Biography
Alfredo Duarte Egídio dos Reis, natural de Fátima, é licenciado em Organização e Gestãoo de Empresas, mestre em Matemática Aplicada à Economia e à Gestão, ambos pelo ISEG, Instituto Superior de Economia e Gestão da Universidade Técnica de Lisboa (agora, Universidade de Lisboa), e doutorado em Matemática Actuarial e Estatística pela Heriot-Watt University, Edimburgo. Posteriormente concluiu Agregação em Matemática e mais tarde também em Gestão, ambos pelo ISEG. A dissertação de mestrado e de doutoramento são da área de Teoria do Risco, respectivvamente da Teoria da Credibilidade e Teoria da Ruína, com aplicação 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.
É actualmente Professor Catedrático de Finanças, no departamento de Gestão do ISEG, Universidade de Lisboa, tendo pertencido ao departamento de Matemática, também do ISEG, durante largos anos. É actualmente investigador da área de Estatística e Ciências Actuariais do CEMAPRE (Centro de Matemática Aplicada à Previsão e Decisão e Económica), tendo sido seu Presidente e Coordenador Científico.
A suas áreas de investigação abrangem essencialmente a Teoria do Risco e da Ruiína, Teoria da da Credibilidade e Tarifação, da área do seguro não-vida. Os seus trabalhos têm sido apresentados nas principais conferências internacionais da área de atuariado e publicados nas mais prestigiadas revista científicas, 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 das Ciências Actuariais no ISEG, a varios estudantes nacionais e estrangeiros (actualmente orienta ou co-orienta três estudantes, um nacional e dois estrangeiros). Tem colaborado internacionalmente com diversos parceiros de investigação, para além de Portugal nomeadamente de Austrália, Alemanha, China, Brasil, Espanha, França, Noruega, Reino Unido.
Foi Editor do Boletim do Instituto dos Actua?rios Portugueses, e é atualmente co-editor do European Actuarial Journal. É membro do Instituto dos Atuários Portugueses (IAP), da Sociedade Portuguesa de Matemática (SPM) e da Ordem dos Economistas. Colaborou no passado ativamente com o IAP, SPM e o CIM (Centro Internacional de Matemática) tendo pertencido aos seus órgãos sociais. Também foi membro da Sociedade Portuguesa de Estatística (SPE).
Na atividade lectiva, foi docente das mais variadas disciplinas das áreas de actuariado, matemática, estatística, finanças e gestão, do primeiro ao terceiro ciclos de estudos. Nomeadamente Matemática, Probabilidades, Estatística, Processos Estocásticos, Teoria do Risco, Tarifação, Cálculo Atuarial, Cálculo e Instrumentos Financeiros, Investimentos e Mercados Financeiros, Contabilidade e Finanças, Economia de Empresas e Análise de Investimentos.
Informações mais detalhadas sobre a sua atividade profissional, letiva, de investigação e trabalhos publicados pode ser encontrada em: https://www.iseg.ulisboa.pt/en/faculty/alfredo-egidio-dos-reis/ e https://cemapre.iseg.ulisboa.pt/publications/?s=a18
Education
2011 | Agregação em Gestão ISEG - Instituto Superior de Economia e Gestão, Universidade de Lisboa (Portugal) |
1994 | Doutoramento em Actuarial Mathematics and Statistics Heriot-Watt University (United Kingdom) |
Publications & Citations
Year | Title / Publication | Link |
---|---|---|
2023 | A public micro pension programme in Brazil: Heterogeneity among states and setting up of benefit age adjustment European Actuarial Journal |
See more |
2023 | Stochastic differential equations death rates models: the Portuguese case Decisions in Economics and Finance |
See more |
2023 | Modelling Risk for Commodities in Brazil: An Application for Live Cattle Spot and Futures Prices Agricultural Commodities |
See more |
2021 | Ruin and dividend measures in the renewal dual risk model Methodology and Computing in Applied Probability |
See more |
2021 | Cyber risk: An analysis of self-protection and the prediction of claims. CEMAPRE |
See more |
2021 | Pricing foreseeable and unforeseeable risks in insurance portfolios CEMAPRE |
See more |
2020 | Text mining and ruin theory: A case study of research on risk models with dependence REVSTAT STATISTICAL JOURNAL |
