Northern Illinois University and University of Connecticut - Department of Mathematics
Downloads 1 (644,032)
Citation 6
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