Biografia
Alfredo Duarte Egi?dio dos Reis, natural de Fátima, e? licenciado em Organizac?a?o e Gesta?o de Empresas, mestre em Matema?tica Aplicada a? Economia e a? Gesta?o, ambos pelo ISEG, Instituto Superior de Economia e Gesta?o da Universidade Te?cnica de Lisboa, e doutorado em Matema?tica Actuarial e Estati?stica pela Heriot-Watt University, Edimburgo. Posteriormente concluiu Agregac?a?o em Matema?tica e mais tarde tambe?m em Gesta?o, ambos pelo ISEG. A dissertac?o?es de mestrado e de doutoramento sa?o respectivvamente das a?reas da Teroia da Credibilidade e Teoria da Rui?na e aplicao?es ao seguro. As Licões de Agregação em Matemática e Gestão são da área de Teoria da Ruína e suas aplicações ao Seguro não-vida e às Finanças, respectivamente.
E? actualmente Professor Catedra?tico de Financ?as, no departamento de Gesta?o do ISEG, Universidade de Lisboa, tendo pertencido ao departamento de Matema?tica, tambe?m do ISEG, durante largos anos. E? atualmente investigador da a?rea de Estati?stica e Cie?ncias Atuariais do CEMAPRE (Centro de Matema?tica Aplicada a? Previsa?o e Decisa?o e Econo?mica), tendo sido seu Presidente e Coordenador Cienti?fico.
A suas a?reas de investigac?a?o abrangem essencialmente a Teoria do Risco e da Rui?na, Teoria da da Credibilidade e Tarifac?a?o, da a?rea do seguro na?o-vida. Os seus trabalhos te?m sido apresentados nas principais confere?ncias internacionais da a?rea de atuariado e publicados nas mais prestigiadas revista cienti?ficas da a?rea, nomeadamente ASTIN Bulletin, Bulletin of the Swiss Association of Actuaries, European Actuarial Journal, Journal of Risk and Insurance, Insurance: Mathematics and Economics, Scandianavian Actuarial Journal. Tem orientado com sucesso dissertações de mestrado e doutoramentos essencialmente da a?rea das Cie?ncias Actuariais no ISEG, a varios estudantes nacionais e estrangeiros (actualmente orienta ou co-orienta quatro estudantes, um nacional e tre?s estrangeiros). Tem colaborado internacionalmente com diversos parceiros de investigac?a?o, nomeadamente de Austrália, Alemanha, China, Brasil, Espanha, Franc?a, Noruega, Reino Unido, para além de Portugal.
Foi Editor do Boletim do Instituto dos Actua?rios Portugueses, e e? atualmente co-editor do European Actuarial Journal. E? membro do Instituto dos Atua?rios Portugueses (IAP), da Sociedade Portuguesa de Matema?tica (SPM) e da Ordem dos Economistas. Colaborou no passado ativamente com o IAP, SPM e o CIM (Centro Internacional de Matema?tica) tendo pertencido aos seus o?rga?os sociais. Tambe?m foi membro da Sociedade Portuguesa de Estati?stica (SPE).
Na atividade letiva, foi docente das mais variadas disciplinas das a?reas de actuariado, matema?tica, estati?stica, financ?as e gestão, do primeiro ao terceiro ciclos de estudos. Nomeadamente Matema?tica, Probabilidades, Estati?stica, Processos Estoca?sticos, Teoria do Risco, Tarifac?a?o, Ca?lculo Atuarial, Ca?lculo Financeiro, Investimentos e Mercados Financeiros, Contabilidade e Financ?as, Economia de Empresas e Ana?lise de Investimentos.
