Albrecher, Hansjörg; Bladt, Martin Informed censoring: the parametric combination of data and expert information. (English) Zbl 07901365 J. Stat. Plann. Inference 233, Article ID 106171, 16 p. (2024). MSC: 62-XX PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{M. Bladt}, J. Stat. Plann. Inference 233, Article ID 106171, 16 p. (2024; Zbl 07901365) Full Text: DOI arXiv
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora Optimal dividend strategies for a catastrophe insurer. (English) Zbl 07889736 Front. Math. Finance 3, No. 2, 304-344 (2024). MSC: 91G05 49L25 49L12 93E20 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Front. Math. Finance 3, No. 2, 304--344 (2024; Zbl 07889736) Full Text: DOI arXiv
Albrecher, Hansjörg; Garcia Flores, Brandon Optimal dividend bands revisited: a gradient-based method and evolutionary algorithms. (English) Zbl 1521.91307 Scand. Actuar. J. 2023, No. 8, 788-810 (2023). MSC: 91G05 93E20 68W50 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{B. Garcia Flores}, Scand. Actuar. J. 2023, No. 8, 788--810 (2023; Zbl 1521.91307) Full Text: DOI arXiv Link
Albrecher, Hansjörg; Bladt, Martin; Müller, Alaric J. A. Joint lifetime modeling with matrix distributions. (English) Zbl 1514.62184 Depend. Model. 11, Article ID 20220153, 22 p. (2023). MSC: 62N02 62H05 62M05 62P05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Depend. Model. 11, Article ID 20220153, 22 p. (2023; Zbl 1514.62184) Full Text: DOI arXiv OA License
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge Continuous scaled phase-type distributions. (English) Zbl 1514.60018 Stoch. Models 39, No. 2, 293-322 (2023). MSC: 60E05 60G70 60J22 62F10 62N01 62P05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Stoch. Models 39, No. 2, 293--322 (2023; Zbl 1514.60018) Full Text: DOI arXiv OA License
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora Optimal dividends under a drawdown constraint and a curious square-root rule. (English) Zbl 1511.91161 Finance Stoch. 27, No. 2, 341-400 (2023). MSC: 91G50 49L25 93E20 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Finance Stoch. 27, No. 2, 341--400 (2023; Zbl 1511.91161) Full Text: DOI arXiv OA License
Acciaio, Beatrice; Albrecher, Hansjörg; Flores, Brandon García Optimal reinsurance from an optimal transport perspective. arXiv:2312.06811 Preprint, arXiv:2312.06811 [math.OC] (2023). BibTeX Cite \textit{B. Acciaio} et al., ``Optimal reinsurance from an optimal transport perspective'', Preprint, arXiv:2312.06811 [math.OC] (2023) Full Text: arXiv OA License
Mnatsakanov, Robert M.; Albrecher, Hansjoerg; Loisel, Stephane Approximations of copulas via transformed moments. (English) Zbl 1505.62480 Methodol. Comput. Appl. Probab. 24, No. 4, 3175-3193 (2022). MSC: 62H05 62G05 62G07 41A25 PDFBibTeX XMLCite \textit{R. M. Mnatsakanov} et al., Methodol. Comput. Appl. Probab. 24, No. 4, 3175--3193 (2022; Zbl 1505.62480) Full Text: DOI
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge Mortality modeling and regression with matrix distributions. (English) Zbl 1515.62096 Insur. Math. Econ. 107, 68-87 (2022). Reviewer: Tamás Mátrai (Edinburgh) MSC: 62P05 62N02 60J28 91D20 91G05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 107, 68--87 (2022; Zbl 1515.62096) Full Text: DOI arXiv OA License
