Gordon Willmot

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

241

SSRN CITATIONS

1

CROSSREF CITATIONS

10

Scholarly Papers (3)

1.

Characterization, Robustness and Aggregation of Signed Choquet Integrals

Forthcoming in Mathematics of Operations Research
Number of pages: 38 Posted: 24 Apr 2017 Last Revised: 09 Jul 2019
Ruodu Wang, Yunran Wei and Gordon Willmot
University of Waterloo - Department of Statistics and Actuarial Science, Northern Illinois University and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 199 (166,775)
Citation 5

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comonotonicity, Choquet integrals, risk functionals, risk aggregation, robustness

2.

A Note on the Convexity of Ruin Probabilities

Number of pages: 12 Posted: 23 Feb 2017
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science, Central Washington University, University of Waterloo - Department of Statistics and Actuarial Science and University of Nebraska at Lincoln
Downloads 41 (456,886)

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Defective Renewal Equation, Compound Geometric, Ruin Probability, Laplace Transform of the Time of Ruin, DFR, IMRL, Log-Convex, Resolvent

3.

Optimal Reciprocal Reinsurance Treaties Under the Joint Survival Probability and the Joint Profitable Probability

Journal of Risk and Insurance, Vol. 80, Issue 1, pp. 145-168, 2013
Number of pages: 24 Posted: 26 Feb 2013
Jun Cai, Ying Fang, Zhi Li and Gordon Willmot
University of Waterloo - Department of Statistics and Actuarial Science, affiliation not provided to SSRN, Taiping Insurance Group - Business Management Dept. and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 1 (707,942)
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