Informac?o?es mais detalhadas sobre a sua atividade profissional, letiva, de investigac?a?o e trabalhos publicados pode ser encontrada em: https://www.iseg.ulisboa.pt/aquila/homepage/alfredo
Educação
2011 | Aggregation, Sciences de Gestion, Management ISEG - Instituto Superior de Economia e Gestão, Universidade de Lisboa (Portugal) |
1994 | Doutoramento em Actuarial Mathematics and Statistics Heriot-Watt University (United Kingdom) |
Publicações e Citações
Ano | Título / Publicação | Link |
---|---|---|
2022 | A public micro pension programme in Brazil: Heterogeneity among states and setting up of benefit age adjustment European Actuarial Journal |
Ver |
2021 | Pricing foreseeable and unforeseeable risks in insurance portfolios CEMAPRE |
Ver |
2021 | Cyber risk: An analysis of self-protection and the prediction of claims. CEMAPRE |
Ver |
2021 | Ruin and dividend measures in the renewal dual risk model Methodology and Computing in Applied Probability |
Ver |
2020 | TEXT MINING AND RUIN THEORY: A CASE STUDY OF RESEARCH ON RISK MODELS WITH DEPENDENCE REVSTAT STATISTICAL JOURNAL |
Ver |
2019 | Ruin probabilities and capital requirement for open automobile portfolios with a bonus-malus system based on claim counts Journal of Risk and Insurance |
Ver |
2019 | Text mining and ruin theory: A case study of research on risk models with dependence REVSTAT STATISTICAL JOURNAL |
Ver |
2017 | Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance Astin Bulletin |
|
2017 | On dividends in the Phase–Type dual risk model Scandinavian Actuarial Journal |
Ver |
2016 | Ruin problems in the generalized Erlang(n) risk model European Actuarial Journal |
Ver |
2015 | Goodness-of-fit tests and applications for left-truncated Weibull distributions to non-life insurance European Actuarial Journal |
Ver |
2015 | Some advances on the Erlang(n) dual risk model Astin Bulletin |
Ver |
2015 | Further developments in the Erlang(n) risk process Scandinavian Actuarial Journal |
Ver |
2013 | Dividend problems in the dual risk model INSURANCE MATHEMATICS & ECONOMICS |
Ver |
2002 | Recursive calculation of time to ruin distributions INSURANCE MATHEMATICS & ECONOMICS |
Ver |
2002 | Fourier/Laplace transforms and ruin probabilities Astin Bulletin |
|
2002 | How many claims does it take to get ruined and recovered? INSURANCE MATHEMATICS & ECONOMICS |
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2000 | On the moments of ruin and recovery times INSURANCE MATHEMATICS & ECONOMICS |
|
1998 | Ciências Actuariais: Modelos para Seguros Boletim da Sociedade Portuguesa de Matemática |
Ver |
1997 | The effect of interest on negative surplus INSURANCE MATHEMATICS & ECONOMICS |
|
1996 | On the distribution of the duration of negative surplus Scandinavian Actuarial Journal |
|
1995 | Some stable algorithms in ruin theory and their applications Astin Bulletin |
|
1994 | Ruin problems and dual events INSURANCE MATHEMATICS & ECONOMICS |
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1993 | How long is the surplus below zero? INSURANCE MATHEMATICS & ECONOMICS |
Ano | Título / Publicação | Link |
---|---|---|
2017 | Text mining and ruin theory: a case study on risk models with dependence Centro de Estatística e Aplicações |
Ver |
2014 | The Cramér-Lundberg and the dual risk models: Ruin, dividend problems and duality features 30th International Congress of Actuaries |
Ver |
2013 | Some simple and classical approximations to ruin probabilities applied to the perturbed model AFMathConf2013 |
Ver |
Ano | Título / Publicação | Link |
---|---|---|
2018 | Cálculo Financeiro |
|
2001 | Teoria da Credibilidade |
Ver |
2000 | Teoria da Ruína |
Ver |
Ano | Título / Publicação | Link |
---|---|---|
2023 | Ruin Probabilities in the context of the Winner's Curse CEMAPRE |
|
2023 | The role of covariates in cyber risk ratemaking using GAMLSS CEMAPRE |
Ver |
2021 | Approximations to ultimate ruin probabilities with a Wienner process perturbation CEMAPRE |
Ver |
2021 | Cyber risk: An analysis of self-protection and the prediction of claims CEMAPRE - Working Paper |
Ver |
2021 | A probability of ruin approach to optimize pension fund investments CEMAPRE - Working Paper |
Ver |
2020 | Ruin and dividend measures in the renewal dual risk model CEMAPRE - Working Paper |
Ver |
2019 | Estimation of foreseeable and unforeseeable risks in motor insurance CEMAPRE - Working Paper |
Ver |
2015 | Ruin problems in the generalized Erlang(n) risk model CEMAPRE |
Ver |
