Alexandru Vali Asimit

Cass Business School, City, University of London

Reader in Actuarial Science

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

  • Cass Business School, City, University of London

SCHOLARLY PAPERS

31

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45

Scholarly Papers (31)

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1.

Capital Requirements and Optimal Investment with Solvency Probability Constraints

IMA Journal of Management Mathematics (2015), 26 (4), 345-375.
Number of pages: 34 Posted: 09 Apr 2012 Last Revised: 03 Sep 2015
Alexandru Vali Asimit, Alex Badescu, Tak-Kuen Siu and Yuriy Zinchenko
Cass Business School, City, University of London, University of Calgary, Macquarie University, Macquarie Business School and University of Calgary - Department of Mathematics and Statistics
Downloads 358 (86,282)
Citation 1

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Optimal investment, Portfolio efficient frontier, Risk Capital, Ruin probability constraint, Second order cone programming, Solvency II, Value at Risk

2.

Background Risk Models and Stepwise Portfolio Construction

Methodology and Computing in Applied Probability, 2016, 18(3), 805-827.
Number of pages: 27 Posted: 04 Oct 2013 Last Revised: 10 Aug 2016
Alexandru Vali Asimit, Raluca Vernic and Ricardas Zitikis
Cass Business School, City, University of London, Ovidius University of Constanta and University of Western Ontario
Downloads 230 (138,378)
Citation 1

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Portfolio construction, Background risk, Systemic risk, Laplace transform, Risk management, Capital allocation

3.

Optimal Risk Transfers in Insurance Groups

The final version of this article has appeared as: Asimit A. V., Badescu, A. M., Tsanakas, A. (2013), 'Optimal Risk Transfers in Insurance Groups', European Actuarial Journal, 3(1), p.159-190
Number of pages: 29 Posted: 19 Jan 2012 Last Revised: 03 Jan 2014
Alexandru Vali Asimit, Alex Badescu and Andreas Tsanakas
Cass Business School, City, University of London, University of Calgary and City University London - Cass Business School
Downloads 225 (141,320)
Citation 2

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Cost of Capital, Expected Shortfall, Insurance Groups, Optimal Reinsurance, Value-at-Risk

4.

Efficient Risk Allocation within a Non-Life Insurance Group Under Solvency II Regime

Insurance: Mathematics and Economics (2016), 66, 69–76
Number of pages: 16 Posted: 29 Mar 2015 Last Revised: 03 Dec 2015
Alexandru Vali Asimit, Alex Badescu, Steven Haberman and Eun-Seok Kim
Cass Business School, City, University of London, University of Calgary, City University London - Faculty of Actuarial Science and Queen Mary, University of London
Downloads 215 (147,570)
Citation 3

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Best Estimate; Insurance Group; Minimum Capital Requirement; Risk Margin; Solvency II; Solvency Capital Requirement

5.

Optimal Non-Life Reinsurance under Solvency II Regime

Insurance: Mathematics and Economics (2015), 65, 227-237
Number of pages: 22 Posted: 23 Feb 2015 Last Revised: 03 Dec 2015
Alexandru Vali Asimit, Yichun Chi and Junlei Hu
Cass Business School, City, University of London, China Institute for Actuarial Science, Central University of Finance and Economics and University of Essex
Downloads 211 (150,241)
Citation 1

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Optimal Reinsurance, Risk Margin, General Premium Principle, Solvency II, Technical Provision, Value at Risk, Conditional Value at Risk.

6.

Tail Dependence Measure for Examining Financial Extreme Co-Movements

Journal of Econometrics, 2016, 194(2), 330-348
Number of pages: 32 Posted: 09 Jan 2014 Last Revised: 16 Aug 2016
Alexandru Vali Asimit, Russell J. Gerrard, Yanxi Hou and Liang Peng
Cass Business School, City, University of London, City University London - Sir John Cass Business School, Georgia Institute of Technology - Mathematics and Georgia State University - Risk Management & Insurance Department
Downloads 204 (155,055)
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Asymptotic dependence and independence; Copula; Extreme co-movement; Kendall's tau; Measure of association.

7.

