Vali Asimit

Vali Asimit joined Cass in January 2011 as a Lecturer in Actuarial Science. Previously, he had been a Lecturer in Actuarial Science at the University of Manchester for two years. Vali had studied Economics at the Academy of Economic Studies, Bucharest, Romania. He has an MSc in Statistics from the University of Western Ontario, Canada. He pursued his doctoral research on "Dependence Modelling with Applications in Finance and Insurance" at the University of Western Ontario. As part of his academic work he has published and acted as referee for international statistical and actuarial journals. Vali received the 2010 Fortis Award for the best Insurance: Mathematics and Economics (IME) journal paper presented at the 14th International Congress of IME.

Qualifications

• PhD in Actuarial Science, University of Western Ontario, London, Canada, Sep 2003 – Dec 2007
• MSc in Actuarial Science, University of Western Ontario, London, Canada, Sep 2002 – Aug 2003

Award

K.U.Leuven (2010) Fortis Chair Award The 2010 Fortis Chair Award is given to the best Insurance: Mathematics & Economics (IME) journal paper presented at the 14th International Congress of IME (Toronto, Canada)

Expertise

Primary Topics

• Actuarial Science
• Actuarial Statistics
• Econometric & Statistical Methods
• Mathematical & Quantitative Methods
• Portfolio Choice
• Risk ModellingStatistics

Additional Topics

• Non-life Insurance
• Probability Theory
• ReinsuranceRisk Management

Research

Estimation of extreme events with applications in finance and actuarial science were the focus of my previous research.

Research Topics

• Optimal Risk Transfers
• Optimal Investment under Solvency II
• Robust decision-making

Conference Papers and Proceedings (19)

• Asimit, A., Gao, T., Hu, J. and Kim, E. (2016). Numerical Optimisation for Actuarial Applications. 51st Actuarial Research Conference Minneapolis, USA.
• Asimit, A.V., Badescu, A., Siu, T. and Zinchenko, Y. (2011). Optimal Investment for an Insurance Company. Insurance: Mathematics and Economics Annual Meeting Trieste, Italy.
• Asimit, A.V., Badescu, A. and Tsanakas, A. (2011). Intra-Group Risk Transfers and Regulatory Arbitrage. Financial Services Authority Seminar London, UK.
• Asimit, V., Furman, E., Tang, Q. and Vernic, R. (2010). Asymptotic Approximations of the CTE Capital Allocations. 14th International Congress on Insurance: Mathematics and Economics (IME: 2010) 17-19 June, University of Toronto, Canada.
• Asimit, V., Badescu, A. and Siu, K. (2010). Optimal Investment for an Insurance Company. Actuarial Teaching and Research Conference Manchester, UK.
• Asimit, V., Badescu, A. and Siu, K. (2010). Optimal Investment for an Insurance Company. Cass Business School, City University London, UK.
• Asimit, V., Badescu, A. and Jones, B. (2010). Solvency Capital Requirement via Extreme Value Theory. Dept. of Mathematics, University of Leicester Leicester, UK.
• Asimit, V., Badescu, A. and Jones, B. (2010). Solvency Capital Requirement via Extreme Value Theory. Dept. of of Mathematical Sciences, University of Liverool Liverpool, UK.
• Asimit, V. and Badescu, A. (2009). Extremes on the Discounted Aggregate Claims in a time Dependent Model. Dept. of Statistical & Actuarial Sciences, University of Western Ontario London, Ontario, Canada.
• Asimit, V. and Jones, B. (2008). Asymptotic Tail Probabilities for Large Claims Reinsurance of a Portfolio of Dependent Risks. Dept. of Statistics, University of Toronto Toronto, Ontario, Canada.
• Asimit, V. and Jones, B. (2008). Dependence and the Asymptotic Behaviour of Large Claims Reinsurance. Dept. of Mathematics and Statistics, University of Toronto Toronto, Ontario, Canada.
• Asimit, V. and Jones, B. (2008). Dependence and the Asymptotic Behaviour of Large Claims Reinsurance. Statistical Society of Canada Annual Meeting Ottawa, Ontario, Canada.
• Asimit, V. and Badescu, A. (2008). Extremes on the Discounted Aggregate Claims in a time Dependent Model. Copula Models : Theory and Applications Quebec City, Quebec, Canada.
• Asimit, V., Badescu, A. and Jones, B. (2008). Solvency Capital Requirement Via Extreme Value Theory. Dept. of Statistics and Actuarial Science, University of Waterloo Waterloo, Ontario, Canada.
• Asimit, V. and Jones, B. (2007). Asymptotic Tail Probabilities for Sums of Dependent Random Variables. Dept. of Statistics and Actuarial Science, University of Waterloo Waterloo, Ontario, Canada.
• Asimit, V. and Jones, B. (2007). Extreme Behaviour of Bivariate Elliptical Distributions. Insurance: Mathematics and Economics Annual Meeting Piraeus, Greece.
• Asimit, V. and Jones, B. (2006). Extreme Behaviour of Multivariate Phase-Type Distributions. Actuarial Research Conference Montreal, Quebec, Canada.
• Asimit, V. and Jones, B. (2006). Extreme Behaviour of Multivariate Phase-Type Distributions. Insurance: Mathematics and Economics Annual Meeting Leuven, Belgium.
• Asimit, V. and Jones, B. (2006). On the Extreme Behaviour of Continuous Bivariate Elliptical Distributions. Statistical Society of Canada Annual Meeting London, Ontario, Canada.

