Publications
2024
Extreme analysis of typhoons disaster in mainland China with insurance management
Hu, K., Wang, R., Xu, J., Constantinescu, C., Chen, Y., & Ling, C. (2024). Extreme analysis of typhoons disaster in mainland China with insurance management. International Journal of Disaster Risk Reduction, 106, 104411. doi:10.1016/j.ijdrr.2024.104411
A stochastic model of group wealth responses to insurance mechanisms in low-income communities
Henshaw, K., Mandjes, M., & Constantinescu, C. (n.d.). A stochastic model of group wealth responses to insurance mechanisms in low-income communities. Scandinavian Actuarial Journal. doi:10.1080/03461238.2023.2251197
Ruin Probabilities with a Risk Management Perspective
Wang, J. (2024, January 26). Ruin Probabilities with a Risk Management Perspective.
Subsidizing Inclusive Insurance to Reduce Poverty
Flores-Contró, J. M., Henshaw, K., Loke, S. -H., Arnold, S., & Constantinescu, C. (n.d.). Subsidizing Inclusive Insurance to Reduce Poverty. North American Actuarial Journal, 1-30. doi:10.1080/10920277.2024.2311673
2023
CAS Research Review Q&A: Analysis of The Current Saudi Arabian No-Claim Discount System
Alyafie, A., Constantinescu, C., & Yslas, J. (2023). CAS Research Review Q&A: Analysis of The Current Saudi Arabian No-Claim Discount System. [The Casualty Actuarial Society Roundtable]. Retrieved from https://blog.casact.org/
An Analysis of the Current Saudi Arabian No-Claim Discount System and Its Adaptability For Novice Women Drivers
Alyafie, A., Constantinescu, C., & Yslas Altamirano, J. (2023). An Analysis of the Current Saudi Arabian No-Claim Discount Systemand Its Adaptability For Novice Women Drivers. CAS E-Forum.
Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process
Baran, S., Constantinescu, C., & Palmowski, Z. (n.d.). Asymptototic Expected Utility of Dividend Payments in a Classical Collective Risk Process. Risks, 11(4), 64. doi:10.3390/risks11040064
Continuing <i>Risks</i>
Constantinescu, C., Guillen, M., & Steffensen, M. (2023). Continuing <i>Risks</i>. RISKS, 11(1). doi:10.3390/risks11010010
Dependence Modelling of Lifetimes in Egyptian Families
Henshaw, K., Hana, W., Constantinescu, C., & Khalil, D. (n.d.). Dependence Modelling of Lifetimes in Egyptian Families. Risks, 11(1), 18. doi:10.3390/risks11010018
2022
Effect of Stop-Loss Reinsurance on Primary Insurer Solvency
Constantinescu, C., Dias, A., Li, B., Šiška, D., & Wang, S. (n.d.). Effect of Stop-Loss Reinsurance on Primary Insurer Solvency. Risks, 10(10), 193. doi:10.3390/risks10100193
An application of risk theory to mortgage lending
Akahori, J., Constantinescu, C., Imamura, Y., & Pham, H. (2022). An application of risk theory to mortgage lending. Scandinavian Actuarial Journal, 2022(5), 447-469. doi:10.1080/03461238.2021.1995781
First passage times over stochastic boundaries for subdiffusive processes
Constantinescu, C., Loeffen, R., & Patie, P. (n.d.). First passage times over stochastic boundaries for subdiffusive processes. Transactions of the American Mathematical Society, 375(3), 1629-1652. doi:10.1090/tran/8534
2021
On the risk of credibility premium rules
Asmussen, S., Constantinescu, C., & Thogersen, J. (2021). On the risk of credibility premium rules. SCANDINAVIAN ACTUARIAL JOURNAL, 2021(10), 866-889. doi:10.1080/03461238.2021.1895298
Special Issue “Interplay between Financial and Actuarial Mathematics”
Constantinescu, C., & Eisenberg, J. (2021). Special Issue "Interplay between Financial and Actuarial Mathematics". RISKS, 9(8). doi:10.3390/risks9080139
On the risk consistency and monotonicity of ruin theory
Assa, H., & Constantinescu, C. (2021). On the risk consistency and monotonicity of ruin theory. European Actuarial Journal. doi:10.1007/s13385-021-00272-3
A Machine Learning Approach for Micro-Credit Scoring
Ampountolas, A., Nyarko Nde, T., Date, P., & Constantinescu, C. (2021). A Machine Learning Approach for Micro-Credit Scoring. RISKS, 9(3). doi:10.3390/risks9030050