Optimal Risk Transfer under Quantile-Based Risk Measures

Insurance: Mathematics and Economics, 2013, Volume 53, Issue 1, p. 252-265
Number of pages: 26 Posted: 29 Jan 2012 Last Revised: 17 Nov 2014
Alexandru Vali Asimit, Alex Badescu and Tim Verdonck
Cass Business School, City, University of London, University of Calgary and KU Leuven
Downloads 174 (179,183)
Citation 4

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Expected Shortfall, Distorted Risk Measure, Premium Principle, Optimal Reinsurance, Truncated Tail-Value-at-Risk , Value-at-Risk

8.

Aggregation of Randomly Weighted Large Risks

IMA Journal of Management Mathematics, 28(3), pp. 403–419. doi:10.1093/imaman/dpv020.
Number of pages: 21 Posted: 29 Jan 2012 Last Revised: 08 Feb 2018
Alexandru Vali Asimit, Enkelejd Hashorva and Dominik Kortschak
Cass Business School, City, University of London, University of Lausanne, Actuarial Department and University of Lausanne
Downloads 158 (194,672)
Citation 1

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Davis-Resnick tail property; Extreme value distribution; Max-domain of attraction; Mitra-Resnick model; Risk aggregation

9.

Statistical Inference for a New Class of Multivariate Pareto Distributions

Communications in Statistics - Simulation and Computation, 2016, 45(2), 456-471.
Number of pages: 25 Posted: 29 Jan 2012 Last Revised: 09 Aug 2016
Alexandru Vali Asimit, Edward Furman and Raluca Vernic
Cass Business School, City, University of London, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 141 (213,872)

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Multivariate Pareto distribution, common shock model, maximum likelihood estimation, expectation maximization algorithm, method of moments

10.

Portfolio Optimization under Solvency Constraints: A Dynamical Approach

North American Actuarial Journal, 2014, Volume 18, Issue 3, p.394-416
Number of pages: 36 Posted: 02 Mar 2013 Last Revised: 17 Nov 2014
Sujith Asanga, Alexandru Vali Asimit, Alex Badescu and Steven Haberman
University of Calgary - Department of Mathematics and Statistics, Cass Business School, City, University of London, University of Calgary and City University London - Faculty of Actuarial Science
Downloads 136 (220,160)

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Portfolio optimization, Capital requirements, Solvency constraint, Multivariate GARCH, Double rolling window

11.

Optimal Risk Transfer: A Numerical Optimisation Approach

North American Actuarial Journal, Forthcoming.
Number of pages: 29 Posted: 20 Jun 2016 Last Revised: 18 Dec 2017
Alexandru Vali Asimit, Tao Gao, Junlei Hu and Eun-Seok Kim
Cass Business School, City, University of London, University of Bath - School of Mathematical Sciences, University of Essex and Queen Mary, University of London
Downloads 125 (235,020)
Citation 3

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Linear Programming, Optimal Reinsurance/Risk Transfer, Risk Measure, Second-Order Conic Programming

12.

Optimal Reinsurance in the Presence of Counterparty Default Risk

Insurance: Mathematics and Economics, 2013, Volume 53, issue 3, p. 690–697
Number of pages: 17 Posted: 07 May 2013 Last Revised: 17 Nov 2014
Alexandru Vali Asimit, Alex Badescu and Ka Chun Cheung
Cass Business School, City, University of London, University of Calgary and The University of Hong Kong
Downloads 111 (256,308)
Citation 2

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Counterparty Default Risk, Distorted Risk Measure, Expected Policyholder Deficit, Premium Principle, Optimal Reinsurance, Value-at-Risk

13.

Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model

Risks, 2013, Volume 1, Issue 1, p.14-33
Number of pages: 23 Posted: 13 Jan 2013 Last Revised: 17 Nov 2014
Alexandru Vali Asimit, Raluca Vernic and Ricardas Zitikis
Cass Business School, City, University of London, Ovidius University of Constanta and University of Western Ontario
Downloads 109 (259,523)
Citation 1

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distortion risk measure, weighted premium, weighted allocation, tail value at risk, conditional tail expectation, multivariate Pareto distribution

14.

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.
Number of pages: 32 Posted: 03 Sep 2016 Last Revised: 08 Feb 2018
Alexandru Vali Asimit, Valeria Bignozzi, Ka Chun Cheung, Junlei Hu and Eun-Seok Kim
Cass Business School, City, University of London, Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, The University of Hong Kong, University of Essex and Queen Mary, University of London
Downloads 91 (292,799)
Citation 3

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Uncertainty modelling, Linear programming, Robust/Pareto optimal insurance, Risk measure, Robust optimisation

15.

