Insurance Mathematics And Economics Pdf
Department of Statistics
University of Haifa
Zinoviy Landsman
Professor
Address: Department of Statistics, University of Haifa
Haifa, Israel 31905
Tel: 972-4-8249003 Fax: 972-4-8253849
E. mail: landsman@stat.haifa.ac.il
Higher Education
- Ph.D., Romanovsky Mathematical Institute, Tashkent, USSR, 1978.
Research interests
- Statistical inference. Actuary and Finance: Risk measures, Optimal portfolio selection, Option pricing. Statistics on manifolds. Nonparametric statistics.
Recent Publications (lp_internet.ps)
- Landsman, Z., Rom, M., "On distances and goodness-of-fit tests for detecting multimodal distributions". Metrika, 42 , 1995, pp. 421-439.
- Golenko-Ginzburg, D., Kesler, Landsman, Z., "Industrial job-shop scheduling with random operations and different priorities". International Journal of Production Economics, 40 , 1995, pp. 185-195.
- Hendriks, H., Landsman, Z., "Asymptotic tests for mean location on manifolds". Comptes Rendus De L'Academie Des Sciences , Ser. 1 , Mathematics, 1996, pp. 773-778.
- Hendriks, H., Landsman, Z., "Asymptotic behavior of sample mean location for manifolds". Statistics and Probability Letters, 26, 1996, pp. 169-178.
- Landsman, Z. Sample quantiles and additive statistics: information, sufficiency, estimation. Journal of Statistical Planning and Inference, 52 , 1996, pp. 93-108.
- Hendriks, H., Landsman, Z., Ruymgaart, F., "Asymptotic behavior of sample mean location for spheres". Journal of Multivariate Analysis, 59, 2, 1996, pp. 141-152.
- Kagan, A. Landsman, Z., "Statistical meaning of Carlen's superadditivity of the Fisher information". Statistics and Probability Letters, 32 , 1997, pp. 175-179.
- Landsman, Z., Makov, U., "Exponential Dispersion Models and Credibility". Scandinavian Actuarial Journal, 1998, 1, pp. 89-96.
- Hendriks, H., Landsman, Z., "Mean location and sample mean location on manifolds : asymptotics, tests, confidence regions". Journal of Multivariate Analysis, 1998, 67, pp. 227-243.
- Kagan, A., Landsman, Z., "Relation between the covariance and Fisher information matrices. Statistics & Probability Letters, 1999, 4 , 1, pp. 7-13.
- Landsman, Z., Makov, U., "Credibility evaluations for exponential dispersian families". Insurance: Mathematics & Economics, 1999, 24, pp 33-39.
- Landsman, Z., Makov, U., " On Stochastic approximation and credibility". Scandinavian Actuarial Journal, 1999, 1, 15-31.
- Landsman, Z., Makov, U., " Sequential credibility evaluation for symmetric location claim distributions". Insurance: Mathematics & Economics, 1999, 24, 291-300.
- Landsman, Z., "On the minimum of Fisher information about scale parameter and the singular Sturme-Liuville problem", Journal of Statistical Planning and Inference, 2000, 88, 29-35.
- Landsman, Z., Makov, U., "On Credibility evaluation and the tail area of the Exponential Dispersion Family", Insurance: Mathematics & Economics, 2000, 27, 277-283.
- Landsman, Z., "Second order minimax estimation of mean value for exponential dispersion models", Journal of Statistical Planning and Inference, 2001, 98, 57-71.
- Landsman, Z., Sherris, M., "Risk measures and insurance premum principles", Insurance: Mathematics & Economics, 2001, 98, 57-71.
- Landsman, Z., Makov, U., "Sequential quasi credibility for scale dispersion models", To appear in: Scandinavian Actuarial Journal, 2002.
- Landsman Z. "Credibility theory: a new view from the theory of second order optimal statistics.", Insurance: Mathematics and Economics, 30, 2002, 351-362. (pdf file)
- Landsman, Z., Valdez, A. E., "Tail Conditional Expectations for Elliptical Distributions", North American Actuarial Journal, 2003, 7, 4, 55-71. (pdf file)
- Landsman, Z., Furman, E., "Risk Capital Decomposition for a Multivariate Gamma Portfolio".
- The research can be found at the University of Haifa Data Archive. (in press)
- Landsman, Z., Sherris, M., "Insurance and Asset Pricing in Incomplete Markets with Heavy Tailed Risks".
- The research can be found at the University of Haifa Data Archive.
- Landsman Z. " Second Order Bayes Prediction of Functionals of Exponential Dispersion Distributions and an Application to the Prediction of the Tails.", Astin Bulletin, Vol. 34, No. 2,2004, pp. 285-298.