2015 | Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities, for large portfolios in motor insurance CEMAPRE |
Ver |
2013 | On a Sparre-Andersen risk model with PH(n) CEMAPRE |
Ver |
Ano | Título / Publicação | Link |
---|---|---|
2022 | On a penalty function in the Erlang renewal dual risk model under independent randomised observations |
Ver |
2022 | Ruin Probabilities in the context of the Winner’s Curse |
Ver |
2022 | A probability of ruin approach to optimize pension fund investments |
Ver |
2022 | Ruin Probabilities in the context of the Winner's Curse |
Ver |
2022 | Risk model with dependent frequency and severity for Liability and Housing Insurance |
Ver |
2022 | On a penalty function under randomized observations in the renewal dual risk model |
Ver |
2022 | A probability of ruin approach to optimize pension fund investments, Congresso 75 anos IAP (Instituto dos atuários Portugueses) Maio 24, 2022, Lisboa, Portugal |
Ver |
2022 | Ruin probabilities in the context of the winner's curse |
Ver |
2021 | A probability of ruin approach to optimize pension fund investments |
Ver |
2021 | Risk model with dependent frequency and severity, premium and ruin probability calculation |
Ver |
2021 | Cyber risk: An analysis of self-protection and the prediction of claims |
Ver |
2021 | Strategic Assets Allocation: An asset-liability management model applied to the insurance sector |
Ver |
2021 | A public micro pension programme in Brazil: Heterogeneity among states and setting up of benefit age adjustment |
Ver |
2021 | Cyber risk: An analysis of self-protection and the prediction of claims |
Ver |
2021 | Cyber Risk: An Analysis of Self-Protection and the Prediction of Claims |
Ver |
2021 | Cyber risk: An analysis of self-protection and the prediction of claims |
Ver |
2021 | Probability of Ruin Approach to Optimize Pension Fund Investments |
Ver |
2021 | Risk model with dependent frequency and severity, premium and ruin probability calculation |
Ver |
2021 | An analysis of self-protection and the prediction of claims |
Ver |
2021 | A probability of ruin approach to optimize pension fund investments |
Ver |
2020 | Ruin and dividend measures in the renewal dual risk model |
Ver |
2020 | Modelling risk for commodities in Brazil: Application with VaR for Boi Gordo spot and future prices |
Ver |
2020 | A public micro pension programme in Brazil: Heterogeneity among states and setting up a benefit age adjustment |
Ver |
2019 | Impact of Microinsurance on the Brazilian Public Pension System |
Ver |
2019 | Microinsurance in the Brazilian Public Pension System |
Ver |
2019 | Ruin probabilities for open portfolios with a Bonus Malus System |
Ver |
2019 | Ruin and dividend problems in the renewal dual risk model |
Ver |
2019 | Impact of microinsurance on the Brazilian Public Pension System |
Ver |
2019 | Estimation of foreseeable and unforeseeable risks in motor insurance |
Ver |
2018 | Ruin and dividend measures in the renewal dual risk model |
Ver |
2018 | Estimation of foreseeable and unforeseeable risks in motor insurance |
Ver |
2018 | Ruin and dividend measures in the renewal dual risk model |
Ver |
2018 | Estimation of foreseeable and unforeseeable risks in motor insurance |
Ver |
2018 | Ruin and dividend measures in the renewal dual risk model |
Ver |
2018 | Estimation of foreseeable and unforeseeable risks |
|
2017 | Estimation of foreseeable and unforeseeable risks |
Ver |
2017 | Text Mining and Ruin Theory: A case study on Risk Models with Dependence |
|
2016 | Ruin and Dividend problems in the dual risk model |
Ver |
2016 | The impact of bonus malus systems in nite and continuous time ruin probabilities in motor insurance considering an open versus a closed portfolio |
Ver |
2016 | On dividends in the Phase-Type dual risk model |
Ver |
2016 | On the Phase-Type renewal risk model: A study of dividends and related quantities |
Ver |
2016 | A Study of the Impact of a Bonus-Malus System in Finite and Continuous Time Ruin Probabilities in Motor Insurance |
Ver |
2016 | Recent developments in ruin theory, the standard and the dual risk models. Applications |
Ver |
2015 | A study of dividends and optimal barriers for a dual risk model |
Ver |
2015 | Bonus malus systems and finite and continuous time ruin probabilities in motor insurance |
Ver |
2015 | On the dual risk model, discounted dividends, moments and optimal barriers |
|
2014 | On a Sparre-Andersen risk model with PH(n) interclaim times |
Ver |
2014 | On the SparreAndersen Risk Model with PhaseType interclaim times |