Asymptotics for Risk Capital Allocations Based on Conditional Tail Expectation

Insurance: Mathematics and Economics, Vol. 49, No. 3, 2011
Number of pages: 39 Posted: 11 Sep 2013
Alexandru Vali Asimit, Edward Furman, Qihe Tang and Raluca Vernic
Cass Business School, City, University of London, York University - Department of Mathematics and Statistics, Department of Statistics and Actuarial Science and Ovidius University of Constanta
Downloads 86 (303,413)

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Asymptotic dependence and independence, Capital allocation, Conditional Tail Expectation, Extreme Value Theory, Heavytailed distributions, Value-at-Risk

16.

On a Multivariate Pareto Distribution

Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010
Number of pages: 23 Posted: 11 Sep 2013
Alexandru Vali Asimit, Edward Furman and Raluca Vernic
Cass Business School, City, University of London, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 82 (312,425)

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Multivariate Pareto distributions, Characterizations, Mixtures, Dependence, Simultaneous Loss, Economic Weighted Pricing

17.

On the Worst and Least Possible Asymptotic Dependence

Journal of Multivariate Analysis, Vol. 144, pp. 218-234.
Number of pages: 23 Posted: 01 May 2015 Last Revised: 13 Mar 2017
Alexandru Vali Asimit and Russell J. Gerrard
Cass Business School, City, University of London and City University London - Sir John Cass Business School
Downloads 71 (339,377)

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Asymptotic dependence/independence, Copula, Extreme Value Theory, Gumbel Tail, Regular Variation, Risk measure

18.

Systemic Risk: An Asymptotic Evaluation

ASTIN Bulletin (Forthcoming)
Number of pages: 22 Posted: 06 Feb 2017 Last Revised: 08 Feb 2018
Alexandru Vali Asimit and Jinzhu Li
Cass Business School, City, University of London and Nankai University - School of Mathematical Sciences
Downloads 70 (342,031)

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asymptotics; dependence; max-domain of attraction; regular variation; rapid variation; systemic risk.

19.

Extremes on the Discounted Aggregate Claims in a Time Dependent Risk Model

Scandinavian Actuarial Journal, 2010, Volume 2, p.93-104
Number of pages: 16 Posted: 11 Sep 2013
Alexandru Vali Asimit and Andrei Badescu
Cass Business School, City, University of London and University of Toronto - Department of Statistics
Downloads 68 (347,459)

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Compound Poisson risk model, Dependence, Discounted aggregate loss, Subexponential distribution, Value-at-Risk

20.

Extremes for Coherent Risk Measures

Insurance: Mathematics and Economics, Vol. 71, pp. 332-341.
Number of pages: 21 Posted: 02 Jul 2016 Last Revised: 13 Mar 2017
Alexandru Vali Asimit and Jinzhu Li
Cass Business School, City, University of London and Nankai University - School of Mathematical Sciences
Downloads 65 (355,753)

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Capital allocation, Coherent/Distortion risk measure, Conditional Tail Expectation, Extreme Value Theory, Marginal Expected Shortfall, Rapid Variation, Regular Variation.

21.

Optimal Robust Insurance with a Finite Uncertainty Set

Number of pages: 32 Posted: 29 Jan 2018 Last Revised: 31 Mar 2019
Alexandru Vali Asimit, Junlei Hu and Yuantao Xie
Cass Business School, City, University of London, University of Essex and University of International Business and Economics (UIBE)
Downloads 63 (361,534)
Citation 1

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Optimal reinsurance, Risk measure, Robust optimisation, Second order conic programming, Uncertainty modelling

22.

Asymptotic Results for Conditional Measures of Association of a Random Sum

Insurance: Mathematics and Economics, 2015, Volume 60, p.11-18
Number of pages: 20 Posted: 20 Jul 2014 Last Revised: 08 Feb 2018
Alexandru Vali Asimit and Yiqing Chen
Cass Business School, City, University of London and Drake University
Downloads 63 (361,534)

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Extreme Value Theory, Layer reinsurance, Long-Tailed Distribution, Gumbel Tail, Kendall’s tau, Order statistics, Pearson Product-Moment Correlation Coefficient, Regular Variation, Spearman’s rho, Tail index

23.

