Select Publications

## Journal articles

2023, 'Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims', *Insurance: Mathematics and Economics*, 111, pp. 84 - 101, http://dx.doi.org/10.1016/j.insmatheco.2023.03.003

2023, 'Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion', *Probability in the Engineering and Informational Sciences*, 37, pp. 387 - 417, http://dx.doi.org/10.1017/S0269964822000080

2023, 'Preface', *Probability in the Engineering and Informational Sciences*, 37, pp. 322 - 323, http://dx.doi.org/10.1017/S0269964823000116

2023, 'A Note on a Modified Parisian Ruin Concept', *Risks*, 11, http://dx.doi.org/10.3390/risks11030056

2023, 'Finite-time ruin probabilities using bivariate Laguerre series', *Scandinavian Actuarial Journal*, 2023, pp. 153 - 190, http://dx.doi.org/10.1080/03461238.2022.2089051

2022, 'Multivariate matrix-exponential affine mixtures and their applications in risk theory', *Insurance: Mathematics and Economics*, 106, pp. 364 - 389, http://dx.doi.org/10.1016/j.insmatheco.2022.07.001

2022, 'A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process', *Insurance: Mathematics and Economics*, 103, pp. 96 - 118, http://dx.doi.org/10.1016/j.insmatheco.2022.01.004

2021, 'Bayesian credibility under a bivariate prior on the frequency and the severity of claims', *Insurance: Mathematics and Economics*, 100, pp. 274 - 295, http://dx.doi.org/10.1016/j.insmatheco.2021.06.003

2021, 'Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion', *Scandinavian Actuarial Journal*, 2021, pp. 804 - 831, http://dx.doi.org/10.1080/03461238.2021.1885483

2019, 'Asymptotic correlation structure of discounted Incurred But Not Reported claims under fractional Poisson arrival process', *European Journal of Operational Research*, 276, pp. 582 - 601, http://dx.doi.org/10.1016/j.ejor.2019.01.033

2019, 'Periodic threshold-type dividend strategy in the compound Poisson risk model', *Scandinavian Actuarial Journal*, 2019, pp. 1 - 31, http://dx.doi.org/10.1080/03461238.2018.1481454

2019, 'Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times', *Scandinavian Actuarial Journal*, 2019, pp. 355 - 386, http://dx.doi.org/10.1080/03461238.2018.1525423

2018, 'Ruin probabilities in a Sparre Andersen model with dependency structure based on a threshold window', *Annals of Actuarial Science*, 12, pp. 269 - 295, http://dx.doi.org/10.1017/S1748499517000215

2018, 'Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps', *Applied Mathematics and Computation*, 331, pp. 358 - 377, http://dx.doi.org/10.1016/j.amc.2018.03.037

2018, 'An IBNR–RBNS insurance risk model with marked Poisson arrivals', *Insurance: Mathematics and Economics*, 79, pp. 26 - 42, http://dx.doi.org/10.1016/j.insmatheco.2017.12.004

2018, 'A note on a Lévy insurance risk model under periodic dividend decisions', *Journal of Industrial and Management Optimization*, 14, pp. 35 - 63, http://dx.doi.org/10.3934/jimo.2017036

2018, 'On the compound Poisson risk model with periodic capital injections', *ASTIN Bulletin*, 48, pp. 435 - 477, http://dx.doi.org/10.1017/asb.2017.22

2017, 'Lévy insurance risk process with Poissonian taxation', *Scandinavian Actuarial Journal*, 2017, pp. 51 - 87

2017, 'On the dual risk model with Parisian implementation delays in dividend payments', *European Journal of Operational Research*, 257, pp. 159 - 173

2016, 'On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes', *Scandinavian Actuarial Journal*, 2016, pp. 63 - 91

2016, 'On the joint analysis of the total discounted payments to policyholders and shareholders: threshold dividend strategy', *Annals of Actuarial Science*, 10, pp. 236 - 269

