Alfredo D Egídio dos Reis

A public micro pension programme in Brazil: Heterogeneity among states and setting up of benefit age adjustment

R. G. Alcoforado and A. D. Egídio dos Reis

*European Actuarial Journal* https://rdcu.be/cRqMc, (2022).

Ruin and dividend measures in the renewal dual risk model

R. G. Alcoforado, A. Bergel, R. M. Cardoso, A. D. Egídio dos Reis and E. Rodriguez Martinez

*Methodology and Computing in Applied Probability* 24(2), 537-569 (2022).

Ruin probabilities and capital requirement for open automobile portfolios with a bonus-malus system based on claim counts

L. B. Afonso, R. M. Cardoso, A. D. Egídio dos Reis and G. R. Guerreiro

*Journal of Risk and Insurance* 87 (2), 501-522 (2020).

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* 18 (4), 483-499 (2020).

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, 906918 (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).

A probability of ruin approach to optimize pension fund investments

A. Hernández-Pacheco, A. D. Egídio dos Reis and A. Bergel

*Joint Sections Colloquium*, International Actuarial Association, (2021).

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).

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).

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).

Ruin Probabilities in the context of the Winner's Curse

A. Bergel, A. D. Egídio dos Reis, E. Martínez, R. Cardoso and Z. Palmowski

* preprint* (2023).

The role of covariates in cyber risk ratemaking using GAMLSS

A. K. Azevedo de Macedo, A. D. Egídio dos Reis and A. Bergel

* preprint* (2023).

Approximations to ultimate ruin probabilities with a Wienner process perturbation

Y. Koucha and A. D. Egídio dos Reis

* preprint* (2021).
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Cyber risk: An analysis of self-protection and the prediction of claims

A. K. Azevedo de Macedo, A. Bergel and A. D. Egídio dos Reis

* preprint* (2020).
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Estimation of foreseeable and unforeseeable risks in motor insurance

W. Ni, C. Constantinescu, A. D. Egídio dos Reis and V. Maume-Deschamps

* preprint* (2019).

On dividends in the Phase-Type dual risk model

A. Bergel, E. Rodriguez Martinez and A. D. Egídio dos Reis

* preprint* (2015).
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On a Sparre-Andersen risk model with Phase-type(n) interclaim times

A. Bergel and A. D. Egídio dos Reis

* preprint* (2014).
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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).
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Further advances on the maximum severity of ruin in an Erlang(n) risk process

A. Bergel and A. D. Egídio dos Reis

* preprint* (2011).

An Introduction to Quantitative Finance

A. D. Egídio dos Reis and A. Bergel

*https://www.iseg.ulisboa.pt/aquila/getFile.do?method=getFile&fileId=1452128*, (2021).

Introdução à Matemática Financeira

A. D. Egídio dos Reis and A. Bergel

*https://www.iseg.ulisboa.pt/aquila/getFile.do?method=getFile&fileId=1453271*, (2021).

Teoria da credibilidade

A. D. Egídio dos Reis

Cemapre 26, (2001).
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Teoria da ruína

A. D. Egídio dos Reis

Cemapre 17, (1999).
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