Biografia
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
Educação
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) |
Publicações e Citações
Ano | Título / Publicação | Link |
---|---|---|
2023 | A public micro pension programme in Brazil: Heterogeneity among states and setting up of benefit age adjustment European Actuarial Journal |
Ver |
2023 | Stochastic differential equations death rates models: the Portuguese case Decisions in Economics and Finance |
Ver |
2023 | Modelling Risk for Commodities in Brazil: An Application for Live Cattle Spot and Futures Prices Agricultural Commodities |
Ver |
2021 | Ruin and dividend measures in the renewal dual risk model Methodology and Computing in Applied Probability |
Ver |
2021 | Cyber risk: An analysis of self-protection and the prediction of claims. CEMAPRE |
Ver |
2021 | Pricing foreseeable and unforeseeable risks in insurance portfolios CEMAPRE |
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 |
2017 | On dividends in the Phase–Type dual risk model Scandinavian Actuarial 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 |
|
2016 | Ruin problems in the generalized Erlang(n) risk model European Actuarial Journal |
Ver |
2015 | Further developments in the Erlang(n) risk process Scandinavian 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 |
2013 | Dividend problems in the dual risk model INSURANCE MATHEMATICS & ECONOMICS |
Ver |
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 |
Ver |
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 |
|
1993 | How long is the surplus below zero? INSURANCE MATHEMATICS & ECONOMICS |
Ano | Título / Publicação | 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 |
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 | Cyber risk: An analysis of self-protection and the prediction of claims CEMAPRE - Working Paper |
Ver |
2021 | Approximations to ultimate ruin probabilities with a Wienner process perturbation CEMAPRE |
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 | Ruin probabilities in the context of the winner's curse |
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 | On a penalty function under randomized observations in the renewal dual risk model |
Ver |
2022 | Risk model with dependent frequency and severity for Liability and Housing Insurance |
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 | On a penalty function in the Erlang renewal dual risk model under independent randomised observations |
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 | A probability of ruin approach to optimize pension fund investments |
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 | Estimation of foreseeable and unforeseeable risks in motor insurance |
Ver |
2019 | Impact of microinsurance on the Brazilian Public Pension System |
Ver |
2019 | Ruin and dividend problems in the renewal dual risk model |
Ver |
2019 | Ruin probabilities for open portfolios with a Bonus Malus System |
Ver |
2019 | Microinsurance in the Brazilian Public Pension System |
Ver |
2019 | Impact of Microinsurance on the Brazilian Public Pension System |
Ver |
2018 | Estimation of foreseeable and unforeseeable risks |
|
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 | Ruin and dividend measures in the renewal dual risk model |
Ver |
2018 | Estimation of foreseeable and unforeseeable risks in motor insurance |
Ver |
2017 | Text Mining and Ruin Theory: A case study on Risk Models with Dependence |
|
2017 | Estimation of foreseeable and unforeseeable risks |
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 | Ruin and Dividend problems in the 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 | 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 |
Ver |
2015 | A study of dividends and optimal barriers for a dual risk model |
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 features |
Ver |
2014 | On the SparreAndersen Risk Model with PhaseType interclaim times |
Ver |
2014 | On a Sparre-Andersen risk model with PH(n) interclaim times |
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 | Measuring the impact of a bonus malus system in nite and continuous time ruin probabilities, for large portfolios in motor insurance |
Ver |
2014 | The Cramér-Lundberg and the dual risk models: Ruin, dividend problems and duality |
Ver |
2013 | Measuring the impact of a bonus malus system in finite and continuous time ruin probabilities, for large portfolios in motor insurance |
Ver |
2013 | The Erlang(n) dual risk model, discounted dividends, moments and optimal expectations |
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 | Moments of Dividends and Optimal Expected Dividends in the Erlang(n) dual risk model |
Ver |
2013 | On a SparreAndersen risk model with PH(n) interclaim times |
Ver |
2013 | On the generalized Lundberg's equation in a Sparre-Andersen risk model |
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 |
---|---|---|---|
2º | Cálculo e Instrumentos Financeiros | Licenciatura Bolonha em Gestão - Gestão, Licenciatura Bolonha em Finanças - Finanças, Licenciatura Bolonha em Economia - Economia | Yes |
2º | Risk Theory | Mestrado Bolonha em Economia - Economia, Doutoramento Bolonha em Matemática Aplicada à Economia e à Gestão - Matemática Aplicada à Economia e à Gestão, Mestrado Bolonha em Actuarial Science - Actuarial Science | 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 Gestão - Gestão, Licenciatura Bolonha em Finanças - Finanças, Licenciatura Bolonha em Economia - Economia, Licenciatura Bolonha em Estudos Gerais - Estudos Gerais | Yes |
Ano | Aluno / Título / Instituição | Tipo | 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 |
Experiência Profissional
Nome / Descrição | Data | Organização |
---|---|---|
Coordenador Científico do CEMAPRE |
2013 - 2015 | ISEG |