Albrecher, Hansjörg; Bladt, Mogens; Yslas, Jorge Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case. (English) Zbl 07638422 Scand. J. Stat. 49, No. 1, 44-77 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{H. Albrecher} et al., Scand. J. Stat. 49, No. 1, 44--77 (2022; Zbl 07638422) Full Text: DOI arXiv
Albrecher, Hansjörg; Bladt, Martin; Müller, Alaric J. A. Penalised likelihood methods for phase-type dimension selection. (English) Zbl 1509.60004 Stat. Risk. Model. 39, No. 3-4, 75-92 (2022). MSC: 60-08 62M05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Stat. Risk. Model. 39, No. 3--4, 75--92 (2022; Zbl 1509.60004) Full Text: DOI
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora Optimal ratcheting of dividends in a Brownian risk model. (English) Zbl 1497.91331 SIAM J. Financ. Math. 13, No. 3, 657-701 (2022). MSC: 91G50 49L25 93E20 PDFBibTeX XMLCite \textit{H. Albrecher} et al., SIAM J. Financ. Math. 13, No. 3, 657--701 (2022; Zbl 1497.91331) Full Text: DOI arXiv
Albrecher, Hansjörg; Finger, Dina; Goffard, Pierre-O. Blockchain mining in pools: analyzing the trade-off between profitability and ruin. (English) Zbl 1492.91269 Insur. Math. Econ. 105, 313-335 (2022). MSC: 91G05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 105, 313--335 (2022; Zbl 1492.91269) Full Text: DOI arXiv OA License
Mouminoux, Claire; Dutang, Christophe; Loisel, Stéphane; Albrecher, Hansjoerg On a Markovian game model for competitive insurance pricing. (English) Zbl 1489.91069 Methodol. Comput. Appl. Probab. 24, No. 2, 1061-1091 (2022). MSC: 91B05 91A80 91G05 91A20 60J10 PDFBibTeX XMLCite \textit{C. Mouminoux} et al., Methodol. Comput. Appl. Probab. 24, No. 2, 1061--1091 (2022; Zbl 1489.91069) Full Text: DOI HAL
Albrecher, Hansjörg; Araujo-Acuna, José Carlos On the randomized Schmitter problem. (English) Zbl 1489.91213 Methodol. Comput. Appl. Probab. 24, No. 2, 515-535 (2022). MSC: 91G05 91G80 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{J. C. Araujo-Acuna}, Methodol. Comput. Appl. Probab. 24, No. 2, 515--535 (2022; Zbl 1489.91213) Full Text: DOI OA License
Albrecher, Hansjörg; Garcia Flores, Brandon Asymptotic analysis of generalized Greenwood statistics for very heavy tails. (English) Zbl 1484.62054 Stat. Probab. Lett. 185, Article ID 109429, 14 p. (2022). MSC: 62G20 62G32 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{B. Garcia Flores}, Stat. Probab. Lett. 185, Article ID 109429, 14 p. (2022; Zbl 1484.62054) Full Text: DOI OA License
Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; Woo, Jae-Kyung A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. (English) Zbl 1484.91366 Insur. Math. Econ. 103, 96-118 (2022). MSC: 91G05 45K05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 103, 96--118 (2022; Zbl 1484.91366) Full Text: DOI Link
Albrecher, Hansjoerg; Goffard, Pierre-Olivier On the profitability of selfish blockchain mining under consideration of ruin. (English) Zbl 1484.91526 Oper. Res. 70, No. 1, 179-200 (2022). MSC: 91G99 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{P.-O. Goffard}, Oper. Res. 70, No. 1, 179--200 (2022; Zbl 1484.91526) Full Text: DOI arXiv HAL
Albrecher, Hansjoerg; Peralta, Oscar Space-grid approximations of hybrid stochastic differential equations and first passage properties. arXiv:2211.01844 Preprint, arXiv:2211.01844 [math.PR] (2022). BibTeX Cite \textit{H. Albrecher} and \textit{O. Peralta}, ``Space-grid approximations of hybrid stochastic differential equations and first passage properties'', Preprint, arXiv:2211.01844 [math.PR] (2022) Full Text: arXiv OA License