Ver |
2014 | The Cramér-Lundberg and the dual risk models: Ruin,dividend problems and duality features |
Ver |
2014 | Measuring the impact of a bonus malus system in nite and continuous time ruin probabilities, for large portfolios in motor insurance |
Ver |
2014 | On Insurance Risk Models with positive and negative jumps |
|
2014 | The Cramér-Lundberg and the dual risk models: Ruin, dividend problems and duality features |
Ver |
2014 | The Cramér-Lundberg and the dual risk models: Ruin, dividend problems and duality |
Ver |
2014 | The Cramér-Lundberg and the dual risk models: Ruin, dividend problems and duality, |
Ver |
2013 | On the generalized Lundberg's equation in a Sparre-Andersen risk model |
Ver |
2013 | On a SparreAndersen risk model with PH(n) interclaim times |
Ver |
2013 | Moments of Dividends and Optimal Expected Dividends in the Erlang(n) dual risk model |
Ver |
2013 | On a Sparre-Andersen risk model with PH(n) interclaim times |
Ver |
2013 | Dividend Problems in the Erlang(n) Dual Risk Model |
Ver |
2013 | Dividend Problems in the Erlang(n) Dual Risk Model |
Ver |
2013 | On a Sparre-Andersen risk model with PH(n) interclaim times |
Ver |
2013 | The Erlang(n) dual risk model, discounted dividends, moments and optimal expectations |
Ver |
2013 | Measuring the impact of a bonus malus system in finite and continuous time ruin probabilities, for large portfolios in motor insurance |
Ver |
2012 | Further developments in the Erlang(n) risk process |
Ver |
Ano | Título / Publicação | Link |
---|---|---|
2022 | Actuarial Factors in a Public Microinsurance Programme in Brazil |
Ver |
2021 | A public micro pension programme in Brazil: Heterogeneity among states and setting up of benefit age adjustment |
Ver |
2019 | Estimation of foreseeable and unforeseeable risks in motor insurance |
Ver |
2019 | Ruin probabilities and capital requirement for open automobile portfolios with a Bonus-Malus System based on claim counts |
Ver |
2017 | A Study of the Impact of a Bonus-Malus System in Finite and Continuous Time Ruin Probabilities in Motor Insurance |
Ver |
2017 | Estimation of foreseeable and unforeseeable risks |
|
2016 | Recent developments in ruin theory, the standard and the dual risk models. Applications |
Ver |
2015 | Presentation of ASTIN Colloquium 2016 in Lisbon, Portugal |
Ver |
Ano | Título / Publicação | Link |
---|---|---|
2019 | Ruin and dividend problems in the renewal dual risk model |
Ver |
2017 | Measuring the impact of a bonusmalus system in finite and continuous time ruin probabilities for large portfolios in motor insurance |
Ver |
Ano | Título / Publicação | Link |
---|---|---|
2018 | Quantitative Finance |
|
2017 | Ratemaking and Experience Rating |
Ensino
Semester | Curso | Graduação | Coordenação |
---|---|---|---|
1º | Cálculo e Instrumentos Financeiros | Licenciatura Bolonha em Estudos Gerais - Estudos Gerais, Licenciatura Bolonha em Gestão - Gestão, Licenciatura Bolonha em Finanças - Finanças, Licenciatura Bolonha em Economia - Economia | Yes |
1º | Quantitative Finance | Licenciatura Bolonha em Economics - Economics, Licenciatura Bolonha em Finance - Finance, Licenciatura Bolonha em Management - Management | Yes |
2º | Risk Theory | Doutoramento Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão, Mestrado Bolonha em Actuarial Science - Actuarial Science, Mestrado Bolonha em Economia - Economia | Yes |
2º | Cálculo e Instrumentos Financeiros | Licenciatura Bolonha em Gestão - Gestão, Licenciatura Bolonha em Finanças - Finanças, Licenciatura Bolonha em Economia - Economia | Yes |
2º | Cálculo e Instrumentos Financeiros | Licenciatura Bolonha em Gestão do Desporto - Gestão do Desporto | Yes |
Ano | Aluno / Título / Instituição | Tipo | Link |
---|---|---|---|
2020/2021 | JAIRO MOREIRA CAETANO DA SILVA Risk Modeling Journey - GLM and Impact Analysis |
Master | Ver |
2019/2020 | MÁRCIA ALEXANDRA FERREIRA GONÇALVES Internal model for Workers' Compensation line of business |
Master | Ver |
2018/2019 | PATRICIA CARRION SALINAS Kidnap for Ransom Insurance (K&R) |
Master | Ver |
2015/2016 | YACINE KOUCHA Approximations to ruin probablities in infinite time using a Lévy process |
Master | Ver |
2011/2012 | MIGUEL JOSÉ MOUTINHO SEIXAS Some Simple and Classical Approximations to Ruin Probabilities Applied to the Perturbed Model |
Master | Ver |
Experiência Profissional
Nome / Descrição | Data | Organização |
---|---|---|
Coordenador Científico do CEMAPRE |
2013 - 2015 | ISEG |