Manuel Morales, Ph.D.

Associate Professor

## Publications

On the Time-value of Ruin for a Markov-additive Risk Process.Computing the finite-time expected discounted penalty function for a family of Levy risk processes.

On the Price of Risk of the Underlying Markov Chain in a Regime-switching Exponential Levy Model.

Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator.

## Conference Presentations

35th Conference on Stochastic Processes and their Applications. Oaxaca, Mexico (June 19-25, 2011)15th International Congress on Insurance: Mathematics and Economics. University of Trieste, Trieste, Italy (June 14-17, 2011)

5th Brazilian Conference on Statistical Modelling in Insurance and Finance Maresias, Brazil (April 10-15, 2011)

## Projects

MITACS Finsurance ProjectLévy Risk Processes

Econophysics

## My Students

Maciej AugustyniakZyed Ben Salah

Raymond Elmahdaoui

Ionica Groparu

Romuald Momeya

Hassan Omidi

## Journals

Insurance: Mathematics and EconomicsNorth American Actuarial Journal

Scandinavian Actuarial Journal

ASTIN Buletin

Finance and Stochastics

Mathematical Finance

Mathematical and Financial Economics

## Links

ISM Research Group in Finance and InsuranceCentre de Recherches Mathématiques

MITACS Seminar in Montreal

NSERC

FQRNT

MITACS

## Conference Presentations

Finance Seminar at the University of Michigan, Invited talk. Ann Arbor, Michigan. (2012).10th International Conference on Operations Research, Invited talk. La Habana, Cuba. (2012).

Actuarial Seminar at the University of Trieste, Invited talk. On the Ruin Problem for Levy Risk Processes: An Overview Trieste, Italy. (2011).

35th Conference on Stochastic Processes and their Applications, Special Session. Insurance Mathematics. Oaxaca, Mexico. (2011).

15th International Congress on Insurance: Mathematics and Economics, Contributed talk. On the Time-value of Ruin for a Markov-additive Process. Trieste, Italy. (2011).

2nd Actuarial Day of the University of Piraeus, Invited talk. Piraeus, Greece. (2011).

5th Brazilian Conference on Statistical Modelling in Insurance and Finance, Invited talk. Maresias, Brazil. (2011).

Actuarial Risk Conference, Invited talk. CIMAT. Guanajuato, Mexico. (2011).

38th Annual Meeting of the Statistical Society of Canada, Invited talk. On the Ruin Problem for Two New Levy Insurance Risk Processes. Quebec, Canada. (2010).

3rd International Gerber-Shiu Workshop, Invited talk. On a finite-time Gerber-Shiu Function and its Applications. Waterloo, Canada. (2010).

14th Congress on Insurance Mathematics and Economics, Contributed talk. Computing the Finite-time Expected Discounted Penalty Function for Three Examples of Levy Risk Processes. Toronto, Canada. (2010).

13th Congress on Insurance Mathematics and Economics, Contributed talk. On Risk Measures Defined on the Space of Sequences. Istanbul, Turkey. (2009).

4th Brazilian Conference on Statistical Modelling in Insurance and Finance. Contributed talk. On the Expected Discounted Penalty Function for a Risk Model Perturbed by a Spectrally Negative Levy Processes. Maresias, Brasil. (2009).

5th Conference on Actuarial Science and Finance, Contributed talk. On the expected discounted penalty function of three ruin-related random variables in a general levy risk model. Samos, Greece. (2008).

12th Congress on Insurance Mathematics and Economics, Contributed talk. On the Expected Discounted Penalty Function of Three Ruin-related random Variables in a General Levy Risk Model. Dalian, Chine. (2008).

2nd Workshop on Gerber-Shiu Functions, Radon Institute for Computational and Applied Mathematics, Austrian Academy of Sciences. Invited talk. On the Expected Discounted Penalty Function of Three Ruin-related random Variables in a General Levy Risk Model. Linz, Austria (2008).

Optimization Days of the Canadian Operational Research Society, Université Laval, Invited talk. On the Expected Discounted Penalty Function for a Risk Model Driven by a Spectrally Negative Levy Process. Quebec City, Canada. (2008).

Special Seminar: Jornada de actualizacion en actuaria, Instituto Tecnologico Autonomo de Mexico, ITAM. Invited talk. An Introduction to Arbitrage Theory. Mexico City. (2008).

11th Congress on Insurance Mathematics and Economics, Contributed talk. Constructing Implied Binomial Trees from a Predetermined Stationary Density. Piraeus, Greece. (2007).

Special Seminar, Radon Institute for Computational and Applied Mathematics. Invited talk. Constructing Implied Binomial Trees from a Predetermined Stationary Density. Linz, Austria. (2007).

3rd Brazilian Conference on Statistical Modelling in Insurance and Finance, Contributed Talk. Constructing Implied Binomial Trees from a Predetermined Stationary Density. Maresias, Brasil. (2007).

10th Congress on Insurance Mathematics and Economics, Contributed Talk. On the expected discounted penalty function for Levy risk processes. Leuven, Belgique. (2006).

4rd Conference on Actuarial Science and Finance, Contributed Talk. On the expected discounted penalty function for a perturbed risk process driven by a subordinator. Samos, Greece. (2006).

7th Hellenic European Conference on Computer Mathematics and its Applications. Invited Talk. On Generalized Risk Models, Lévy Processes and the Discounted Penalty Function: Some Numerical Aspects. Athens, Greece. (2005).

40th Actuarial Research Conference. On the expected discounted penalty function in Levy risk processes. Contributed Talk. Mexico City, Mexico. (2005).

9th Congress on Insurance Mathematics and Economics, Contributed Talk. On the expected discounted penalty function for Generalized Inverse Gaussian risk processes. Québec, Canada. (2005).

2nd Brazilian Conference on Statistical Modeling in Insurance and Finance, Contributed Talk. Numerical Stop-loss Premiums for General Risk Models. Maresias, Brasil. (2005).

3rd Conference on Actuarial Science and Finance, Contributed Talk. Risk theory with the Generalized Inverse Gaussian risk process. Samos, Greece. (2004).

7th Congress on Insurance Mathematics and Economics, Contributed Talk. A risk model driven by Lévy processes. Lyon, France. (2003).

6th Congress on Insurance Mathematics and Economics, Contributed Talk. On a periodic risk reserve process: a simulation approach. Lisbon, Portugal. (2002).

My research has been funded by: