← All authors Ričardas Zitikis Western University (from arXiv:2308.03708, 2023) · ORCID · OpenAlex
112 papers in scope · 112 published · 1 on the econ.EM arXiv · 2,123 citations · h-index 25 (over the papers listed here)
Papers (1 of 112)
Beyond no-claims discount: a learning-embedded telematics-driven pricing system for dynamic premium adjustments
published 2026 · Financial Innovation
with Heng Xiong, 郭語璇
An approach for detecting emerging operational risks from textual data
published 2026 · International Journal of Data Science and Analytics
Fundamentals of non-parametric statistical inference for integrated quantiles
published 2025 · Risk sciences. · 1 citations
with Nadezhda Gribkova, Mengqi Wang
Predicting classification errors using NLP-based machine learning algorithms and expert opinions
published 2025 · Machine Learning with Applications
with Peiheng Gao, Chen Yang, Ning Sun
published 2024 · Quality & Quantity · 7 citations · first circulated 2022
Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation
published 2024 · Annals of the Institute of Statistical Mathematics · 1 citations · first circulated 2022
with Nadezhda Gribkova, Jianxi Su
Assessing Monotonicity: An Approach Based on Transformed Order Statistics
published 2024 · Mathematical Methods of Statistics · 1 citations
with Aleksandr Chen, Nadezhda Gribkova
Measuring Discrete Risks on Infinite Domains: Theoretical Foundations, Conditional Five Number Summaries, and Data Analyses
published 2024 · North American Actuarial Journal · first circulated 2023
Assessing the difference between integrated quantiles and integrated cumulative distribution functions
published 2023 · Insurance Mathematics and Economics · 3 citations · first circulated 2022
with Yunran Wei
Estimating the VaR-induced Euler allocation rule
published 2023 · Astin Bulletin · 4 citations · first circulated 2022
with Nadezhda Gribkova, Jianxi Su
Tail Maximal Dependence in Bivariate Models: Estimation and Applications
published 2022 · Mathematical Methods of Statistics · 1 citations
with Ning Sun, Chen Yang, Yang Chen
Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants
published 2022 · Insurance Mathematics and Economics · 7 citations
with Nadezhda Gribkova, Jianxi Su
The Slicing Method: Determining Insensitivity Regions of Probability Weighting Functions
published 2022 · Computational Economics · 2 citations · first circulated 2021
with Martín Egozcue, Luis Fuentes García
Detecting systematic anomalies affecting systems when inputs are stationary time series
published 2022 · Applied Stochastic Models in Business and Industry · 4 citations · first circulated 2020
with Ning Sun, Chen Yang, Yang Chen
Empirical tail conditional allocation and its consistency under minimal assumptions
published 2021 · Annals of the Institute of Statistical Mathematics · 10 citations
with Nadezhda Gribkova, Jianxi Su
Risk Measures Induced by Efficient Insurance Contracts
published 2021 · Insurance Mathematics and Economics
A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE
published 2020 · Astin Bulletin · 4 citations
with Ning Sun, Chen Yang
Quantifying and analyzing nonlinear relationships with a fresh look at a classical dataset of student scores
published 2020 · Quality & Quantity · 2 citations · first circulated 2019
with Lingzhi Chen
Functional Correlations in the Pursuit of Performance Assessment of Classifiers
published 2020 · International Journal of Pattern Recognition and Artificial Intelligence · first circulated 2019
with Nadezhda Gribkova
Special Issue “Risk, Ruin and Survival: Decision Making in Insurance and Finance”
published 2019 · Risks · 2 citations
with Jiandong Ren, Kristina P. Sendova
Practice Oriented and Monte Carlo Based Estimation of the Value-at-Risk for Operational Risk Measurement
published 2019 · Risks · 7 citations
Statistical detection and classification of background risks affecting inputs and outputs
published 2019 · METRON · 8 citations
with Nadezhda Gribkova
Assessing Transfer Functions in Control Systems
published 2019 · Journal of Statistical Theory and Practice · 5 citations · first circulated 2018
with Nadezhda Gribkova
