Publications:

• with Edoardo Luini:
  Density Estimation of Multivariate Samples using Wasserstein Distance
  Journal of Statistical Computation and Simulation, 88(16), 2019, 3193-3216, publication, preprint, 

• with Mathieu Cambou, Marius Hofert, Christiane Lemieux, Yoshihiro Taniguchi:
  Importance Sampling and Stratification for Copula Models.
  In: Dick J., Kuo F., Woźniakowski H. (Editors) Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan. Springer, 2018, 75-96, preprint, old version

• with Claire Hugo:
  Intelligent Machines - Risks and Opportunities for (Re)insurance
  SCOR technical newsletter #42, 2018, pdf, Presentation, press release

• with William Guevara-Alarcón:
  Piecewise Linear Approximation of Empirical Distributions under a Wasserstein Distance Constraint
  Journal of Statistical Computation and Simulation, 88(16), 2018,
  Preprint, Presentation, Python code, final publication

• with William Guevara-Alarcón:
  Risk Measure Preserving Piecewise Linear Approximation of Empirical Distributions
  European Actuarial Journal, 6(1), 2016, 113-148,
  Preprint, Presentation (Long), Presentation (Short), Code (Python), Code (C++), R Code: (Source, Install Instructions, Windows Binaries, Source on GitHub), Final Publication (pdf), Final Publication (web view)

• with Robert Salzmann:
  On a combination of multiplicative and additive stochastic loss reserving methods
  CAS E-Forum, Summer 2014. Publication, preprint, Presentation, Excel implementation

• Bayesian Copulae Distributions, with Application to Operational Risk Management - Some Comments
  Methodology and Computing in Applied Probability, 15(1), 2013, 105-108. paper on springerlink.com

• Multivariate Modelling in Non-Life Insurance
  Dissertation for the Doctor of Sciences, ETH Zurich, 2012, pdf

• with Christoph Hummel, Georg Mainik:
  Copula based hierarchical risk aggregation through sample reordering
  Insurance: Mathematics and Economics, 51(1), 2012, 122-133.
  preprint, presentation, MatLab example code, R example code, Paper on Convergence (G Mainik),  related Master thesis

• with Davide Canestraro:
  Estimating Copulas for Insurance from Scarce Observations, Expert Opinion and Prior Information: A Bayesian Approach
  ASTIN Bulletin, 42(1), 2012, 271-290. preprint, Presentation, SCOR PrObEx Paper, SCOR PrObEx Leaflet, SCOR PrObEx Summary Chapter  

• with Paul Embrechts, Giovanni Puccetti:
  The GAEP Algorithm for the Fast Computation of the Distribution of a Function of Dependent Random Variables
  Stochastics, 84(5-6), 2012, 569-597. preprint

• with Paul Embrechts, Giovanni Puccetti:
  The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
  Bernoulli, 17(2), 2011, 562-591. preprint, preprint on arXiv.