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Enkelejd Hashorva

Contact

Full Professor
Department of Actuarial Science


Contact
Enkelejd.Hashorva@unil.ch
Extranef, room 205
Tel 021.692.33.68
Fax 0216923435

Postal address
Université de Lausanne
Quartier UNIL-Chamberonne
Bâtiment Extranef
1015 Lausanne

Teaching

master Actuarial Modelling
Related programme
Master of Science (MSc) in Actuarial Science
master Loss Models
Related programme
Master of Science (MSc) in Actuarial Science
master Time Series
Related programme
Master of Science (MSc) in Actuarial Science

Research

Research areas

Extreme value theory

Gaussian processes

Assistants

Long Bai
long.bai@unil.ch
Tel: (021 692) 3419
Room: EXT102

full description
  Grigori Jasnovidov
griga1995@yandex.ru



 
Nikolai Kriukov
kryuknik@gmail.com



  Peng Liu
peng.liu@unil.ch
Tel: (021 692) 3376
Room: EXT/106

full description
 
Maissa Tamraz
maissa.tamraz@unil.ch
Tel: (021 692) 3426
Room: EXT 134

full description
 

Publications

100 last publications ordered by: publication type  -  year

: Peer Reviewed

Articles

Dȩbicki K., Hashorva E., Ji L. ; Rolski T. (in press). Extremal behavior of hitting a cone by correlated Brownian motion with drift. Stochastic Processes and their Applications. Peer Reviewed


Dombry Clément, Hashorva Enkelejd ; Soulier Philippe (in press). Tail measure and tail spectral process of regularly varying time series. Annals Applied Probability. Peer Reviewed


Dufresne F., Hashorva E., Ratovomirija G. ; Toukourou Y. (in press). On age difference in joint lifetime modelling with life insurance annuity applications. Annals of Actuarial Science. Peer Reviewed


Bai L., Debicki K., Hashorva E. ; Luo L. (2018). On Generalised Piterbarg Constants. Methodology and Computing in Applied Probability, 20, 137-164. Peer Reviewed


Dȩbicki K., Farkas J. ; Hashorva E. (2018). Extremes of randomly scaled Gumbel risks. Journal of Mathematical Analysis and Applications, 458, 30-42. Peer Reviewed


Hashorva E. (2018). DOMINATION OF SAMPLE MAXIMA AND RELATED EXTREMAL DEPENDENCE MEASURES. Dependence Modelling, 6, 88–101. Peer Reviewed


Hashorva E. (2018). Representations of max-stable processes via exponential tilting. Stochastic Processes and their Applications, 1-27. Peer Reviewed


Hashorva E., Ratovomirija G., Tamraz M. ; Bai Y. (2018). Some mathematical aspects of price optimisation. Scandinavian Actuarial Journal, 2018, 379-403. Peer Reviewed


Hashorva E., Seleznjev O. ; Tan Z. (2018). Approximation of maximum of Gaussian random fields. Journal of Mathematical Analysis and Applications, 457, 841-867.


Asimit V., Hashorva E. ; Kortschak D. (2017). Aggregation of randomly weighted large risks. IMA Journal of Management Mathematics, 28, 403-419. Peer Reviewed


Asmussen S., Hashorva E., Laub P. ; Taimre T. (2017). Tail asymptotics of light-tailed Weibull-like sums . Probability and Mathematical Statistics, 37, 235-256. Peer Reviewed


Debicki K., Engelke S. ; Hashorva E. (2017). Generalized Pickands constants and stationary max-stable processes. Extremes, 20, 493-517. Peer Reviewed


Debicki K. , Hashorva E. (2017). On extremal index of max-stable processes. Probability and Mathematical Statistics, 37, 299-317. Peer Reviewed


Debicki K., Hashorva E., Ji L. ; Ling C. (2017). Comparison Inequalities for Order Statistics of Gaussian Arrays. Latin American Journal of Probability and Mathematical Statistics, 14, 93-116. Peer Reviewed


Dȩbicki K., Hashorva E. ; Liu P. (2017). Uniform tail approximation of homogenous functionals of Gaussian fields. Advances in Applied Probability, 49, 1037-1066. Peer Reviewed


Dȩbicki Krzysztof, Hashorva Enkelejd ; Liu Peng (2017). Extremes of γ-reflected Gaussian processes with stationary increments. ESAIM: Probability and Statistics, 21, 495-535. Peer Reviewed