Insurance with Multiple Insurers: A Game-Theoretic Approach

European Journal of Operational Research, 267(2), 778–790. doi:10.1016/j.ejor.2017.12.026.
Number of pages: 35 Posted: 01 Aug 2017 Last Revised: 08 Feb 2018
Alexandru Vali Asimit and Tim J. Boonen
Cass Business School, City, University of London and University of Amsterdam
Downloads 55 (386,393)
Citation 1

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Risk management; Pareto optimal insurance; Cooperative game theory; Robust decision-making

24.

Measuring the Tail Risk: An Asymptotic Approach

Number of pages: 22 Posted: 27 Jun 2017
Alexandru Vali Asimit and Jinzhu Li
Cass Business School, City, University of London and Nankai University - School of Mathematical Sciences
Downloads 51 (399,740)

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asymptotic dependence/independence, regular variation, rapid variation, sensitivity analysis, tail risk measure

25.

Dependence and the Asymptotic Behavior of Large Claims Reinsurance

Insurance: Mathematics and Economics, Vol. 43, No. 3, 2008
Number of pages: 13 Posted: 11 Sep 2013
Alexandru Vali Asimit and Bruce L. Jones
Cass Business School, City, University of London and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 48 (410,169)

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Dependence, ECOMOR and LCR reinsurance, Long-tailed distribution, Tail probability

26.

Extreme Behavior of Multivariate Phase-Type Distributions

Insurance: Mathematics and Economics, Vol. 41, No. 2, 2007
Number of pages: 20 Posted: 10 Sep 2013 Last Revised: 03 Oct 2013
Alexandru Vali Asimit and Bruce L. Jones
Cass Business School, City, University of London and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 44 (425,054)

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component-wise maxima (minima), copula, Marshall-Olkin exponential distribution, multivariate extreme value distribution, Pickands’ representation

27.

Pitfalls in Using Weibull Tailed Distributions

Journal of Statistical Planning and Inference, 2010, Volume 140, Issue 7, p.2018- 2024
Number of pages: 11 Posted: 11 Sep 2013
Alexandru Vali Asimit, Deyuan Li and Liang Peng
Cass Business School, City, University of London, Fudan University and Georgia Institute of Technology
Downloads 43 (428,942)

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Asymptotic Mean Squared Error, Extreme Tail Probability, High Quantile, Regular Variation, Weibull Tail Coefficient

28.

Extreme Behavior of Bivariate Elliptical Distributions

Insurance: Mathematics and Economics, Vol. 41, No. 1, 2007
Number of pages: 15 Posted: 10 Sep 2013 Last Revised: 03 Oct 2013
Alexandru Vali Asimit and Bruce L. Jones
Cass Business School, City, University of London and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 41 (436,761)

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component-wise maxima, elliptical distribution, Pickands' representation, regular variation, threshold exceedances

29.

An Efficient Approach to Quantile Capital Allocation and Sensitivity Analysis

Forthcoming in Mathematical Finance
Number of pages: 32 Posted: 20 Dec 2018
Alexandru Vali Asimit, Liang Peng, Ruodu Wang and Alex Yu
Cass Business School, City, University of London, Georgia State University - Risk Management & Insurance Department, University of Waterloo - Department of Statistics and Actuarial Science and Georgia State University
Downloads 38 (449,279)
Citation 1

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Bootstrap, Capital Allocation, Expected Shortfall, Nonparametric Estimation, Sensitivity Analysis, Value-at-Risk

30.

Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks

ASTIN Bulletin, Volume 38, Issue 1, p.147-159, 2007
Number of pages: 13 Posted: 11 Sep 2013
Alexandru Vali Asimit and Bruce L. Jones
Cass Business School, City, University of London and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 34 (466,497)

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Archimedean copula, Dependence, ECOMOR and LCR reinsurance, Tail probability

31.

Pareto-Optimal Insurance Contracts With Premium Budget and Minimum Charge Constraints

Number of pages: 22 Posted: 13 Jan 2020
Alexandru Vali Asimit, Ka Chun Cheung, Wing Fung Chong and Junlei Hu
Cass Business School, City, University of London, The University of Hong Kong, University of Illinois at Urbana-Champaign - Department of Mathematics and University of Essex
Downloads 6 (632,305)

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Bargaining power, Minimum charge, Optimal insurance contract design, Pareto optimality, Premium budget, Proportional Hazard Transformation, Tail Value-at-Risk, Value-at-Risk