Portrait of Professor Vali Asimit

Professor Vali Asimit

Professor of Actuarial Analytics

Bayes Business School, Faculty of Actuarial Science and Insurance

Contact

Visit Vali Asimit

Room BR5057, Bunhill Row

Postal address

Bayes Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

About

Overview

Vali Asimit joined Bayes Business School (formerly 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.

Vali is the Associate Editor of the Insurance: Mathematics and Economics journal. 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

Administrative roles

  • Founding Course Director (Programme Director) of MSc in Business Analytics Programme, Bayes Business School (formerly Cass), Sep 2017 – present
  • Course Director (Programme Director) of the MSc in Actuarial Management Programme, Bayes Business School (formerly Cass), Sep 2015 – Aug 2017

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 Statistics
  • Decision Theory
  • Econometric & Statistical Methods
  • Risk Modelling
  • Statistics

Industries

  • insurance

Research

Research topics

Optimal Risk Sharing

Robust decision-making

Robust Machine Learning

Statistical Extremes

Research students

1st supervisor

  • Junlei Hu, Research Student

Dr Feng Zhou

Attendance: Oct 2020 – present, full-time

Thesis title: The Fintuity Virtual Adviser – Revolutionising Digital Consumer Access to Financial Advice

Role: 1st Supervisor

Further information: Postdoctoral Fellow funded by an Innovate UK grant (Application number --
68184)

Runshi Wang

Attendance: Sep 2020 – present, full-time

Thesis title: Metric Learning

Role: 1st Supervisor

Further information: PhD Student

Salvatore Scognamiglio

Attendance: Jan – Nov 2019, full-time

Thesis title: Robust Classification via Support Vector Machines

Role: External Supervisor

Further information: PhD Student

Junlei Hu

Attendance: Sep 2014 – present, full-time

Thesis title: Optimal Reinsurance Design

Role: 1st Supervisor

Further information: PhD Student; Dr Junlei Hu is now a Lecturer in the Department of Mathematical Sciences, University of Essex since September 2018.

Publications

Book

  1. (2020). Machine Learning in Insurance. MDPI. ISBN 978-3-03936-447-3.

Conference papers and proceedings (19)

  1. Asimit, A., Gao, T., Hu, J. and Kim, E. (2016). Numerical Optimisation for Actuarial Applications. 51st Actuarial Research Conference Minneapolis, USA.
  2. 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.
  3. Asimit, A.V., Badescu, A. and Tsanakas, A. (2011). Intra-Group Risk Transfers and Regulatory Arbitrage. Financial Services Authority Seminar London, UK.
  4. 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.
  5. Asimit, V., Badescu, A. and Siu, K. (2010). Optimal Investment for an Insurance Company. Actuarial Teaching and Research Conference Manchester, UK.
  6. Asimit, V., Badescu, A. and Siu, K. (2010). Optimal Investment for an Insurance Company. Cass Business School, City University London, UK.
  7. Asimit, V., Badescu, A. and Jones, B. (2010). Solvency Capital Requirement via Extreme Value Theory. Dept. of Mathematics, University of Leicester Leicester, UK.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Asimit, V. and Jones, B. (2008). Dependence and the Asymptotic Behaviour of Large Claims Reinsurance. Statistical Society of Canada Annual Meeting Ottawa, Ontario, Canada.
  13. 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.
  14. 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.
  15. 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.
  16. Asimit, V. and Jones, B. (2007). Extreme Behaviour of Bivariate Elliptical Distributions. Insurance: Mathematics and Economics Annual Meeting Piraeus, Greece.
  17. Asimit, V. and Jones, B. (2006). Extreme Behaviour of Multivariate Phase-Type Distributions. Actuarial Research Conference Montreal, Quebec, Canada.
  18. Asimit, V. and Jones, B. (2006). Extreme Behaviour of Multivariate Phase-Type Distributions. Insurance: Mathematics and Economics Annual Meeting Leuven, Belgium.
  19. 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 (35)

  1. Zinchenko, Y. and Asimit, A.V. (2023). Modeling Risk for CVaR-Based Decisions in Risk Aggregation. Journal of Risk and Financial Management, 16(5), pp. 266–266. doi:10.3390/jrfm16050266.

    [publisher’s website]

  2. Asimit, A.V., Kyriakou, I., Santoni, S., Scognamiglio, S. and Zhu, R. (2022). Robust Classification via Support Vector Machines. Risks, 10(8), pp. 154–154. doi:10.3390/risks10080154.

    [publisher’s website]

  3. Asimit, A.V., Boonen, T.J., Chi, Y. and Chong, W.F. (2021). Risk Sharing with Multiple Indemnity Environments. European Journal of Operational Research, 295(2), pp. 587–603. doi:10.1016/j.ejor.2021.03.012.
  4. Asimit, A.V., Cheung, K.C., Chong, W.F. and Hu, J. (2020). Pareto-optimal insurance contracts with premium budget and minimum charge constraints. Insurance: Mathematics and Economics, 95, pp. 17–27. doi:10.1016/j.insmatheco.2020.08.001.

    [publisher’s website]

  5. Asimit, V., Kyriakou, I. and Nielsen, J.P. (2020). Special Issue “Machine Learning in Insurance”. Risks, 8(2), pp. 54–54. doi:10.3390/risks8020054.

    [publisher’s website]

  6. Asimit, V., Peng, L., Wang, R. and Yu, A. (2019). An efficient approach to quantile capital allocation and sensitivity analysis. Mathematical Finance, 29(4), pp. 1131–1156. doi:10.1111/mafi.12211.

