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

## 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: