His research interests include: Multivariate Analysis, Distribution Theory, Extreme Value Theory, Economic Inequality and Actuarial Statistics. He has published papers in several important Journals including: Journal of the American Statistical Association, Statistical Science, Journal of Econometrics, Econometrics Reviews, Insurance: Mathematics and Economics, Journal of Risk and Insurance, Journal of Multivariate Analysis, Computational Statistics and Data Analysis, Physica A, etc. He is Associate Editor of the Journals: Journal of Statistical Planning and Inference, Statistical Methodology, Journal of Probability and Statistics, Anales del Instituto de Actuarios Espanoles and Chilenan Journal of Statistics.