Debiicki K., Hashorva E. ; Liu P. (2017). Extremes of Gaussian random fields with regularly varying dependence structure. Extremes, 20, 333-392. Peer Reviewed


Farkas Julia, Hashorva Enkelejd ; Piterbarg Vladimir I. (2017). Asymptotic Behavior of Reliability Function for Multidimensional Aggregated Weibull Type Reliability Indices. Analytical and Computational Methods in Probability Theory, 251-264. Peer Reviewed


Hashorva E., Ratovomirija G. ; Tamraz M. (2017). On some new dependence models derived from multivariate collective models in insurance applications. Scandinavian Actuarial Journal, 2017, 730-750. Peer Reviewed


Albin P., Hashorva E., Ji L. ; Ling C. (2016). Extremes and limit theorems for difference of chi-type processes. ESAIM: Probability and Statistics, 20, 349-366. Peer Reviewed


Debicki K., Hashorva E. ; Ji L. (2016). On Parisian ruin over a finite-time horizon. Science China Mathematics, 59, 557-572. Peer Reviewed


Debicki K., Hashorva E. ; Ji L. (2016). Extremes of a class of non-homogeneous Gaussian random fields. Annals of Probability, 44, 984-1012. Peer Reviewed


Hashorva E. , Ji L. (2016). Extremes of alpha-t locally stationary Gaussian random fields. Transactions of the American Mathematical Society, 368, 1-26. Peer Reviewed


Hashorva E. , Ling C. (2016). Maxima of skew elliptical triangular arrays. Communications in Statistics - Theory and Methods, 45, 3692-3705. Peer Reviewed


Hashorva E., Peng Z. ; Weng Z. (2016). Higher-order expansions of distributions of maxima in a Hüsler-Reiss model. Methodology and Computing in Applied Probability, 18, 181-196. Peer Reviewed


Das B., Engelke S. ; Hashorva E. (2015). Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process. Stochastic Processes and their Applications, 125, 780-796. Peer Reviewed


Dȩbicki K., Hashorva E. ; Ji L. (2015). Gaussian risk models with financial constraints. Scandinavian Actuarial Journal, 2015, 469-481. Peer Reviewed


Debicki K., Hashorva E. ; Ji L. (2015). Parisian ruin of self-similar Gaussian risk processes. Journal Applied Probability, 52, 688-702. Peer Reviewed


Dȩbicki K., Hashorva E., Ji L. ; Ling C. (2015). Extremes of order statistics of stationary processes. TEST, 24, 229-248. Peer Reviewed


Dȩbicki K., Hashorva E., Ji L. ; Tabiś K. (2015). Extremes of vector-valued Gaussian processes: Exact asymptotics. Stochastic Processes and their Applications, 125, 4039-4065. Peer Reviewed


Debicki K., Hashorva E. ; Soja-Kukieła N. (2015). Extremes of homogeneous Gaussian random fields. Journal of Applied Probability, 52, 55-67. Peer Reviewed


Farkas J. , Hashorva E. (2015). Tail approximation for reinsurance portfolios of Gaussian-like risks. Scandinavian Actuarial Journal, 2015, 319-331. Peer Reviewed


Hashorva E. (2015). Extremes of aggregated Dirichlet risks. Journal of Multivariate Analysis, 133, 334-345. Peer Reviewed


Hashorva E. , Ji L. (2015). Piterbarg theorems for chi-processes with trend. Extremes, 18, 37-64. Peer Reviewed


Hashorva E., Korshunov D. ; Piterbarg V.I. (2015). Asymptotic expansion of Gaussian chaos via probabilistic approach. Extremes, 18, 315-347. Peer Reviewed


Hashorva E. , Li J. (2015). Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks. Stochastic Models, 31, 1-19. Peer Reviewed


Hashorva E., Mishura Y. ; Seleznjev O. (2015). Boundary non-crossing probabilities for fractional Brownian motion with trend. Stochastics An International Journal of Probability and Stochastic Processes, 87, 946-965. Peer Reviewed


Hashorva E., Peng L. ; Weng Z. (2015). Maxima of a triangular array of multivariate Gaussian sequence. Statistics & Probability Letters, 103, 62-72. Peer Reviewed


Hashorva E. , Ratovomirija G. (2015). On samanov mixed erlang risks in insurance applications. ASTIN Bulletin, 45, 175-205. Peer Reviewed


Hashorva E. , Tan Z. (2015). Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids. Statistics, 49, 338-360. Peer Reviewed


Hashorva E. , Weng Z. (2015). Limit Laws for Maxima of Contracted Stationary Gaussian Sequences. Communications in Statistics - Theory and Methods, 44, 4641-4650. Peer Reviewed


Hashorva E., Lifshits M. ; Seleznjev O. (2015). Approximation of a Random Process with Variable Smoothness. Mathematical Statistics and Limit Theorems, 189-208. Peer Reviewed


Korshunov D.A., Piterbarg V.I. ; Hashorva E. (2015). On the asymptotic Laplace method and its application to random chaos. Mathematical Notes, 97, 878-891. Peer Reviewed


Liu P., Hashorva E. ; Ji L. (2015). On the gamma-reflected processes with fBm input. Lithuanian Mathematical Journal, 55, 402-414. Peer Reviewed


Dębicki K., Hashorva E. ; Ji L. (2014). Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals. Extremes, 17, 411-429. Peer Reviewed


Debicki K., Hashorva E. ; Ji L. (2014). Gaussian approximation of perturbed chi-square risks. Statistics and Its Interface, 7, 363-373. Peer Reviewed


Debicki K., Hashorva E., Ji L. ; Tan Z. (2014). Finite-time ruin probability of aggregate Gaussian processes. Markov Processes and Related Fields, 20, 435-450. Peer Reviewed


Dȩbicki K., Hashorva E., Ji L. ; Tabiś K. (2014). On the probability of conjunctions of stationary Gaussian processes. Statistics & Probability Letters, 88, 141-148. Peer Reviewed


Embrechts P., Hashorva E. ; Mikosch T. (2014). Aggregation of log-linear risks. Journal of Applied Probability, 51A, 203-212. Peer Reviewed


Hashorva E. , Ji L. (2014). Approximation of passage times of gamma-reflected processes with fBm input. Journal of Applied Probability, 51, 713-726. Peer Reviewed


Hashorva E. , Li J. (2014). Asymptotics for a discrete-time risk model with the emphasis on financial risk. Probability in the Engineering and Informational Sciences, 28, 573-588. Peer Reviewed


Hashorva E., Nadarajah S. ; Pogany TK. (2014). Extremes of perturbed bivariate Rayleigh risks. Revstat Statistical Journal, 12, 157-168. Peer Reviewed


Hashorva E. , Weng Z. (2014). Berman's inequality under random scaling. Statistics and Its Interface, 7, 339-349. Peer Reviewed


Hashorva E. , Ji L. (2014). Extremes and First Passage Times of Correlated Fractional Brownian Motions. Stochastic Models, 30, 272-299. Peer Reviewed


Hashorva E. , Ji L. (2014). Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process. Communications in Statistics - Theory and Methods, 43, 2540-2548. Peer Reviewed


Hashorva E. , Ji L. (2014). Random shifting and scaling of insurance risks. Risks, 2, 277-288. Peer Reviewed


Hashorva E. , Kortschak D. (2014). Tail asymptotics of random sum and maximum of log-normal risks. Statistics & Probability Letters, 87, 167-174. Peer Reviewed


Hashorva E., Ling C. ; Peng Z. (2014). Modeling of censored bivariate extremal events. Journal of the Korean Statistical Society, 43, 323-338. Peer Reviewed


Hashorva E., Ling C. ; Peng Z. (2014). Tail asymptotic expansions for L-statistics. Science China Mathematics, 57, 1993-2012. Peer Reviewed


Hashorva E., Ling C. ; Peng Z. (2014). Second-order tail asymptotics of deflated risks. Insurance: Mathematics and Economics, 56, 88-101. Peer Reviewed


Hashorva E. , Mishura Y. (2014). Boundary noncrossings of additive Wiener fields. Lithuanian Mathematical Journal, 54, 277-289. Peer Reviewed


Hashorva E., Peng Z. ; Weng Z. (2014). Limit properties of exceedances point processes of scaled stationary Gaussian sequences. Probability and Mathematical Statistics, 34, 45-59. Peer Reviewed


Hashorva E. , Weng Z. (2014). Maxima and minima of complete and incomplete stationary sequences. Stochastics An International Journal of Probability and Stochastic Processes, 86, 707-720. Peer Reviewed


Hashorva E. , Weng Z. (2014). Tail asymptotic of Weibull-type risks. Statistics, 48, 1155-1165. Peer Reviewed


Kortschak D. , Hashorva E. (2014). Second Order Asymptotics of Aggregated Log-Elliptical Risk. Methodology and Computing in Applied Probability, 16, 969-985. Peer Reviewed


