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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

Research

Research areas

Extreme value theory

Gaussian processes

Assistants

Grigori Jasnovidov
grigori.jasnovidov@unil.ch



full description
  Nikolai Kriukov
nikolai.kriukov@unil.ch



full description
 
Konrad Adam Krystecki
konrad.krystecki@unil.ch



full description
 

Publications

100 last publications ordered by: publication type  -  year

: Peer Reviewed

Articles

Dȩbicki Krzysztof , Hashorva Enkelejd (in press). Approximation of Supremum of Max-Stable Stationary Processes & Pickands Constants. Journal of Theoretical Probability.


Hashorva Enkelejd (2019). Approximation of some multivariate risk measures for Gaussian risks. Journal of Multivariate Analysis, 169, 330-340. 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


Bai Long, Dȩbicki Krzysztof, Hashorva Enkelejd ; Ji Lanpeng (2018). Extremes of threshold-dependent Gaussian processes. Science China Mathematics, 61, 1971-2002. Peer Reviewed


Constantinescu C., Hashorva E. ; Kratz M. (2018). Foreword by the Guest Editors of the RARE special issue. Annals of Actuarial Science, 12, 209-210.


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


Dȩbicki Krzysztof, Hashorva Enkelejd, Ji Lanpeng ; Rolski Tomasz (2018). Extremal behavior of hitting a cone by correlated Brownian motion with drift. Stochastic Processes and their Applications, 128, 4171–4206. Peer Reviewed


Dombry Clément, Hashorva Enkelejd ; Soulier Philippe (2018). Tail measure and spectral tail process of regularly varying time series. The Annals of Applied Probability, 28, 3884-3921. Peer Reviewed


Dufresne François, Hashorva Enkelejd, Ratovomirija Gildas ; Toukourou Youssouf (2018). On age difference in joint lifetime modelling with life insurance annuity applications. Annals of Actuarial Science, 12, 350-371. 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, 128, 2952-2978. 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


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. (2015). Gaussian risk models with financial constraints. Scandinavian Actuarial Journal, 2015, 469-481. 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). 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). Extremes and First Passage Times of Correlated Fractional Brownian Motions. Stochastic Models, 30, 272-299. 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). Second-order tail asymptotics of deflated risks. Insurance: Mathematics and Economics, 56, 88-101. 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. , 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 Max-Discretisation Theorem for Standardised Maximum of Stationary Gaussian Processes. Methodology and Computing in Applied Probability, 16, 169-185. 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


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). Minima and maxima of elliptical triangular arrays and spherical processes. Bernoulli, 19, 886-904. 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., 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). Exact tail asymptotics of the supremum of strongly dependent gaussian processes over a random interval. Lithuanian Mathematical Journal, 53, 91-102. 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


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). Discussion: Statistical models and methods for dependence in insurance data. Journal of the Korean Statistical Society, 40, 151-154. 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


Curriculum

Competences



Current research areas
--Extreme value theory

--Gaussian random fields

--Max-stable random fields

--Rare-event simulation

--Risk aggregation/disaggregation

--Multivariate distributions

--Non-Life Insurance: Big data pricing; price optimisation

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
"Rare Events & Extremes of Multi-Valued Random Fields" supported by the Swiss National Science Foundation, 2018-2020.
More details here: http://p3.snf.ch/Project-175752
-- 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: Dependence Modelling, since 2018
-- 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

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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