2016, 'The Markov additive risk process under an Erlangized dividend barrier strategy', *Methodology and Computing in Applied Probability*, 18, pp. 275 - 275

2015, 'On a bivariate risk process with a dividend barrier strategy', *Annals of Actuarial Science*, 9, pp. 3 - 35

2015, 'On the joint analysis of the total discounted payments to policyholders and shareholders: dividend barrier strategy', *Risks*, 3, pp. 491 - 514

2015, 'On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps', *Insurance: Mathematics and Economics*, 65, pp. 280 - 290

2014, 'On a Gerber–Shiu type function and its applications in a dual semi-Markovian risk model', *Applied Mathematics and Computation*, 247, pp. 1183 - 1201

2014, 'On the expected discounted dividends in the Cramér–Lundberg risk model with more frequent ruin monitoring than dividend decisions', *Insurance: Mathematics and Economics*, 59, pp. 121 - 132

2013, 'On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency', *Insurance: Mathematics and Economics*, pp. 98 - 113, http://dx.doi.org/10.1016/j.insmatheco.2012.10.008

2013, 'A note on discounted compound renewal sums under dependency', *Insurance: Mathematics and Economics*, 52, pp. 170 - 179

2013, 'A unified analysis of claim costs up to ruin in a Markovian arrival risk model', *Insurance: Mathematics and Economics*, 53, pp. 98 - 109

2013, 'Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times', *Insurance: Mathematics and Economics*, 53, pp. 343 - 354

2013, 'Randomized observation periods for the compound Poisson risk model: the discounted penalty function', *Scandinavian Actuarial Journal*, 2013, pp. 424 - 452

2012, 'A unifying approach to the analysis of business with random gains', *Scandinavian Actuarial Journal*, 2012, pp. 153 - 182

2012, 'On a risk model with surplus-dependent premium and tax rates', *Methodology and Computing in Applied Probability*, 14, pp. 233 - 251

2012, 'Recursive methods for a multi-dimensional risk process with common shocks', *Insurance: Mathematics and Economics*, 50, pp. 109 - 120

2011, 'A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium', *Insurance: Mathematics and Economics*, 48, pp. 384 - 397

2011, 'A two-dimensional risk model with proportional reinsurance', *Journal of Applied Probability*, 48, pp. 749 - 765

2011, 'On a class of stochastic models with two-sided jumps', *Queueing Systems*, 69, pp. 1 - 1

2011, 'On a generalization of the risk model with Markovian claim arrivals', *Stochastic models*, 27, pp. 407 - 430

2011, 'On orderings and bounds in a generalized Sparre Andersen risk model', *Applied Stochastic Models in Business and Industry*, 27, pp. 51 - 60

2011, 'Randomized observation periods for the compound Poisson risk model: dividends', *ASTIN Bulletin: The Journal of the IAA*, 41, pp. 645 - 672

2010, 'A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model', *Insurance: Mathematics and Economics*, 46, pp. 127 - 134

2010, 'Gerber–Shiu analysis with a generalized penalty function', *Scandinavian Actuarial Journal*, 2010, pp. 185 - 199

2010, 'Structural properties of Gerber–Shiu functions in dependent Sparre Andersen models', *Insurance: Mathematics and Economics*, 46, pp. 117 - 126

2009, 'Analysis of a generalized penalty function in a semi-Markovian risk model', *North American Actuarial Journal*, 13, pp. 497 - 513

2009, 'Dependent risk models with bivariate phase-type distributions', *Journal of Applied Probability*, 46, pp. 113 - 131

2009, 'Perturbed MAP risk models with dividend barrier strategies', *Journal of Applied Probability*, 46, pp. 521 - 541

2008, 'Dividend moments in the dual risk model: exact and approximate approaches', *ASTIN Bulletin: The Journal of the IAA*, 38, pp. 399 - 422

2008, 'Moments of discounted dividends for a threshold strategy in the compound Poisson risk model', *North American Actuarial Journal*, 12, pp. 299 - 318