Monday 05th of December 2016
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.

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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)

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Projects

MITACS Finsurance Project
Lévy Risk Processes
Econophysics


My Students

Maciej Augustyniak
Zyed Ben Salah
Raymond Elmahdaoui
Ionica Groparu
Romuald Momeya
Hassan Omidi

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Journals

Insurance: Mathematics and Economics
North American Actuarial Journal
Scandinavian Actuarial Journal
ASTIN Buletin
Finance and Stochastics
Mathematical Finance
Mathematical and Financial Economics


Links

ISM Research Group in Finance and Insurance
Centre de Recherches Mathématiques
MITACS Seminar in Montreal
NSERC
FQRNT
MITACS

Publications

On the Time-value of Ruin for a Markov-additive Risk Process. Ben Salah, Z. and Morales, M. (2012). To Appear in European Actuarial Journal.

Computing the finite-time expected discounted penalty function for a family of Levy risk processes. Kuznetsov, A. and Morales, M. (2011). To Appear in: Scandinavian Actuarial Journal.

Contingent Claim Pricing Using a Normal Inverse Gaussian Probability Distortion Operator. Godin, F.; Mayoral, S. and Morales, M. (2011). Working Paper CRM-3290. To Appear in: Journal of Risk and Insurance.

On the Price of Risk of the Underlying Markov Chain in a Regime-switching Exponential Levy Model. Momeya, R. and Morales, M. (2010). Working Paper CRM-3303.

Risk Measures on the Space of Infinite Sequences. Assa, H. and Morales, M. (2010). Mathematics and Financial Economics.

On a Generalization of the Gerber-Shiu Function to Path-dependent Penalties. Biffis, E. and Morales, M. (2009). Insurance: Mathematics and Economics.

On the Expected Discounted Penalty Function for Risk Process Driven by a Spectrally Negative Levy Process. Morales, M. and Olivares, P. (2009). Working Paper CRM-3296.

Fourier Inversion Formulas in Option Pricing and Insurance. Dufresne, D.; Garrido, J. and Morales, M. (2009). Methodology and Computing in Applied Probability. (11)3. pp. 359-383.

Random Dynamics and Finance: Constructing Implied Binomial Trees from a Predetermined Stationary Density. Bahsoun, W.; Gora, P.; Mayoral, S. and Morales M. (2007). Journal of Applied Stochastic Models in Business and Industry. (23)3 . pp. 181-212.

Implementing Importance Sampling in the Least-Squares Monte-Carlo Aproach for American Options. Morales, M. (2006). HERMIS International Journal. On-line.

On the Expected Discounted Penalty Function for a Perturbed Risk Process Driven by a Subordinator. Morales, M. (2007). Insurance: Mathematics and Economics.(40)2. pp. 293-301.

On the Expected Discounted Penalty Function for Levy Risk Processes. Garrido, J. and Morales, M. (2006). North American Actuarial Journal.(10)4. pp. 196-217.

Risk Theory with the Generalized Inverse Gaussian Levy Process. Morales, M. (2004). ASTIN Bulletin.(34)2. pp. 361-377.

On a Surplus Process under a Periodic Environment: A Simulation Approach. Morales, M. (2004). North American Actuarial Journal.(8)4. pp. 76-89.

On an Approximation for the Surplus Process Using Extreme Value Theory: Applications in Reinsurance. Morales, M. (2004). North American Actuarial Journal.(8)3. pp. 46-66.

A Risk Model Driven by Levy Processes. Morales, M. and Schoutens, W. (2003). Journal of Applied Stochastic Models in Business and Industry.(19). pp.147-167.






My research has been funded by: