Emiliano A. Valdez
Professor of Actuarial Science, Department of Mathematics, University of Connecticut, USA
EDUCATION
1998 – University of Wisconsin, Madison, Wisconsin, USA
Doctor of Philosophy in Business, concentration in Actuarial Science, Risk Management and Insurance
(Minor in Statistics)
1986 – The University of Connecticut, Storrs, Connecticut, USA
Master of Science (Mathematics), major in Actuarial Science
1984 – University of the Philippines, Quezon City, Philippines
Bachelor of Science (Mathematics), Cum Laude
PROFESSIONAL MEMBERSHIP
Fellow of the Society of Actuaries
Fellow of the Institute of Actuaries of Australia (inactive)
Member of the ASTIN section of the International Actuarial Association
EDITORIAL BOARD
Associate Editor, Insurance: Mathematics and Economics
RESEARCH INTEREST
Copula Models, Dependencies Managing Post-retirement Assets Risk Measures and Capital Requirements; Elliptical Distributions and their Applications Longevity Risks and Annuitization Statistical Models in Actuarial Science
RECENT RESEARCH PUBLICATIONS
1. “Multivariate Probit Models for Conditional Claim Types,” by Gary Young, Emiliano A. Valdez and Robert Kohn, Insurance: Mathematics & Economics, Special issue on modeling and measurement of multivariate risk in insurance and finance, 2009, Vol. 44, No. 2, pp. 214-228.
2. “Actuarial Applications of a Hierarchical Insurance Claims Model,” by Edward W. (Jed) Frees, Peng Shi, and Emiliano A. Valdez, ASTIN Bulletin, forthcoming.
3. “Bounds and Approximations for Sums of Dependent Log-Elliptical Random Variables,” by Emiliano A. Valdez, Jan Dhaene, Mateusz Maj and Steven Vanduffel, Insurance: Mathematics & Economics, forthcoming.
4. “Hierarchical Insurance Claims Modeling,” by Edward W. (Jed) Frees and Emiliano A. Valdez, Journal of the American Statistical Association, 2008, Vol. 103, No. 484, pp. 1457-1469.
5. “Securitization of Longevity Risk in Reverse Mortgages,” by Liang Wang, Emiliano A. Valdez and John Piggott, North American Actuarial Journal, Vol. 12, No. 4, pp. 345-371.
6. “Analytic Bounds and Approximations for Annuities and Asian Options,” by Steven Vanduffel, Zhaoning Shang, Luc Henrard, Jan Dhaene and Emiliano A. Valdez, Insurance: Mathematics & Economics, 2008, Vol. 42, No. 3, pp. 1109-1117.
7. “CAPM and Option Pricing with Elliptically Contoured Distributions,” by Mahmoud Hamada and Emiliano A. Valdez, Journal of Risk and Insurance, 2008, Vol. 75, No. 2, pp. 387-409.