Journal Articles (25)

• Asimit, A.V., Bignozzi, V., Cheung, K.C., Hu, J. and Kim, E.S. (2017). Robust and Pareto optimality of insurance contracts. European Journal of Operational Research, 262(2), pp. 720–732. doi:10.1016/j.ejor.2017.04.029.
• Asimit, A.V., Hashorva, E. and Kortschak, D. (2017). Aggregation of randomly weighted large risks. IMA Journal of Management Mathematics, 28(3), pp. 403–419. doi:10.1093/imaman/dpv020.
• Asimit, A.V., Hashorva, E. and Kortschak, D. (2017). Tail asymptotics of randomly weighted large risks. .
• Asimit, A.V. and Li, J. (2016). Extremes for coherent risk measures. Insurance: Mathematics and Economics, 71, pp. 332–341. doi:10.1016/j.insmatheco.2016.10.003.
• Asimit, A.V., Gerrard, R., Hou, Y. and Peng, L. (2016). Tail dependence measure for examining financial extreme co-movements. Journal of Econometrics, 194(2), pp. 330–348. doi:10.1016/j.jeconom.2016.05.011.
• Asimit, A.V., Vernic, R. and Zitikis, R. (2016). Background Risk Models and Stepwise Portfolio Construction. Methodology and Computing in Applied Probability, 18(3), pp. 805–827. doi:10.1007/s11009-015-9458-3.
• Asimit, A.V., Furman, E. and Vernic, R. (2016). Statistical Inference for a New Class of Multivariate Pareto Distributions. Communications in Statistics: Simulation and Computation, 45(2), pp. 456–471. doi:10.1080/03610918.2013.861627.
• Asimit, A.V. and Gerrard, R. (2016). On the worst and least possible asymptotic dependence. Journal of Multivariate Analysis, 144, pp. 218–235. doi:10.1016/j.jmva.2015.11.004.
• Asimit, A.V., Badescu, A.M., Haberman, S. and Kim, E.S. (2016). Efficient risk allocation within a non-life insurance group under Solvency II Regime. Insurance: Mathematics and Economics, 66, pp. 69–76. doi:10.1016/j.insmatheco.2015.10.008.
• Asimit, A.V., Badescu, A.M., Siu, T.K. and Zinchenko, Y. (2015). Capital requirements and optimal investment with solvency probability constraints. IMA Journal of Management Mathematics, 26(4), pp. 345–375. doi:10.1093/imaman/dpt029.
• Asimit, A.V. and Chen, Y. (2015).

Course Directorship

• 2015 - present, MSc Actuarial Management

Editorial Activities (25)

• Applications and Applied Mathematics: An International Journal, Referee, 2015 – present.
• Journal of Business and Economics, Referee, 2015 – present.
• Applied Mathematics- A Journal of Chinese Universities, Referee, 2014 – present.
• Journal of Computational and Applied Mathematics, Referee, 2014 – present.
• Journal of Multivariate Analysis, Referee, 2014 – present.
• Methodology And Computing In Applied Probability, Referee, 2014 – present.
• Risks, Referee, 2014 – present.
• Stochastic Models, Referee, 2014 – present.
• Science China Mathematics, Referee, 2013 – present.
• Scandinavian Actuarial Journal, Referee, 2013 – present.
• Astin Bulletin, Referee, 2012 – present.
• European Actuarial Journal, Referee, 2012 – present.
• European Journal of Operational Research, Referee, 2012 – present.
• Insurance: Mathematics and Economics, Referee, 2012 – present.
• Statistics, Referee, 2012 – present.
• Applied Mathematics and Computation, Referee, 2012 – present.
• Annals of Actuarial Science, Referee, 2011 – present.
• Frontiers of Mathematics in China, Referee, 2011 – present.
• Journal of Mathematical Analysis and Applications, Referee, 2011 – present.
• Advances in Applied Probability, Referee, 2010 – present.
• Communications in Statistics – Theory and Methods, Referee, 2010 – present.
• Journal of Probability and Statistics, Referee, 2009 – present.
• Metron - International Journal of Statistics, Referee, 2009 – present.
• Test, Referee, 2008 – present.
• North American Actuarial Journal, Referee, 2007 – present.