Alexandru Vali Asimit

City University London - The Business School

Professor in Actuarial Analytics

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

  • City University London - The Business School

SCHOLARLY PAPERS

33

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Top 13,517

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75

Scholarly Papers (33)

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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, Alexandru Badescu, Tak-Kuen Siu and Yuriy Zinchenko
City University London - The Business School, University of Calgary, Macquarie University, Macquarie Business School and University of Calgary - Department of Mathematics and Statistics
Downloads 427 (143,795)
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.

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
City University London - The Business School, City University London - The Business School, Georgia Institute of Technology - Mathematics and Georgia State University - Risk Management & Insurance Department
Downloads 330 (191,621)
Citation 6

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Asymptotic dependence and independence; Copula; Extreme co-movement; Kendall's tau; Measure of association.

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, Alexandru Badescu and Andreas Tsanakas
City University London - The Business School, University of Calgary and Bayes Business School (formerly Cass), City, University of London
Downloads 283 (225,455)
Citation 4

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

4.

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
City University London - The Business School, Ovidius University of Constanta and University of Western Ontario
Downloads 264 (241,930)
Citation 1

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

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
City University London - The Business School, China Institute for Actuarial Science, Central University of Finance and Economics and University of Essex
Downloads 259 (246,709)
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.

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, Alexandru Badescu, Steven Haberman and Eun-Seok Kim
City University London - The Business School, University of Calgary, City University London - Faculty of Actuarial Science and Queen Mary, University of London
Downloads 255 (250,641)
Citation 5

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

7.

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
City University London - The Business School, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 217 (293,184)

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

8.

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, Alexandru Badescu and Steven Haberman
University of Calgary - Department of Mathematics and Statistics, City University London - The Business School, University of Calgary and City University London - Faculty of Actuarial Science
Downloads 216 (294,494)
Citation 2

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

9.

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, Alexandru Badescu and Tim Verdonck
City University London - The Business School, University of Calgary and KU Leuven
Downloads 207 (306,563)
Citation 6

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

10.

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
City University London - The Business School, University of Lausanne, Actuarial Department and University of Lausanne
Downloads 191 (330,243)
Citation 1

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

11.

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
City University London - The Business School, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 183 (343,504)
Citation 1

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

12.

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
City University London - The Business School, University of Essex - Department of Mathematics, University of Essex and Queen Mary, University of London
Downloads 178 (352,090)
Citation 3

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

13.

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
City University London - The Business School, York University - Department of Mathematics and Statistics, Department of Statistics and Actuarial Science and Ovidius University of Constanta
Downloads 173 (360,946)
Citation 4

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

14.

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
City University London - The Business School and University of Hong Kong
Downloads 156 (394,725)
Citation 6

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

15.

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, Alexandru Badescu and Ka Chun Cheung
City University London - The Business School, University of Calgary and The University of Hong Kong
Downloads 150 (407,725)
Citation 5

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

16.

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
City University London - The Business School and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 144 (421,284)

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

17.

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
City University London - The Business School, Ovidius University of Constanta and University of Western Ontario
Downloads 142 (425,995)
Citation 1

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

18.

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
City University London - The Business School, 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 128 (462,549)
Citation 15

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

19.

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
City University London - The Business School and Nankai University - School of Mathematical Sciences
Downloads 113 (508,751)
Citation 1

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

20.

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
City University London - The Business School, University of Essex and University of International Business and Economics (UIBE)
Downloads 107 (529,561)
Citation 1

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

21.

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
City University London - The Business School and City University London - The Business School
Downloads 104 (540,675)

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

22.

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
City University London - The Business School and University of Toronto - Department of Statistics
Downloads 104 (540,675)
Citation 1

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

23.

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
City University London - The Business School and Nankai University - School of Mathematical Sciences
Downloads 103 (544,524)

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

24.

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
City University London - The Business School and Drake University
Downloads 92 (586,600)

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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

25.

Risk Sharing with Multiple Indemnity Environments

European Journal of Operational Research, forthcoming
Number of pages: 41 Posted: 25 Jun 2020 Last Revised: 08 Mar 2021
Alexandru Vali Asimit, Tim J. Boonen, Yichun Chi and Wing Fung Chong
City University London - The Business School, University of Hong Kong, Central University of Finance and Economics (CUFE) and Heriot-Watt University - Department of Actuarial Mathematics and Statistics
Downloads 83 (624,296)
Citation 5

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Risk management, Optimal insurance, Multiple risk environments, Value-at-Risk, Tail Value-at-Risk, Heterogeneous beliefs, Environment-specific layer indemnities

26.

Measuring the Tail Risk: An Asymptotic Approach

Number of pages: 22 Posted: 27 Jun 2017
Alexandru Vali Asimit and Jinzhu Li
City University London - The Business School and Nankai University - School of Mathematical Sciences
Downloads 80 (637,581)

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

27.

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
City University London - The Business School and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 78 (646,674)

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

28.

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
City University London - The Business School, Georgia State University - Risk Management & Insurance Department, University of Waterloo - Department of Statistics and Actuarial Science and Georgia State University
Downloads 76 (655,931)

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

29.

Robust Classification via Support Vector Machines

Downloads 73 (670,540)
Citation 4

Robust Classification via Support Vector Machines

Number of pages: 27 Posted: 29 Apr 2021 Last Revised: 01 Mar 2022
Alexandru Vali Asimit, Ioannis Kyriakou, Simone Santoni, Salvatore Scognamiglio and Rui Zhu
City University London - The Business School, Bayes Business School (formerly Cass), City, University of London, University of Bologna - Department of Management, University of Naples "Parthenope" and City University London
Downloads 48 (841,274)
Citation 2

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support vector machine, robust classification, data uncertainty, extreme empirical loss

Robust Classification Via Support Vector Machines

Number of pages: 27 Posted: 04 Apr 2022
Alexandru Vali Asimit, Ioannis Kyriakou, Simone Santoni, Salvatore Scognamiglio and Rui Zhu
City University London - The Business School, Bayes Business School (formerly Cass), City, University of London, affiliation not provided to SSRN, University of Naples "Parthenope" and affiliation not provided to SSRN
Downloads 25 (1,069,166)
Citation 2

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Binary robust classification, insurance fraud prediction, mortgage lending prediction, support vector machine

30.

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
City University London - The Business School and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 69 (690,931)

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

31.

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
City University London - The Business School, Fudan University and Georgia Institute of Technology
Downloads 65 (712,608)

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

32.

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
City University London - The Business School and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 62 (729,735)

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

33.

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
City University London - The Business School, The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and University of Essex
Downloads 51 (800,258)
Citation 1

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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