- The abstract can be found at the University of Haifa Data Archive. (pdf file)
- Landsman, Z., "On the generalization of Esscher and variance premiums modified for the elliptical family of distributions.", Insurance: Mathematics and Economics, 35, 2004, pp 563�579.
- The abstract can be found at the University of Haifa Data Archive. (pdf file)
- Landsman, Z., Valdez, E., "Tail conditional expectation for exponential dispersion models". ASTIN Bulletin, 35, 1, 2005, 189-209.
- Landsman, Z., Tsanakas, A., "Stochastic ordering of bivariate elliptical distributions", Statistics & Probability Letters, 76, 5, 2006, 488-495.
- Fielding, M., Klebaner, F., Landsman, Z., "Random volatility and option prices with the generalized Student-t distribution", Advances and Applications in Statistics, 6, 1, 2006, 111-120.
- Landsman, Z., "On the generalization of Stein's lemma for elliptical class of distributions", Statistics & Probability Letters, 76, 10, 2006, 1012-1016.
- Landsman, Z., Furman, E., "On Some Risk-Adjusted Tail Based Risk Measures", Journal of Actuarial Practice, 2006.
- E. Furman and Z. Landsman. "Tail Variance Premium with Applications for Elliptical Portfolio of Risks", ASTIN BULLETINE, 2006, 36 (2). p 433-462.
- H. Hendriks and Z. Landsman. "Asymptotic Data Analysis on Manifolds". Annals of Statistics, 2007, 35 (1), p. 109-131.
- Z. Landsman and M. Sherris. "An actuarial premium pricing model for non-Normal insurance and financial risks in incomplete markets". North American Actuarial Journal, 2007, 11 (1), p. 119-135.
- A. Chiragiev and Z. Landsman. "Multivariate Pareto Portfolios: TCE-based Capital Allocation and Divided Differencess". Scandinavian Actuarial Journal, 2007, 4, p. 261-280
- Z. Landsman "Minimization of the root of a quadratic functional under an affine equality constraint". Journal of Computational and Applied Mathematics, 2008, 216, 319 -- 327
- Z. Landsman and J. Neslehova. "Stein's Lemma for elliptical random vectors". Journal of Multivariate Analysis, 2008, 99,5, 912-927
- Z. Landsman "Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio managements". Journal of Computational and Applied Mathematics, 2008, 220, 2, 739-748.
- E. Furman and Z. Landsman. "Economic Capital Allocations for Non-Negative Portfolios of Dependent Risks" ASTIN Bulletin, 2008, 38, 2, 601-619
- F. Klebaner and Z. Landsman "Option Pricing for Log-Symmetric Distributions of Returns." Methodology and Computing in Applied Probability, 2009, 11, 339-357.
- Z. Landsman. "Elliptical families and copulas: tilting and premiums, capital allocation ", Scandinavian Actuarial Journal, 2009, 2, 85-103
- A. Chiragiev and Z. Landsman "Multivariate Flexible Pareto Model: Dependency Structure, Properties and Characterizations ", Statistics and Probability Letters,2009, 79, 16, 1733-1743
- E. Furman and Z. Landsman "Multivariate Tweedie distributions and some related capital-at-risk analysis", Insurance, Mathematics and Economics, 2010, 351-361
- Z. Landsman "On the tail mean-variance optimal portfolio selection", Insurance, Mathematics and Economics, 2010, 547-553
- Z. Landsman and U. Makov. "Translation invariant and positive homogeneous risk measures and optimal portfolio management", European Journal of Finance, 2010, 4, 307-320
- S. Bar-Lev, D. Bshouty, Z. Landsman. "Second order minimax estimation of the mean", Journal of Statistical Planning and Inference, 2010, 11, 3282-3294
- Z. Landsman and Steven Vanduffel. "Bounds for some general sums of random variables", Statistics and Probability Letters, 2011, 3, 382-391
- Z. Landsman and U. Makov. "Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component", Insurance: Mathematics and Economics, 2012, 1, 94-98
- Z. Landsman and A. Tsanakas. "Parameter uncertainty in exponential family tail estimation", ASTIN Bulletin, 2012, 1, 123-152
- I. Owadally, Z. Landsman. "A characterization of optimal portfolios under the tail mean �variance criterion", Insurance: Mathematics and Economics, March 2013, 2, 213-221
- Z. Landsman, N. Pat, J. Dhaene. "Tail Variance Premiums for Log-Elliptical Distributions", Insurance: Mathematics and Economics, May 2013, 3, 441-447
- D.H., Alai, Z. Landsman , M. Sherris. "Lifetime dependence modelling using a truncated multivariate gamma distribution", Insurance: Mathematics and Economics, May 2013, 3, 542-549
