Probability and Risk Models

Field	Decision Sciences
Subfield	Management Science and Operations Research
Domain	Social Sciences
OpenAlex	T11720

Smeal faculty

• Zhongyi Yuan - score 9.0
• Arnold F. Shapiro - score 3.0

Papers

• Randomly weighted sums of subexponential random variables with application to capital allocation (2014) - cites 101
• Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation (2013) - cites 35
• A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks (2017) - cites 22
• A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization (2012) - cites 22
• A limit distribution of credit portfolio losses with low default probabilities (2017) - cites 17
• Robust Actuarial Risk Analysis (2019) - cites 14
• The loss given default of a low-default portfolio with weak contagion (2015) - cites 10
• Applications of Operations-Research Techniques in Insurance (1986) - cites 6
• A Stochastic Model for Determining the Contingency Charge in Group Life Insurance (1976) - cites 5
• Using fuzzy logic to interpret dependent risks (2018) - cites 5
• An asymptotic characterization of hidden tail credit risk with actuarial applications (2017) - cites 4
• Quantitative analysis of extreme risks in insurance and finance (2013) - cites 1