A User-Friendly Algorithm for Detecting the Influence of Background Risks on a Model
published 2018 · Risks · 6 citations
with Nadezhda Gribkova
Weighted allocations, their concomitant-based estimators, and asymptotics
published 2018 · Annals of the Institute of Statistical Mathematics · 1 citations · first circulated 2017
with Nadezhda Gribkova
Estimating the Index of Increase via Balancing Deterministic and Random Data
published 2018 · Mathematical Methods of Statistics · 16 citations · first circulated 2017
with Lijun Chen, Yu. I. Davydov, Nadezhda Gribkova, Lingzhi Chen, Youri Davydov
From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective
published 2018 · Econometrics · 24 citations
Weak Comonotonicity
published 2018 · European Journal of Operational Research · 1 citations
Weighted risk capital allocations in the presence of systematic risk
published 2017 · Insurance Mathematics and Economics · 19 citations
with Edward Furman, Alexey Kuznetsov
CMPH: a multivariate phase-type aggregate loss distribution
published 2017 · Dependence Modeling · 4 citations
with Jiandong Ren
Statistical foundations for assessing the difference between the classical and weighted-Gini betas
published 2017 · Mathematical Methods of Statistics · 1 citations
with Nadezhda Gribkova
Measuring and Comparing Student Performance: A New Technique for Assessing Directional Associations
published 2017 · Education Sciences · 12 citations
with Lingzhi Chen
BEYOND THE PEARSON CORRELATION: HEAVY-TAILED RISKS, WEIGHTED GINI CORRELATIONS, AND A GINI-TYPE WEIGHTED INSURANCE PRICING MODEL
published 2017 · Astin Bulletin · 3 citations · first circulated 2016
with Edward Furman
Optimal two-stage pricing strategies from the seller’s perspective under the uncertainty of buyer’s decisions
published 2017 · Journal of Statistical Distributions and Applications · 1 citations
with Martín Egozcue, Jiang Wu
Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
published 2017 · Journal of Banking & Finance · 113 citations · first circulated 2016
Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account
published 2017 · Risks · 23 citations
with Wenjun Jiang, Jiandong Ren
Tail dependence of the Gaussian copula revisited
published 2016 · Insurance Mathematics and Economics · 6 citations
with Edward Furman, Alexey Kuznetsov, Jianxi Su
PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE
published 2015 · Astin Bulletin · 5 citations · first circulated 2014
with Edward Furman, Jianxi Su
Measuring association via lack ofco-monotonicity: the LOC index and aproblem of educational assessment
published 2015 · Dependence Modeling · 2 citations
with Danang Teguh Qoyyimi
Ignorance, lotteries, and measures of economic inequality
published 2015 · The Journal of Economic Inequality · 12 citations
with Christopher J. Bennett
Assessing variation: a unifying approach for all scales of measurement
published 2014 · Quality & Quantity · 32 citations
with Tamar Gadrich, Emil Bashkansky
Heavy tailed capital incomes: Zenga index, statistical inference, and ECHP data analysis
published 2013 · Extremes · 20 citations
Estimation of Optimal Portfolio Weights Under Parameter Uncertainty and User-Specified Constraints: A Perturbation Method
published 2013 · Journal of Statistical Theory and Practice · 2 citations
with C.J. Bennett
Evaluating Risk Measures and Capital Allocations Based on Multi-Losses Driven by a Heavy-Tailed Background Risk: The Multivariate Pareto-II Model
published 2013 · Risks · 37 citations
with Alexandru V. Asimit, Raluca Vernic, Vali Alexandru Asimit
An Optimal Strategy for Maximizing the Expected Real-Estate Selling Price: Accept or Reject an Offer?
published 2012 · Journal of Statistical Theory and Practice · 2 citations
with Martín Egozcue, Luis Fuentes García
Contrasting the Gini and Zenga indices of economic inequality
published 2012 · Journal of Applied Statistics · 44 citations
Examining the Distributional Effects of Military Service on Earnings: A Test of Initial Dominance
published 2012 · Journal of Business and Economic Statistics · first circulated 2011
with Christopher J. Bennett
Integration-segregation decisions under general value functions: 'Create your own bundle--choose 1, 2 or all 3!'