Albrecher, Hansjörg; Bladt, Martin; Vatamidou, Eleni Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails. (English) Zbl 1477.91013 Methodol. Comput. Appl. Probab. 23, No. 4, 1237-1255 (2021). MSC: 91B05 60K10 91-10 91G05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Methodol. Comput. Appl. Probab. 23, No. 4, 1237--1255 (2021; Zbl 1477.91013) Full Text: DOI arXiv
Vincent, Léonard; Albrecher, Hansjörg; Krvavych, Yuriy Structured reinsurance deals with reference to relative market performance. (English) Zbl 1475.91320 Insur. Math. Econ. 101, 125-139 (2021). MSC: 91G05 PDFBibTeX XMLCite \textit{L. Vincent} et al., Insur. Math. Econ. 101, 125--139 (2021; Zbl 1475.91320) Full Text: DOI OA License
Albrecher, Hansjörg; Araujo-Acuna, José Carlos; Beirlant, Jan Fitting nonstationary Cox processes: an application to fire insurance data. (English) Zbl 1481.91160 N. Am. Actuar. J. 25, No. 2, 135-162 (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 62P05 60G55 PDFBibTeX XMLCite \textit{H. Albrecher} et al., N. Am. Actuar. J. 25, No. 2, 135--162 (2021; Zbl 1481.91160) Full Text: DOI
Albrecher, Hansjörg; Araujo-Acuna, José Carlos; Beirlant, Jan Tempered Pareto-type modelling using Weibull distributions. (English) Zbl 1479.91301 ASTIN Bull. 51, No. 2, 509-538 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 62P05 62G32 PDFBibTeX XMLCite \textit{H. Albrecher} et al., ASTIN Bull. 51, No. 2, 509--538 (2021; Zbl 1479.91301) Full Text: DOI arXiv OA License
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan Trimmed extreme value estimators for censored heavy-tailed data. (English) Zbl 1471.62482 Electron. J. Stat. 15, No. 1, 3112-3136 (2021). MSC: 62N01 62G32 62P20 PDFBibTeX XMLCite \textit{M. Bladt} et al., Electron. J. Stat. 15, No. 1, 3112--3136 (2021; Zbl 1471.62482) Full Text: DOI arXiv
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens Multivariate matrix Mittag-Leffler distributions. (English) Zbl 1469.62258 Ann. Inst. Stat. Math. 73, No. 2, 369-394 (2021). MSC: 62H10 62G32 60F10 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Ann. Inst. Stat. Math. 73, No. 2, 369--394 (2021; Zbl 1469.62258) Full Text: DOI arXiv
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan Threshold selection and trimming in extremes. (English) Zbl 1466.62318 Extremes 23, No. 4, 629-665 (2020). MSC: 62G30 62G32 60F10 62P05 PDFBibTeX XMLCite \textit{M. Bladt} et al., Extremes 23, No. 4, 629--665 (2020; Zbl 1466.62318) Full Text: DOI arXiv OA License
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens Multivariate fractional phase-type distributions. (English) Zbl 1474.60025 Fract. Calc. Appl. Anal. 23, No. 5, 1431-1451 (2020). MSC: 60E05 60K15 60G22 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Fract. Calc. Appl. Anal. 23, No. 5, 1431--1451 (2020; Zbl 1474.60025) Full Text: DOI arXiv
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora Optimal ratcheting of dividends in insurance. (English) Zbl 1452.91256 SIAM J. Control Optim. 58, No. 4, 1822-1845 (2020). MSC: 91G05 93E20 49L25 PDFBibTeX XMLCite \textit{H. Albrecher} et al., SIAM J. Control Optim. 58, No. 4, 1822--1845 (2020; Zbl 1452.91256) Full Text: DOI arXiv
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan Combined tail estimation using censored data and expert information. (English) Zbl 1448.91255 Scand. Actuar. J. 2020, No. 6, 503-525 (2020). MSC: 91G05 62P05 62N02 62G32 PDFBibTeX XMLCite \textit{M. Bladt} et al., Scand. Actuar. J. 2020, No. 6, 503--525 (2020; Zbl 1448.91255) Full Text: DOI arXiv