See more |
2019 | Ruin probabilities and capital requirement for open automobile portfolios with a bonus-malus system based on claim counts Journal of Risk and Insurance |
See more |
2017 | On dividends in the Phase–Type dual risk model Scandinavian Actuarial Journal |
See more |
2017 | Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance Astin Bulletin |
|
2016 | Ruin problems in the generalized Erlang(n) risk model European Actuarial Journal |
See more |
2015 | Further developments in the Erlang(n) risk process Scandinavian Actuarial Journal |
See more |
2015 | Goodness-of-fit tests and applications for left-truncated Weibull distributions to non-life insurance European Actuarial Journal |
See more |
2015 | Some advances on the Erlang(n) dual risk model Astin Bulletin |
See more |
2013 | Dividend problems in the dual risk model INSURANCE MATHEMATICS & ECONOMICS |
See more |
2002 | How many claims does it take to get ruined and recovered? INSURANCE MATHEMATICS & ECONOMICS |
|
2002 | Fourier/Laplace transforms and ruin probabilities Astin Bulletin |
|
2002 | Recursive calculation of time to ruin distributions INSURANCE MATHEMATICS & ECONOMICS |
See more |
2000 | On the moments of ruin and recovery times INSURANCE MATHEMATICS & ECONOMICS |
|
1998 | Ciências Actuariais: Modelos para Seguros Boletim da Sociedade Portuguesa de Matemática |
See more |
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 |
|
1993 | How long is the surplus below zero? INSURANCE MATHEMATICS & ECONOMICS |
Year | Title / Publication | Link |
---|---|---|
2023 | Are we prepared to cover a future pandemic? Essay of a Portuguese health insurance https://www.actuaries.asn.au/microsites/ica2023/program/papers, |
|
2017 | Text mining and ruin theory: a case study on risk models with dependence Centro de Estatística e Aplicações |
See more |
2014 | The Cramér-Lundberg and the dual risk models: Ruin, dividend problems and duality features 30th International Congress of Actuaries |
See more |
2013 | Some simple and classical approximations to ruin probabilities applied to the perturbed model AFMathConf2013 |
See more |
Year | Title / Publication | Link |
---|---|---|
2018 | Cálculo Financeiro |
|
2001 | Teoria da Credibilidade |
See more |
2000 | Teoria da Ruína |
See more |
Year | Title / Publication | 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 |
See more |
2021 | Cyber risk: An analysis of self-protection and the prediction of claims CEMAPRE - Working Paper |
See more |
2021 | Approximations to ultimate ruin probabilities with a Wienner process perturbation CEMAPRE |
See more |
2021 | A probability of ruin approach to optimize pension fund investments CEMAPRE - Working Paper |
See more |
2020 | Ruin and dividend measures in the renewal dual risk model CEMAPRE - Working Paper |
See more |
2019 | Estimation of foreseeable and unforeseeable risks in motor insurance CEMAPRE - Working Paper |
See more |
2015 | Ruin problems in the generalized Erlang(n) risk model CEMAPRE |
See more |
2015 | Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities, for large portfolios in motor insurance CEMAPRE |
See more |
2013 | On a Sparre-Andersen risk model with PH(n) CEMAPRE |
See more |
Year | Title / Publication | Link |
---|---|---|
2022 | Ruin probabilities in the context of the winner's curse |
See more |
2022 | A probability of ruin approach to optimize pension fund investments, Congresso 75 anos IAP (Instituto dos atuários Portugueses) Maio 24, 2022, Lisboa, Portugal |
See more |
2022 | On a penalty function under randomized observations in the renewal dual risk model |
See more |
2022 | Risk model with dependent frequency and severity for Liability and Housing Insurance |
See more |
2022 | Ruin Probabilities in the context of the Winner's Curse |
See more |
2022 | A probability of ruin approach to optimize pension fund investments |
See more |
2022 | Ruin Probabilities in the context of the Winner’s Curse |
See more |
2022 | On a penalty function in the Erlang renewal dual risk model under independent randomised observations |
