Publications

Alfredo D Egídio dos Reis

20 Articles in international journals with referee

Text mining and ruin theory: A case study on risk models with dependence
R. G. Alcoforado and A. D. Egídio dos Reis
REVSTAT Statistical Journal https://www.ine.pt/revstat/forthcoming_papers.html, (2019).

Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance
L. B. Afonso, R. M. R. Cardoso, A. D. Egídio dos Reis and G. R. Guerreiro
ASTIN Bulletin 47 (2), 417-435 (2017).

On dividends in the Phase-Type dual risk model
A. Bergel, E. Rodriguez Martinez and A. D. Egídio dos Reis
Scandinavian Actuarial Journal, (2016).

Ruin problems in the generalized Erlang(n) risk model
A. Bergel and A. D. Egídio dos Reis
European Actuarial Journal 6 (1), 257-275 (2016).

Further developments in the Erlang(n) risk process
A. Bergel and A. D. Egídio dos Reis
Scandinavian Actuarial Journal 1, 32-48 (2015).

Goodness-of-fit tests and applications for left-truncated Weibull distributions to non-life insurance
M. Kreer, A. Kizilersü, A. Thomas and A. D. Egídio dos Reis
European Actuarial Journal 5, 139-163 (2015).

Some advances on the Erlang(n) dual risk model
E. Rodriguez Martinez, R. M. R. Cardoso and A. D. Egídio dos Reis
ASTIN Bulletin 45, 127-150 (2015).

Dividend problems in the dual risk model
L. B. Afonso, R. M. R. Cardoso and A. D. Egídio dos Reis
Insurance: Mathematics and Economics 53, 906–918 (2013).

Numerical evaluation of continuous time ruin probabilities for a portfolio with credibility updated premiums
L. B. Afonso, A. D. Egídio dos Reis and H. R. Waters
ASTIN Bulletin 40 (1), 399-414 (2010).

Calculating continuous time ruin probabilities for a large portfolio with varying premiums
L. B. Afonso, A. D. Egídio dos Reis and H. R. Waters
ASTIN Bulletin 39, 117-136 (2009).

Cramér-Lundberg results for the infinite time ruin probability in the compound binomial model
B. Sundt and A. D. Egídio dos Reis
Bulletin of the Swiss Association of Actuaries, 179-190 (2007).

Fourier/Laplace transforms and ruin probabilities
F. D. P. Lima, J. M. A. Garcia and A. D. Egídio dos Reis
ASTIN Bulletin 32, 91-104 (2002).

How many claims does it take to get ruined and recovered?
A. D. Egídio dos Reis
Insurance: Mathematics and Economics 31/2, 235-248 (2002).

Recursive calculation of time to ruin distributions
R. M. R. Cardoso and A. D. Egídio dos Reis
Insurance: Mathematics and Economics 30, 219-230 (2002).

On the moments of ruin and recovery times
A. D. Egídio dos Reis
Insurance: Mathematics and Economics 27, 331-343 (2000).

The effect of interest on negative surplus
D. C. Dickson and A. D. Egídio dos Reis
Insurance: Mathematics and Economics 21, 1-16 (1997).

On the distribution of the duration of negative surplus
D. C. Dickson and A. D. Egídio dos Reis
Scandinavian Actuarial Journal 2, 148-164 (1996).

Some stable algorithms in ruin theory and their applications
D. C. Dickson, A. D. Egídio dos Reis and H. R. Waters
ASTIN Bulletin 25, 153-175 (1995).

Ruin problems and dual events
D. C. Dickson and A. D. Egídio dos Reis
Insurance: Mathematics and Economics 14, 51-60 (1994).

How long is the surplus below zero?
A. D. Egídio dos Reis
Insurance: Mathematics and Economics 12, 23-38 (1993).


4 Conference proceedings with referee

Text mining and ruin theory: a case study on risk models with dependence
R. G. Alcoforado and A. D. Egídio dos Reis
in SYMPOSIUM ON BIG DATA IN FINANCE, RETAIL AND COMMERCE: Statistical and Computational Challenges Book of Abstracts and Extended Abstracts, Eds. Manuel Scotto, Lisete Sousa, Patricia de Zea Bermúdez, Daniel Peña, 2017 Centro de Estatística e Aplicações, http://symposiumbigdata2017.weebly.com/uploads/1/0/1/7/101754332/sbd2017_book_of_abstracts_2.pdf, 47-52 (2017).

Some simple and classical approximations to ruin probabilities applied to the perturbed model
M. J. M. Seixas and A. D. Egídio dos Reis
in AFMathConf2013 Proceedings of the Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance, Brussels. http://www.afmathconf.ugent.be/FormerEditions/Proceedings2013.pdf, (2013).

Modelling claim counts of homogeneous insurance risk groups using copulas
M. F. Santos and A. D. Egídio dos Reis
AFMathConf2011 Proceedings of the Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance, Brussels. http://www.afmathconf.ugent.be/FormerEditions/Proceedings2011.pdf, (2011).

The compound binomial model revisited
A. D. Egídio dos Reis
http://www.actuaries.org/ASTIN/Colloquia/Bergen/EgidiodosReis.pdf, IAA, CAS, (2004).


2 Chapters in international books without referee

Solvency II - an important case in applied VaR
A. D. Egídio dos Reis, R. M. Gaspar and A. T. Vicente
in The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management Book, Ed. Gregoriou, McGraw-Hill, (2009).

Using tail conditional expectation for capital requirement calculation of a general insurance undertaking
J. Duque, A. D. Egídio dos Reis and R. Garcia
in The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management Book, Ed. Gregoriou, McGraw-Hill, (2009).


1 Conference proceedings without referee

The Cramér-Lundberg and the dual risk models: Ruin, dividend problems and duality features
A. Bergel, R. M. R. Cardoso, A. D. Egídio dos Reis and E. Rodriguez Martinez
https://cas.confex.com/cas/ica14/webprogram/Session6908.html, (2014).


4 Preprints

On dividends in the Phase-Type dual risk model
A. Bergel, E. Rodriguez Martinez and A. D. Egídio dos Reis
preprint (2015). PDF

On a Sparre-Andersen risk model with Phase-type(n) interclaim times
A. Bergel and A. D. Egídio dos Reis
preprint (2014). PDF

The Cramér-Lundberg and the dual risk models: Ruin, dividend problems and duality features
A. Bergel, R. M. R. Cardoso and A. D. Egídio dos Reis
preprint (2014). PDF

Further advances on the maximum severity of ruin in an Erlang(n) risk process
A. Bergel and A. D. Egídio dos Reis
preprint (2011).


2 Lecture notes

Teoria da credibilidade
A. D. Egídio dos Reis
Cemapre 26, (2001).

Teoria da ruína
A. D. Egídio dos Reis
Cemapre 17, (1999).