published 2012 · IMA Journal of Management Mathematics · 12 citations
with Martín Egozcue, Sébastien Massoni, Wing-Keung Wong
The Order-Statistic Claim Process With Dependent Claim Frequencies and Severities
published 2012 · Journal of Statistical Theory and Practice · 12 citations
with Kristina P. Sendova
Beyond the Gompertz law: exploring the late-life mortality deceleration phenomenon
published 2012 · Scandinavian Actuarial Journal · 26 citations
with Mark Bebbington, Rebecca Green, Chin-Diew Lai
Prospect Performance Evaluation: Making a Case for a Non-asymptotic UMPU Test
published 2012 · Journal of Financial Econometrics · 48 citations · first circulated 2011
with Zhidong Bai, Yongchang Hui, Wing-Keung Wong
Do investors like to diversify? A study of Markowitz preferences
published 2011 · European Journal of Operational Research · 67 citations · first circulated 2010
with Martín Egozcue, Luis Fuentes García, Wing-Keung Wong
Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses
published 2011 · Insurance Mathematics and Economics · 17 citations
with Brahim Brahimi, Djamel Meraghni, Abdelhakim Necir
Log-supermodularity of weight functions, ordering weighted losses, and the loading monotonicity of weighted premiums
published 2010 · Insurance Mathematics and Economics · 9 citations
with Hristo S. Sendov, Ying Wang, Wang Ying
The covariance sign of transformed random variables with applications to economics and finance
published 2010 · IMA Journal of Management Mathematics · 27 citations
with Martín Egozcue, Luis Fuentes García, Wing-Keung Wong
General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
published 2010 · Astin Bulletin · 5 citations
with Edward Furman
Zenga′s New Index of Economic Inequality, Its Estimation, and an Analysis of Incomes in Italy
published 2010 · Journal of Probability and Statistics · 43 citations · first circulated 2009
Estimating the Conditional Tail Expectation in the Case of Heavy‐Tailed Losses
published 2010 · Journal of Probability and Statistics · 57 citations
with Abdelhakim Necir, Abdelaziz Rassoul
Grüss-Type Bounds for the Covariance of Transformed Random Variables
published 2010 · Journal of Inequalities and Applications · 14 citations
with Martín Egozcue, Luis Fuentes García, Wing-Keung Wong
Weighted Pricing Functionals With Applications to Insurance
published 2009 · North American Actuarial Journal · 91 citations
with Edward Furman
$L$-functions, processes, and statistics in measuring economic inequality and actuarial risks
published 2009 · Statistics and Its Interface · 56 citations
A Distributional Analysis of Treatment Effects on Subpopulations of a Socioeconomic Experiment
published 2009 · Carleton Economic Papers
with Marcel Voia, Liqun Wang
no link
Modeling lactation curves: classical parametric models re-examined and modified
published 2008 · Journal of Applied Statistics · 7 citations
with Mark Bebbington, C. D. Lai
Robust fitting of claim severity distributions and the method of trimmed moments
published 2008 · Journal of Statistical Planning and Inference · 13 citations
Weighted risk capital allocations
published 2008 · Insurance Mathematics and Economics · 21 citations
with Edward Furman
Life expectancy of a bathtub shaped failure distribution
published 2008 · Statistical Papers · 3 citations
with Mark Bebbington, Chin-Diew Lai
TESTING HYPOTHESES ABOUT ABSOLUTE CONCENTRATION CURVES AND MARGINAL CONDITIONAL STOCHASTIC DOMINANCE
published 2008 · Econometric Theory · 42 citations · first circulated 2006
with Edna Schechtman, Amit Shelef, Shlomo Yitzhaki
Distributional analysis of empirical volatility in GARCH processes
published 2008 · Journal of Statistical Planning and Inference · 5 citations
Estimating conditional tail expectation with actuarial applications in view
published 2008 · Journal of Statistical Planning and Inference · 110 citations · first circulated 2007
The Atkinson Index, the Moran Statistic, and Testing Exponentiality
published 2008 · JOURNAL OF THE JAPAN STATISTICAL SOCIETY · 27 citations
with Nao Mimoto
Confidence regions for the intensity function of a cyclic Poisson process
published 2007 · Statistical Inference for Stochastic Processes · 2 citations
Weighted premium calculation principles
published 2007 · Insurance Mathematics and Economics · 148 citations · first circulated 2006
with Edward Furman
Nested L -statistics and their use in comparing the riskiness of portfolios
published 2007 · Scandinavian Actuarial Journal · 16 citations
BATHTUB‐TYPE CURVES IN RELIABILITY AND BEYOND
published 2007 · Australian & New Zealand Journal of Statistics · 25 citations
with Mark Bebbington, Chin-Diew Lai
Reduction in mean residual life in the presence of a constant competing risk
published 2007 · Applied Stochastic Models in Business and Industry · 35 citations
with Mark Bebbington, Chin-Diew Lai
Estimating the turning point of a bathtub-shaped failure distribution
published 2007 · Journal of Statistical Planning and Inference · 5 citations
with Mark Bebbington, Chin-Diew Lai
An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets”, Zinoviy Landsman and Michael Sherris, January 2007
published 2007 · North American Actuarial Journal · 6 citations
with Edward Furman
An Extreme Value Analysis of Advanced Age Mortality Data,” Kathryn A. Watts, Debbie J. Dupuis, and Bruce L. Jones, October 2006
published 2007 · North American Actuarial Journal
with Mark Bebbington, Chin-Diew Lai