Tan Z. , Hashorva E. (2014). On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes. Journal of Mathematical Analysis and Applications, 409, 299-314. Peer Reviewed


Tan Z. , Hashorva E. (2014). On Piterbarg Max-Discretisation Theorem for Standardised Maximum of Stationary Gaussian Processes. Methodology and Computing in Applied Probability, 16, 169-185. Peer Reviewed


Balakrishnan N. , Hashorva E. (2013). Scale Mixtures of Kotz-Dirichlet Distributions. Journal of Multivariate Analysis, 113, 48-58. Peer Reviewed


Hashorva E. (2013). On beta-product convolutions. Scandinavian Actuarial Journal, 2013, 69-83. Peer Reviewed


Hashorva E. (2013). Exact tail asymptotics of aggregated parametrised risk. Journal of Mathematical Analysis and Applications, 400, 187-199. Peer Reviewed


Hashorva E. (2013). Minima and maxima of elliptical triangular arrays and spherical processes. Bernoulli, 19, 886-904. Peer Reviewed


Hashorva E., Ji L. ; Piterbarg V. I. (2013). On the supremum of gamma-reflected processes with fractional Brownian motion as input. Stochastic Processes and their Applications, 123, 4111-4127. Peer Reviewed


Hashorva E. , Li J. (2013). ECOMOR and LCR reinsurance with gamma-like claims. Insurance: Mathematics and Economics, 53, 206-215. Peer Reviewed


Hashorva E., Macci C. ; Pacchiarotti B. (2013). Large deviations for proportions of observations which fall in random sets determined by order statistics. Methodology and Computing in Applied Probability, 15, 875-896. Peer Reviewed


Hashorva E., Peng Z. ; Weng Z. (2013). On Piterbarg theorem for the maxima of stationary Gaussian sequences. Lithuanian Mathematical Journal, 53, 280-292. Peer Reviewed


Hashorva E. , Tan Z. (2013). Large deviations of Shepp statistics for fractional Brownian motion. Statistics & Probability Letters, 83, 2242-2247. Peer Reviewed


Hashorva E. , Weng Z. (2013). Limit laws for extremes of dependent stationary Gaussian arrays. Statistics & Probability Letters, 83, 320-330. Peer Reviewed


Korshunov D.A., Piterbarg V.I. ; Hashorva E. (2013). On Extremal Behavior of Gaussian Chaos. Doklady Mathematics, 88, 566-568. Peer Reviewed


Kortschak D. , Hashorva E. (2013). Efficient simulation of tail probabilities for sums of log-elliptical risks. Journal of Computational and Applied Mathematics, 247, 53-67. Peer Reviewed


Merz M., Wüthrich M.V. ; Hashorva E. (2013). Dependence modelling in multivariate claims run-off triangles. Annals of Actuarial Science, 7, 3-25. Peer Reviewed


Tan Z. , Hashorva E. (2013). Limit theorems for extremes of strongly dependent cyclo-stationary χ-processes. Extremes, 16, 241-254. Peer Reviewed


Tan Z. , Hashorva E. (2013). Exact asymptotics and limit theorems for supremum of stationary chi-processes over a random interval. Stochastic Processes and their Applications, 123, 2983-2998. Peer Reviewed


Tan Z. , Hashorva E. (2013). Exact tail asymptotics of the supremum of strongly dependent gaussian processes over a random interval. Lithuanian Mathematical Journal, 53, 91-102. Peer Reviewed


Yang Y. , Hashorva E. (2013). Extremes and products of multivariate AC-product risks. Insurance: Mathematics and Economics, 52, 312-319. Peer Reviewed


Hashorva E. (2012). Exact tail asymptotics in bivariate scale mixture models. Extremes, 15, 109-128. Peer Reviewed


Hashorva E. , Jaworski P. (2012). Gaussian approximation of conditional elliptical copulas. Journal of Multivariate Analysis, 111, 397-407. Peer Reviewed


Hashorva E., Ji L. ; Tan Z. (2012). On the infinite sums of deflated Gaussian products. Electronic Communications in Probability, 17, 1-8. Peer Reviewed


Hashorva E., Kabluchko Z. ; Wübker A. (2012). Extremes of independent chi-square random vectors. Extremes, 15, 35-42. Peer Reviewed


Hashorva E. , Stepanov A. (2012). Limit theorems for the spacings of weak records. Metrika, 75, 163-180. Peer Reviewed