See more |
2021 | Risk model with dependent frequency and severity, premium and ruin probability calculation |
See more |
2021 | Cyber risk: An analysis of self-protection and the prediction of claims |
See more |
2021 | Strategic Assets Allocation: An asset-liability management model applied to the insurance sector |
See more |
2021 | A public micro pension programme in Brazil: Heterogeneity among states and setting up of benefit age adjustment |
See more |
2021 | A probability of ruin approach to optimize pension fund investments |
See more |
2021 | Cyber risk: An analysis of self-protection and the prediction of claims |
See more |
2021 | Cyber Risk: An Analysis of Self-Protection and the Prediction of Claims |
See more |
2021 | Cyber risk: An analysis of self-protection and the prediction of claims |
See more |
2021 | Probability of Ruin Approach to Optimize Pension Fund Investments |
See more |
2021 | Risk model with dependent frequency and severity, premium and ruin probability calculation |
See more |
2021 | An analysis of self-protection and the prediction of claims |
See more |
2021 | A probability of ruin approach to optimize pension fund investments |
See more |
2020 | Ruin and dividend measures in the renewal dual risk model |
See more |
2020 | Modelling risk for commodities in Brazil: Application with VaR for Boi Gordo spot and future prices |
See more |
2020 | A public micro pension programme in Brazil: Heterogeneity among states and setting up a benefit age adjustment |
See more |
2019 | Estimation of foreseeable and unforeseeable risks in motor insurance |
See more |
2019 | Impact of microinsurance on the Brazilian Public Pension System |
See more |
2019 | Ruin and dividend problems in the renewal dual risk model |
See more |
2019 | Ruin probabilities for open portfolios with a Bonus Malus System |
See more |
2019 | Microinsurance in the Brazilian Public Pension System |
See more |
2019 | Impact of Microinsurance on the Brazilian Public Pension System |
See more |
2018 | Estimation of foreseeable and unforeseeable risks |
|
2018 | Ruin and dividend measures in the renewal dual risk model |
See more |
2018 | Estimation of foreseeable and unforeseeable risks in motor insurance |
See more |
2018 | Ruin and dividend measures in the renewal dual risk model |
See more |
2018 | Ruin and dividend measures in the renewal dual risk model |
See more |
2018 | Estimation of foreseeable and unforeseeable risks in motor insurance |
See more |
2017 | Text Mining and Ruin Theory: A case study on Risk Models with Dependence |
|
2017 | Estimation of foreseeable and unforeseeable risks |
See more |
2016 | The impact of bonus malus systems in nite and continuous time ruin probabilities in motor insurance considering an open versus a closed portfolio |
See more |
2016 | On dividends in the Phase-Type dual risk model |
See more |
2016 | Ruin and Dividend problems in the dual risk model |
See more |
2016 | On the Phase-Type renewal risk model: A study of dividends and related quantities |
See more |
2016 | A Study of the Impact of a Bonus-Malus System in Finite and Continuous Time Ruin Probabilities in Motor Insurance |
See more |
2016 | Recent developments in ruin theory, the standard and the dual risk models. Applications |
See more |
2015 | On the dual risk model, discounted dividends, moments and optimal barriers |
|
2015 | Bonus malus systems and finite and continuous time ruin probabilities in motor insurance |
See more |
2015 | A study of dividends and optimal barriers for a dual risk model |
See more |
2014 | The Cramér-Lundberg and the dual risk models: Ruin, dividend problems and duality, |
See more |
2014 | The Cramér-Lundberg and the dual risk models: Ruin,dividend problems and duality features |
See more |
2014 | On the SparreAndersen Risk Model with PhaseType interclaim times |
See more |
2014 | On a Sparre-Andersen risk model with PH(n) interclaim times |
See more |
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 |
See more |