How much we gain by surplus-dependent premiums -- asymptotic analysis of ruin probability
Wang, J., Palmowski, Z., & Constantinescu, C. (2021). How Much We Gain by Surplus-Dependent Premiums-Asymptotic Analysis of Ruin Probability. RISKS, 9(9). doi:10.3390/risks9090157
Rethinking Flood Risk Management
Henshaw, K., & Constantinescu, C. (2021). Rethinking Flood Risk Management. [Environment Journal online]. Retrieved from https://environmentjournal.online/articles/rethinking-flood-risk-management/
2020
ON FLOOD RISK MANAGEMENT ACROSS SOCIO-ECONOMIC ENVIRONMENTS
Ni, W., Henshaw, K., Zhu, W., Wang, J., Hu, M., & Constantinescu, C. (2020). ON FLOOD RISK MANAGEMENT ACROSS SOCIO-ECONOMIC ENVIRONMENTS. ANALES DEL INSTITUTO DE ACTUARIOS ESPANOLES, (26), 71-102. doi:10.26360/2020_4
First Quarter Chronicle of COVID-19: An Attempt to Measure Governments’ Responses
Şahin, Ş., Boado-Penas, M. D. C., Constantinescu, C., Eisenberg, J., Henshaw, K., Hu, M., . . . Zhu, W. (n.d.). First Quarter Chronicle of COVID-19: An Attempt to Measure Governments’ Responses. Risks, 8(4), 115. doi:10.3390/risks8040115
Lonely hearts: the effect of spousal death on mortality
Henshaw, K., Constantinescu, C., & Menoukeu Pamen, O. (2020). Lonely hearts: the effect of spousal death on mortality. [The Actuary Magazine]. Retrieved from https://www.theactuary.com/
Itô calculus for Cramér-Lundberg model
Akahori, J., Constantinescu, C., & Miyagi, K. (2020). Itô calculus for Cramér-Lundberg model. JSIAM Letters, 12(0), 25-28. doi:10.14495/jsiaml.12.25
Dynamics of drainage under stochastic rainfall in river networks
Ramirez, J. M., & Constantinescu, C. (2020). Dynamics of drainage under stochastic rainfall in river networks. Stochastics and Dynamics. doi:10.1142/S0219493720500422
Stochastic Mortality Modelling for Dependent Coupled Lives
Henshaw, K., Constantinescu, C., & Menoukeu Pamen, O. (n.d.). Stochastic Mortality Modelling for Dependent Coupled Lives. Risks, 8(1), 17. doi:10.3390/risks8010017
2019
An application of fractional differential equations to risk theory
Constantinescu-Loeffen, D. C., Ramirez, J. M., & Zhu, W. (2019). An application of fractional differential equations to risk theory. Finance and Stochastics, 23, 1001-1024. doi:10.1007/s00780-019-00400-8
A ruin model with a resampled environment
Constantinescu, C., Delsing, G., Mandjes, M., & Nandayapa, L. R. (2020). A ruin model with a resampled environment. SCANDINAVIAN ACTUARIAL JOURNAL, 2020(4), 323-341. doi:10.1080/03461238.2019.1667424
Probability of ruin in discrete insurance risk model with dependent Pareto claims
Constantinescu, C. D., Kozubowski, T. J., & Qian, H. H. (2019). Probability of ruin in discrete insurance risk model with dependent Pareto claims. DEPENDENCE MODELING, 7(1), 215-233. doi:10.1515/demo-2019-0011
Ruin Probability in Dependent Risk Models
Qian, H. (2019). Ruin Probability in Dependent Risk Models. (University of Liverpool).
2018
Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation
Guo, C., Zhuo, X., Constantinescu, C., & Pamen, O. M. (2018). Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 20(4), 1477-1502. doi:10.1007/s11009-018-9630-7
Foreword by the Guest Editors of the RARE special issue
Constantinescu, C., Hashorva, E., & Kratz, M. (2018). Foreword by the Guest Editors of the RARE special issue. ANNALS OF ACTUARIAL SCIENCE, 12(2), 209-210. doi:10.1017/S1748499518000246
Ruin probabilities in classical risk models with gamma claims
Constantinescu, D. C., Samorodnitsky, G., & Zhu, W. E. I. (2018). Ruin probabilities in classical risk models with gamma claims. Scandinavian Actuarial Journal, 2018(7), 555-575. doi:10.1080/03461238.2017.1402817
Fractional Differential Equations in Risk Theory
Zhu, W. (2018). Fractional Differential Equations in Risk Theory. (University of Liverpool).