Kume A. , Hashorva E. (2012). Calculation of Bayes premium for conditional elliptical risks. Insurance: Mathematics and Economics, 51, 632-635. Peer Reviewed


Tan Z., Hashova E. ; Peng Z. (2012). Asymptotics of maxima of strongly dependent Gaussian processes. Journal of Applied Probability, 49, 1106–1118. Peer Reviewed


Balakrishnan N. , Hashorva E. (2011). On Pearson-Kotz Dirichlet distributions. Journal of Multivariate Analysis, 102, 948-957. Peer Reviewed


Constantinescu C., Hashorva E. ; Ji L. (2011). Archimedean copulas in finite and infinite dimensions - with application to ruin problems. Insurance: Mathematics & Economics, 49, 487-495. Peer Reviewed


Hashorva E. (2011). Asymptotics of the convex hull of spherically symmetric samples. Discrete Applied Mathematics, 159, 201-211. Peer Reviewed


Hashorva E. (2011). A convolution identity for exchangeable risks. Albanian Journal of Mathematics, 5, 43-45. Peer Reviewed


Hashorva E. (2011). Discussion: Statistical models and methods for dependence in insurance data. Journal of the Korean Statistical Society, 40, 151-154. Peer Reviewed


Hashorva E. (2010). On the residual dependence index of elliptical distributions. Statistics & Probability Letters, 80, 1070-1078. Peer Reviewed


Hashorva E. (2010). Asymptotics of the norm of elliptical random vectors. Journal of Multivariate Analysis, 101, 926-935. Peer Reviewed


Hashorva E. (2010). Boundary Non-crossings of Brownian Pillow. Journal of Theoretical Probability, 23, 193-208. Peer Reviewed


Hashorva E. , Pakes A.G. (2010). Tail asymptotics under beta random scaling. Journal of Mathematical Analysis and Applications, 372, 496-514. Peer Reviewed


Curriculum

Competences



Major dedictions
--Extreme value theory

--Gaussian processes

--Applied statistics

--Rare-event simulation

--Risk aggregation/disaggregation

--Multivariate distributions

--Non-Life Insurance: Pricing large portfolios, price optimisation, customer future balue, portfolio segmentation, portfolio cleaning systems, dynamic portfolio monitoring, KPI's for monitoring (cross-subsidy type matrix), tarif monitoring, optimal tarif, product design

Education

Academic Qualification
--Habilitation in applied stochastics, University of Bern, 2004
--Aktuar ASA, 2003
--Ph.D. in applied probability, University of Bern, 1999

Work experience

Positions
--Professor of Actuarial Mathematics, University of Lausanne, since 2010
--Privat dozent, University of Bern, since 2004
--Actuary/Chief Actuary, Allianz Suisse Insurance Company, 2000-2010
--Assistant, University of Bern, 1998-2000
--Actuary/Chief Actuary, INSIG, 1994-1996

Other activities

Research Projects
-- Principal Investigator of the project
"Extremes of Threshold-Dependent Random Fields" supported by the Swiss National Science Foundation, 2016-2018.
More details here: http://p3.snf.ch/Project-166274
-- Principal Investigator of the project "Extremes of Gaussian processes and related random fields" supported by the Swiss National Science Foundation, 2012-2015
More details here: http://p3.snf.ch/Project-140633
-- Principal Investigator of the project "Extremal behaviour of random scaling models" supported by the Swiss National Science Foundation, 2011-2014
More details here: http://p3.snf.ch/project-134785
-- Co-Investigator of the project "Risk Analysis, Ruin and Extremes" (RARE), FP7 Marie Currie IRSES Fellowship, 2013-2016
More details here: http://www.liv.ac.uk/institute-for-financial-and-actuarial-mathematics/rare/partners/

Editorial Activities
-- Associate Editor: Journal of Applied Probability, since 2016
-- Associate Editor: Advances in Applied Probability, since 2016
-- Associate Editor: Statistics & Probability Letters, since 2012
-- Associate Editor: Extremes, since 2011
-- Associate Editor: European Actuarial Journal, since 2011
-- Editor: Albanian Journal of Mathematics, since 2007

Academic honors

2nd place in the national olympiad of mathematics
Année : 1986

Récipiendaire : Enkelejd Hashorva


Faculty price 2000 for the PhD thesis, University of Bern
Année : 2000

Récipiendaire : Enkelejd Hashorva


Keywords

  • actuarial science (6)
  • applied probability (3)
  • assurance (4)
  • mathematics
  • risk

 
 
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