A non-parametric estimator for the doubly periodic Poisson intensity function
published 2007 · Statistical Methodology · 12 citations
with Roelof Helmers, I Wayan Mangku
Estimating the Renewal Function When the Second Moment Is Infinite
published 2007 · Stochastic Models · 7 citations
with Mark Bebbington, Youri Davydov
Robustification and performance evaluation of empirical risk measures and other vector-valued estimators
published 2007 · METRON · 9 citations
no link
Risk measures, distortion parameters, and their empirical estimation
published 2006 · Insurance Mathematics and Economics · 51 citations
with Bruce L. Jones
On weak convergence of random fields
published 2006 · Annals of the Institute of Statistical Mathematics · 20 citations
with Youri Davydov
Deterministic Noises that can be Statistically Distinguished from the Random Ones
published 2006 · Statistical Inference for Stochastic Processes · 5 citations
with Youri Davydov
Sample and Implied Volatility in GARCH Models
published 2006 · Journal of Financial Econometrics · 11 citations
Convex rearrangements, generalized Lorenz curves, and correlated Gaussian data
published 2006 · Journal of Statistical Planning and Inference · 10 citations
with Youri Davydov, Davar Khoshnevisan, Zhan Shi
TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
published 2006 · Econometric Theory · 14 citations
Testing hypotheses about the equality of several risk measure values with applications in insurance
published 2005 · Insurance Mathematics and Economics · 21 citations
with Bruce L. Jones, Madan L. Puri
Strong laws for generalized absolute Lorenz curves when data are stationary and ergodic sequences
published 2005 · Proceedings of the American Mathematical Society · 7 citations · first circulated 2004
with Roelof Helmers
Testing for stochastic dominance using the weighted McFadden-type statistic
published 2005 · Journal of Econometrics · 56 citations
An index of monotonicity and its estimation: a step beyond econometric applications of the Gini index
published 2005 · METRON · 16 citations
with Youri Davydov
no link
Asymptotics of the Lp-norms of density estimators in the first-order autoregressive models
published 2003 · Statistics & Probability Letters · 12 citations
Empirical Estimation of Risk Measures and Related Quantities
published 2003 · North American Actuarial Journal · 128 citations
with Bruce L. Jones
Generalized Lorenz curves and convexifications of stochastic processes
published 2003 · Journal of Applied Probability · 24 citations
with Youri Davydov
The influence of deterministic noise on empirical measures generated by stationary processes
published 2003 · Proceedings of the American Mathematical Society · 4 citations
with Youri Davydov
ASYMPTOTIC ESTIMATION OF THE E-GINI INDEX
published 2003 · Econometric Theory · 24 citations
Statistical properties of a kernel-type estimator of the intensity function of a cyclic Poisson process
published 2003 · Journal of Multivariate Analysis · 24 citations · first circulated 2001
with Roelof Helmers, I Wayan Mangku
Consistent estimation of the intensity function of a cyclic Poisson process
published 2003 · Journal of Multivariate Analysis · 39 citations · first circulated 1999
with Roelof Helmers, I Wayan Mangku
The Asymptotic Distribution of the S–Gini Index
published 2002 · Australian & New Zealand Journal of Statistics · 47 citations
with Joseph L. Gastwirth
Convergence of generalized Lorenz curves based on stationary ergodic random sequences with deterministic noise
published 2002 · Statistics & Probability Letters · 10 citations
with Youri Davydov
Pointwise and Uniform Asymptotics of the Vervaat Error Process
published 2002 · Journal of Theoretical Probability · 8 citations
with Endre Csáki, Miklós Csörgő, Antónia Földes, Zhan Shi
The Vervaat Process in Lp Spaces
published 2001 · Journal of Multivariate Analysis · 6 citations
with Miklós Csörgő
On Estimation of Poisson Intensity Functions
published 1999 · Annals of the Institute of Statistical Mathematics · 23 citations · first circulated 1998
with Roelof Helmers
Asymptotic confidence bands for the Lorenz and Bonferroni curves based on the empirical Lorenz curve
published 1998 · Journal of Statistical Planning and Inference · 30 citations
with Miklós Csörgő, Joseph L. Gastwirth
On the Rate of Strong Consistency of the Total Time on Test Statistic
published 1998 · Journal of Multivariate Analysis · 2 citations
with Miklós Csörgő
On the rate of strong consistency of Lorenz curves
published 1997 · Statistics & Probability Letters · 16 citations
with Miklós Csörgő
Strassen's LIL for the Lorenz Curve
published 1996 · Journal of Multivariate Analysis · 23 citations
with Miklós Csörgő
Mean residual life processes
published 1996 · The Annals of Statistics · 41 citations · first circulated 1986
Asymptotic expansions in the integral and local limit theorems in banach spaces with applications to ?-statistics
published 1993 · Journal of Theoretical Probability · 11 citations
with V. Bentkus, F. G�tze
Cram�r type large deviations for a class of statistics
published 1992 · Lithuanian Mathematical Journal
Asymptotic behaviour of linear combinations of functions of order statistics
published 1991 · Journal of Statistical Planning and Inference · 8 citations
with Rimas Norvaiša
Uniform limit theorem for densities ofL-statistics
published 1991 · Lithuanian Mathematical Journal
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