2016
Ruin Probabilities with Dependence on the Number of Claims within a Fixed Time Window
Constantinescu, C., Dai, S., Ni, W., & Palmowski, Z. (2016). Ruin Probabilities with Dependence on the Number of Claims within a Fixed Time Window. RISKS, 4(2). doi:10.3390/risks4020017
Bonus-malus in insurance portfolios
Ni, W. (2016). Bonus-malus in insurance portfolios. (PhD Thesis, University of Liverpool).
2015
Risk models with premiums adjusted to claims number
Li, B., Ni, W., & Constantinescu, C. (2015). Risk models with premiums adjusted to claims number. Insurance: Mathematics and Economics, 65, 94-102. doi:10.1016/j.insmatheco.2015.09.001
2014
Bonus–Malus systems with Weibull distributed claim severities
Ni, W., Constantinescu, C., & Pantelous, A. A. (2014). Bonus–Malus systems with Weibull distributed claim severities. Annals of Actuarial Science, 8(02), 217-233. doi:10.1017/S1748499514000062
Bonus-Malus Systems with Hybrid Claim Severity Distributions
Ni, W., Li, B., Constantinescu, C., & Pantelous, A. A. (2014). Bonus-Malus Systems with Hybrid Claim Severity Distributions. In Vulnerability, Uncertainty, and Risk Vol. 31 (pp. 1234-1244). American Society of Civil Engineers. doi:10.1061/9780784413609.124
'The tax identity for Markov additive risk processes'
Albrecher, H., Avram, F., Constantinescu, C., & Ivanovs, J. (2014). 'The tax identity for Markov additive risk processes'. Methodology and Computing in Applied Probability, 16, 245-258. doi:10.1007/s11009-012-9310-y
2013
Ruin Theory Starter Kit #1
Constantinescu, C., & Lo, J. (2013). Ruin Theory Starter Kit #1. In GIRO40 Shaping our future: evolve or revolve? (pp. 3-13). Edinburgh: Institute and Faculty of Actuaries.
Ruin probabilities in models with a Markov chain dependence structure
Constantinescu, C., Kortschak, D., & Maume-Deschamps, V. (2013). Ruin probabilities in models with a Markov chain dependence structure. SCANDINAVIAN ACTUARIAL JOURNAL, 2013(6), 453-476. doi:10.1080/03461238.2011.627745
2012
Asymptotic results for renewal risk models with risky investments
Albrecher, H., Constantinescu, C., & Thomann, E. (2012). Asymptotic results for renewal risk models with risky investments. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 122(11), 3767-3789. doi:10.1016/j.spa.2012.05.017
Risk processes with dependence and premium adjusted to solvency targets
Constantinescu, C., Maume-Deschamps, V., & Norberg, R. (2012). Risk processes with dependence and premium adjusted to solvency targets. European Actuarial Journal, 2(1), 1-20. doi:10.1007/s13385-012-0046-4
2011
Archimedean copulas in finite and infinite dimensions-with application to ruin problems
Constantinescu, C., Hashorva, E., & Ji, L. (2011). Archimedean copulas in finite and infinite dimensions-with application to ruin problems. INSURANCE MATHEMATICS & ECONOMICS, 49(3), 487-495. doi:10.1016/j.insmatheco.2011.08.006
Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums
Albrecher, H., Constantinescu, C., Palmowski, Z., Regensburger, G., & Rosenkranz, M. (2013). EXACT AND ASYMPTOTIC RESULTS FOR INSURANCE RISK MODELS WITH SURPLUS-DEPENDENT PREMIUMS. SIAM JOURNAL ON APPLIED MATHEMATICS, 73(1), 47-66. doi:10.1137/110852000
Explicit ruin formulas for models with dependence among risks
Albrechera, H., Constantinescu, C., & Loisel, S. (2011). Explicit ruin formulas for models with dependence among risks. INSURANCE MATHEMATICS & ECONOMICS, 48(2), 265-270. doi:10.1016/j.insmatheco.2010.11.007
2010
An algebraic operator approach to the analysis of Gerber-Shiu functions
Albrecher, H., Constantinescu, C., Pirsic, G., Regensburger, G., & Rosenkranz, M. (2010). An algebraic operator approach to the analysis of Gerber-Shiu functions. INSURANCE MATHEMATICS & ECONOMICS, 46(1), 42-51. doi:10.1016/j.insmatheco.2009.02.002
Editorial for the special issue on Gerber-Shiu functions
Albrecher, H., Constantinescu, C., & Garrido, J. (2010). Editorial for the special issue on Gerber-Shiu functions. INSURANCE MATHEMATICS & ECONOMICS, 46(1), 1-2. doi:10.1016/j.insmatheco.2009.10.004
'About ruin theory'
Constantinescu, C. (2010). 'About ruin theory'. [Paper].