Raluca Vernic

Ovidius University of Constanta

b-dul Mamaia nr. 124

Constanta, 900527

Romania

SCHOLARLY PAPERS

15

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SSRN CITATIONS
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1

CROSSREF CITATIONS

25

Scholarly Papers (15)

1.

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
Cass Business School, City, University of London, Ovidius University of Constanta and University of Western Ontario
Downloads 230 (135,337)
Citation 1

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

2.

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
Cass Business School, City, University of London, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 141 (209,365)

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

3.

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
Cass Business School, City, University of London, Ovidius University of Constanta and University of Western Ontario
Downloads 109 (254,317)
Citation 1

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

4.

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
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 85 (299,475)

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

5.

On a Multivariate Pareto Distribution

Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010
Number of pages: 23 Posted: 11 Sep 2013
Cass Business School, City, University of London, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 81 (308,398)

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

6.

On a Multivariate Pareto Distribution

Insurance: Mathematics and Economics, Vol. 46, No. 2, 2010
Number of pages: 21 Posted: 29 Jul 2010 Last Revised: 20 Sep 2010
University of Manchester - School of Mathematics, York University - Department of Mathematics and Statistics and Ovidius University of Constanta
Downloads 55 (378,932)

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Multivariate Pareto distributions, characterizations, mixtures, dependence, simultaneous loss, economic weighted pricing

7.

Upper and Lower Bounds for a Finite-Type Ruin Probability in a Nonhomogeneous Risk Process

Number of pages: 7 Posted: 18 Nov 2016
Romanian Academy - Gh.Mihoc-C.Iacob Institute of Mathematical Statistics and Applied Mathematics, Ovidius University of Constanta and University of Bucharest - Faculty of Mathematics and Computer Science
Downloads 29 (480,901)

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risk process, ruin probability, likelihood ratio domination, stochastic domination.

8.

Recursive Calculation of Ruin Probabilities at or Before Claim Instants for Non-Identically Distributed Claims

ASTIN Bulletin 45 (2), 421-443, 2015
Number of pages: 19 Posted: 09 Mar 2014 Last Revised: 31 Jul 2015
Romanian Academy - Gh.Mihoc-C.Iacob Institute of Mathematical Statistics and Applied Mathematics, Ovidius University of Constanta and University of Bucharest - Faculty of Mathematics and Computer Science
Downloads 29 (480,901)

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continuous time risk process, ruin probability, extensions of the Poisson process, nonhomogeneous claim sizes, Erlang distribution, mixture of exponentials distribution

9.

Capital Allocation for Sarmanov's Class of Distributions

Number of pages: 23 Posted: 01 Jan 2016
Raluca Vernic
Ovidius University of Constanta
Downloads 23 (513,757)
Citation 1

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Sarmanov multivariate distribution, exponential distribution, capital allocation, Tail-Value-at-Risk (TVaR)

10.

Inequalities for the De Pril Approximation to the Distribution of the Number of Policies with Claims

Number of pages: 26 Posted: 23 Apr 2009
Raluca Vernic, Jan Dhaene and Bjorn Sundt
Ovidius University of Constanta, Katholieke Universiteit Leuven and affiliation not provided to SSRN
Downloads 21 (525,568)

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11.

Multivariate Count Data Generalized Linear Models: Three Approaches Based on the Sarmanov Distribution

XREAP 2017-07
Number of pages: 37 Posted: 14 Nov 2017
Catalina Bolancé and Raluca Vernic
University of Barcelona - Department of Econometrics and Ovidius University of Constanta
Downloads 18 (543,365)
Citation 2

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multivariate counting distribution, Sarmanov distribution, Negative Binomial distribution, Generalized Linear Model, ML estimation algorithm

12.

On the Evaluation of Some Multivariate Compound Distributions with Sarmanov's Counting Distribution

Number of pages: 19 Posted: 10 May 2017
Raluca Vernic
Ovidius University of Constanta
Downloads 18 (543,365)

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Multivariate Compound Model; Sarmanov's Multivariate Discrete Distribution; Recursive Evaluation; Fast Fourier Transform Method.

13.

On a Class of Bivariate Mixed Sarmanov Distributions

Number of pages: 27 Posted: 15 Feb 2018
Raluca Vernic
Ovidius University of Constanta
Downloads 12 (580,347)

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Mixed Sarmanov distributions, Correlation coefficient, Poisson marginal distribution, Negative Binomial marginal distribution, Poisson-Inverse Gaussian marginal distribution

14.

On Some Multivariate Sarmanov Mixed Erlang Reinsurance Risks: Aggregation and Capital Allocation

Number of pages: 20 Posted: 14 Nov 2016
Gildas Ratovomirija, Maissa Tamraz and Raluca Vernic
University of Lausanne, Universite de Lausanne and Ovidius University of Constanta
Downloads 5 (626,172)
Citation 1

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Sarmanov distribution, Mixed Erlang distribution, Capital allocation, Risk aggregation, Stop-loss reinsurance, Dependency

15.

The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Scandinavian Actuarial Journal, Vol. 6, pp. 446-461, 2005
Posted: 18 Dec 2005
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), University of Amsterdam - Department of Quantitative Economics (KE), University of Amsterdam - Amsterdam School of Economics (ASE) and Ovidius University of Constanta

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Asymptotics, (Log) elliptical distribution, (Log) normal variance-mean mixed distribution, Pareto-like distribution, Tail probability