- Z. Landsman, S. Vanduffel, J. Yao. "A note on Stein's lemma for multivariate elliptical distributions", Journal of Statistical Planning and Inference, 2013, 11, 2016 � 2022
- Hamza, K., Klebaner F, Landsman, Z. Tan, Y Option Pricing for Symmetric Levy Returns with Applications, Asia-Pacific Finan Markets, 2015, Volume 22, Issue 1, pp 27-52
- Landsman, Z., Vanduffel, S., Yao, J. Some Stein-type inequalities for multivariate elliptical distributions and applications, Statistics \& Probability Letters, Volume 97, February 2015, Pages 54-62
- D. Alai, Z. Landsman, M. Sherris. A Multivariate Tweedie Life time Model : Censoring and Truncation. Insurance: Mathematics and Economics , 2015, Volume 64, pp. 203-2013
- Ignatieva, K. and Landsman, Z. Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalized hyperbolic distributions. Insurance: Mathematics and Economics , 2015, Volume 65, pp. 172-186
- Landsman, Z. and Makov, U. Minimization of a function of a quadratic functional with application to optimal portfolio selection. Journal of Optimization Theory and Applications, 2016, vol. 170, 1, 308-322
- Bar-Lev, S.K, Boukai, B, \& Landsman, Z. The Kendal- Ressel Exponential Dispersion Model: Some Statistical Aspects and Estimation. International Journal of Statistics and Probability, Vol. 5 2016, No. 3
- D. Alai, Z. Landsman, M. Sherris. Multivariate Tweedie lifetimes: the impact of dependence. Scandinavian Actuarial Journal, 2016, vol. 8, 692�712
- D. Alai, Z. Landsman, M. Sherris. Modelling lifetime dependence for older ages using a multivariate Pareto distribution. Insurance: Mathematics and Economics , Vol. 70, 2016, 272-285
- Landsman, Z. and Makov U, Shushi, T. A new class of distributions based on Hurwitz zeta function with applications for risk management. The open Statistics and Probability Journal, Vol. 7, 2016.
- Landsman, Z. and Makov U, Shushi, T. Multivariate tail conditional expectation for elliptical distributions. Insurance: Mathematics and Economics, Vol. 70, 2016, 216-223
- Landsman, Z. and Makov U, Shushi, T. Extended generalized skew-elliptical distributions and their moments. Sankhya A. , 2016, DOI:10.1007/s13171-016-0090-2
- Landsman, Z. and Makov U, Shushi, T. Tail Conditional Moments for Elliptical and Log-Elliptical distributions. Insurance: Mathematics and Economics, Vol. 71, 2016, 179-188
- Landsman, Z. and Valdez, E. The tail Stein's identity with applications to risk measures. North American Actuarial Journal, 2016, 20 (4), pp313–-326, 2016
- Hendrics, H. and Landsman, Z. A generalization of multivariate Pareto distributions: tail risk measures, divided differences, asymptotics. Scandinavian Actuarial Journal., 2017, VOL. 2017, NO. 9, 785-803
- Z. Landsman, U. Makov, T. Shushi. Extended generalised skew-elliptical distributions and their moments. Sankhya 2017, 79-A, Part1, 76-100
- D. Alai, Z. Landsman. Lifetime dependence models generated by multiply monotone functions. Scandinavian Actuarial Journal, 2018 , VOL. 2018, NO. 7, 576–60
- J.Chan, S. Choy, U. Makov and Z. Landsman. Modelling insurance losses using contaminated 2 generalised beta type-II distribution. Astin Bulletin, Volume 48, Issue 2, May 2018 , pp. 871-904
- Z. Landsman, U. Makov, T. Shushi. A Multivariate tail covariance measure for elliptical distributions. Insurance: Mathematics and Economics, 81, July 2018, Pages 27-35
- L. Langbord, Z. Landsman, U. Makov. Objective Bayesian Estimation of the Mean of Severity and Frequency Distributions. Variance, 2019, To appear
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Courses taught this semester
- Statistical Method in Actuary - ����� ��������� ���������, 2005/6
- Linear Models - ������ ��������� ���"�, 2005/6
- Risk measures and insurance premium principles - ���� ������� �������� ����� ������, 2007/8
Previous years:
- Robust Statistics- ��������� ����� ���"�, 2004/5
- Statistical Methods in Actuary - ����� ��������� ������ ���"�, 2004/5
- Project MA - ������ �� ���"�, 2004/5
- Statistical Methods in Actuary - (2003/4 - ����� ��������� ������)
- Linear Models - 2004
- Optimal Problems in Actuary and Statistics
- Linear Models - 2003
- Goodness-of-fit tests and metrics - ����� ��� ����� �������� ���"�, 2001/2
- Statistical Methods in Actuary - ����� ��������� ������ ���"�, 2001/2
- Robust Statistics
Insurance Mathematics And Economics Pdf
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