    [publisher’s website]

  7. Asimit, A.V., Hu, J. and Xie, Y. (2019). Optimal robust insurance with a finite uncertainty set. Insurance: Mathematics and Economics, 87, pp. 67–81. doi:10.1016/j.insmatheco.2019.03.009.

    [publisher’s website]

  8. Asimit, V. and Boonen, T.J. (2018). Insurance with multiple insurers: A game-theoretic approach. European Journal of Operational Research, 267(2), pp. 778–790. doi:10.1016/j.ejor.2017.12.026.

    [publisher’s website]

  9. Asimit, A.V. and Li, J. (2018). SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION. ASTIN Bulletin, 48(02), pp. 673–698. doi:10.1017/asb.2017.38.

    [publisher’s website]

  10. Asimit, A.V. and Li, J. (2018). Measuring the Tail Risk: An Asymptotic Approach. Journal of Mathematical Analysis and Applications, 463(1), pp. 176–197. doi:10.1016/j.jmaa.2018.03.019.
  11. Asimit, A.V., Gao, T., Hu, J. and Kim, E. (2018). Optimal Risk Transfer: A Numerical Optimisation Approach. North American Actuarial Journal, 22(3), pp. 341–364. doi:10.1080/10920277.2017.1421472.

    [publisher’s website]

  12. 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.

    [publisher’s website]

  13. 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.
  14. 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.

    [publisher’s website]

  15. 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.

    [publisher’s website]

  16. 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.

    [publisher’s website]

  17. 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.

    [publisher’s website]

  18. Asimit, A.V. and Gerrard, R. (2016). On the worst and least possible asymptotic dependence. Journal of Multivariate Analysis, 144, pp. 218–234. doi:10.1016/j.jmva.2015.11.004.

    [publisher’s website]

  19. 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.

    [publisher’s website]

  20. Asimit, A.V., Chi, Y. and Hu, J. (2015). Optimal non-life reinsurance under Solvency II Regime. Insurance: Mathematics and Economics, 65, pp. 227–237. doi:10.1016/j.insmatheco.2015.09.006.

    [publisher’s website]

  21. 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.

    [publisher’s website]

  22. Asimit, A.V. and Chen, Y. (2015). Asymptotic results for conditional measures of association of a random sum. Insurance: Mathematics and Economics, 60, pp. 11–18. doi:10.1016/j.insmatheco.2014.10.012.

    [publisher’s website]

  23. Asanga, S., Asimit, A., Badescu, A. and Haberman, S. (2014). Portfolio Optimization under Solvency Constraints: A Dynamical Approach. North American Actuarial Journal, 18(3), pp. 394–416. doi:10.1080/10920277.2014.910127.

    [publisher’s website]

  24. Asimit, A.V., Badescu, A.M. and Cheung, K.C. (2013). Optimal reinsurance in the presence of counterparty default risk. Insurance: Mathematics and Economics, 53(3), pp. 690–697. doi:10.1016/j.insmatheco.2013.09.012.
  25. Asimit, A.V., Badescu, A.M. and Verdonck, T. (2013). Optimal risk transfer under quantile-based risk measurers. Insurance: Mathematics and Economics, 53(1), pp. 252–265. doi:10.1016/j.insmatheco.2013.05.005.
  26. Asimit, A., Vernic, R. and Zitikis, R. (2013). Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model. Risks, 1(1), pp. 14–33. doi:10.3390/risks1010014.

    [publisher’s website]

  27. Asimit, V., Badescu, A. and Tsanakas, A. (2013). Optimal Risk Transfers in Insurance Groups. European Actuarial Journal, 3(1), pp. 159–190.
  28. Asimit, A.V., Furman, E., Tang, Q. and Vernic, R. (2011). Asymptotics for risk capital allocations based on Conditional Tail Expectation. Insurance: Mathematics and Economics, 49(3), pp. 310–324. doi:10.1016/j.insmatheco.2011.05.002.
  29. Asimit, A.V., Li, D. and Peng, L. (2010). Pitfalls in using Weibull tailed distributions. Journal of Statistical Planning and Inference, 140(7), pp. 2018–2024. doi:10.1016/j.jspi.2010.01.039.
  30. Asimit, A.V. and Badescu, A.L. (2010). Extremes on the discounted aggregate claims in a time dependent risk model. Scandinavian Actuarial Journal, (2), pp. 93–104. doi:10.1080/03461230802700897.
  31. Asimit, A.V., Furman, E. and Vernic, R. (2010). On a multivariate Pareto distribution. Insurance: Mathematics and Economics, 46(2), pp. 308–316. doi:10.1016/j.insmatheco.2009.11.004.
  32. Asimit, A.V. and Jones, B.L. (2008). Dependence and the asymptotic behavior of large claims reinsurance. Insurance: Mathematics and Economics, 43(3), pp. 407–411. doi:10.1016/j.insmatheco.2008.08.007.
  33. Asimit, A.V. and Jones, B.L. (2008). Asymptotic tail probabilities for large claims reinsurance of a portfolio of dependent risks. ASTIN Bulletin, 38(1), pp. 147–159. doi:10.2143/AST.38.1.2030407.
  34. Asimit, A.V. and Jones, B.L. (2007). Extreme behavior of multivariate phase-type distributions. Insurance: Mathematics and Economics, 41(2), pp. 223–233. doi:10.1016/j.insmatheco.2006.10.016.
  35. Asimit, A.V. and Jones, B.L. (2007). Extreme behavior of bivariate elliptical distributions. Insurance: Mathematics and Economics, 41(1), pp. 53–61. doi:10.1016/j.insmatheco.2006.09.002.