2014 | Measuring the impact of a bonus malus system in nite and continuous time ruin probabilities, for large portfolios in motor insurance |
See more |
2014 | The Cramér-Lundberg and the dual risk models: Ruin, dividend problems and duality |
See more |
2013 | Measuring the impact of a bonus malus system in finite and continuous time ruin probabilities, for large portfolios in motor insurance |
See more |
2013 | The Erlang(n) dual risk model, discounted dividends, moments and optimal expectations |
See more |
2013 | On a Sparre-Andersen risk model with PH(n) interclaim times |
See more |
2013 | Dividend Problems in the Erlang(n) Dual Risk Model |
See more |
2013 | Dividend Problems in the Erlang(n) Dual Risk Model |
See more |
2013 | On a Sparre-Andersen risk model with PH(n) interclaim times |
See more |
2013 | Moments of Dividends and Optimal Expected Dividends in the Erlang(n) dual risk model |
See more |
2013 | On a SparreAndersen risk model with PH(n) interclaim times |
See more |
2013 | On the generalized Lundberg's equation in a Sparre-Andersen risk model |
See more |
2012 | Further developments in the Erlang(n) risk process |
See more |
Year | Title / Publication | Link |
---|---|---|
2022 | Actuarial Factors in a Public Microinsurance Programme in Brazil |
See more |
2021 | A public micro pension programme in Brazil: Heterogeneity among states and setting up of benefit age adjustment |
See more |
2019 | Estimation of foreseeable and unforeseeable risks in motor insurance |
See more |
2019 | Ruin probabilities and capital requirement for open automobile portfolios with a Bonus-Malus System based on claim counts |
See more |
2017 | A Study of the Impact of a Bonus-Malus System in Finite and Continuous Time Ruin Probabilities in Motor Insurance |
See more |
2017 | Estimation of foreseeable and unforeseeable risks |
|
2016 | Recent developments in ruin theory, the standard and the dual risk models. Applications |
See more |
2015 | Presentation of ASTIN Colloquium 2016 in Lisbon, Portugal |
See more |
Year | Title / Publication | Link |
---|---|---|
2019 | Ruin and dividend problems in the renewal dual risk model |
See more |
2017 | Measuring the impact of a bonusmalus system in finite and continuous time ruin probabilities for large portfolios in motor insurance |
See more |
Year | Title / Publication | Link |
---|---|---|
2018 | Quantitative Finance |
|
2017 | Ratemaking and Experience Rating |
Teaching
Semester | Course | Degree | Coordinator |
---|---|---|---|
2º | Cálculo e Instrumentos Financeiros | Licenciatura Bolonha em Finanças - Finanças, Licenciatura Bolonha em Economia - Economia, Licenciatura Bolonha em Gestão - Gestão | Yes |
2º | Risk Theory | Mestrado Bolonha em Economia - Economia, Mestrado Bolonha em Actuarial Science - Actuarial Science, Doutoramento Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão | Yes |
1º | Quantitative Finance | Licenciatura Bolonha em Economics - Economics, Licenciatura Bolonha em Management - Management, Licenciatura Bolonha em Finance - Finance | Yes |
1º | Cálculo e Instrumentos Financeiros | Licenciatura Bolonha em Finanças - Finanças, Licenciatura Bolonha em Estudos Gerais - Estudos Gerais, Licenciatura Bolonha em Economia - Economia, Licenciatura Bolonha em Gestão - Gestão | Yes |
Year | Student Name / Title / Institution | Supervision Type | Link |
---|---|---|---|
2022/2023 | JOÃO MIGUEL ALMEIDA DA CRUZ Influence of external factors and forecast on the consumption of medical health insurance |
Master | Ver |
2022/2023 | MARIAM OMOBONIKE MUSA-BELLO Impact of Telematics Technology on Ratemaking in the Auto Insurance Industry. Using regression and machine learning techniques |
Master | Ver |
2020/2021 | JAIRO MOREIRA CAETANO DA SILVA Risk Modeling Journey - GLM and Impact Analysis |
Master | Ver |
2020/2021 | MARIAM OMOBONIKE MUSA-BELLO PROSPECTIVE RATING STRENGTH FOR WORKERS COMPENSATION INSURANCE IN PORTUGAL |
Master | |
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 |
Professional Experience
Name / Description | Date | Organization |
---|---|---|
Coordenador Científico do CEMAPRE |
2013 - 2015 | ISEG |