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. (English) Zbl 1450.62044 Extremes 23, No. 3, 425-450 (2020). MSC: 62G32 62P05 33E12 91G05 62E10 62F10 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Extremes 23, No. 3, 425--450 (2020; Zbl 1450.62044) Full Text: DOI arXiv
Albrecher, Hansjörg; Chen, Bohan; Vatamidou, Eleni; Zwart, Bert Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. (English) Zbl 1444.91188 J. Appl. Probab. 57, No. 2, 513-530 (2020). MSC: 91G05 60F10 PDFBibTeX XMLCite \textit{H. Albrecher} et al., J. Appl. Probab. 57, No. 2, 513--530 (2020; Zbl 1444.91188) Full Text: DOI arXiv
Guevara-Alarcón, William; Albrecher, Hansjörg; Chowdhury, Parvez On marine liability portfolio modeling. (English) Zbl 1431.91331 ASTIN Bull. 50, No. 1, 61-93 (2020). MSC: 91G05 PDFBibTeX XMLCite \textit{W. Guevara-Alarcón} et al., ASTIN Bull. 50, No. 1, 61--93 (2020; Zbl 1431.91331) Full Text: DOI Link
Raaijmakers, Youri; Albrecher, Hansjörg; Boxma, Onno The single server queue with mixing dependencies. (English) Zbl 1437.60071 Methodol. Comput. Appl. Probab. 21, No. 4, 1023-1044 (2019). MSC: 60K25 90B20 PDFBibTeX XMLCite \textit{Y. Raaijmakers} et al., Methodol. Comput. Appl. Probab. 21, No. 4, 1023--1044 (2019; Zbl 1437.60071) Full Text: DOI Link
Albrecher, Hansjörg; Bladt, Mogens Inhomogeneous phase-type distributions and heavy tails. (English) Zbl 1428.62103 J. Appl. Probab. 56, No. 4, 1044-1064 (2019). MSC: 62F10 60J27 62P05 62M05 60E05 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{M. Bladt}, J. Appl. Probab. 56, No. 4, 1044--1064 (2019; Zbl 1428.62103) Full Text: DOI arXiv
Albrecher, Hansjörg; Cani, Arian On randomized reinsurance contracts. (English) Zbl 1419.91346 Insur. Math. Econ. 84, 67-78 (2019). MSC: 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{A. Cani}, Insur. Math. Econ. 84, 67--78 (2019; Zbl 1419.91346) Full Text: DOI Link
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin Dividends: from refracting to ratcheting. (English) Zbl 1417.91260 Insur. Math. Econ. 83, 47-58 (2018). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 83, 47--58 (2018; Zbl 1417.91260) Full Text: DOI
Albrecher, Hansjörg (ed.); Bauer, Daniel (ed.); Embrechts, Paul (ed.); Filipović, Damir (ed.); Koch-Medina, Pablo (ed.); Korn, Ralf (ed.); Loisel, Stéphane (ed.); Pelsser, Antoon (ed.); Schiller, Frank (ed.); Schmeiser, Hato (ed.); Wagner, Joël (ed.) Asset-liability management for long-term insurance business. (English) Zbl 1416.91145 Eur. Actuar. J. 8, No. 1, 9-25 (2018). MSC: 91B30 00B25 PDFBibTeX XMLCite \textit{H. Albrecher} (ed.) et al., Eur. Actuar. J. 8, No. 1, 9--25 (2018; Zbl 1416.91145) Full Text: DOI Link
Albrecher, Hansjörg; Ivanovs, Jevgenijs Linking dividends and capital injections – a probabilistic approach. (English) Zbl 1416.91146 Scand. Actuar. J. 2018, No. 1, 76-83 (2018). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{J. Ivanovs}, Scand. Actuar. J. 2018, No. 1, 76--83 (2018; Zbl 1416.91146) Full Text: DOI Link
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora Optimal dividend strategies for two collaborating insurance companies. (English) Zbl 1429.91274 Adv. Appl. Probab. 49, No. 2, 515-548 (2017). MSC: 91G05 91G50 93E20 49L25 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Adv. Appl. Probab. 49, No. 2, 515--548 (2017; Zbl 1429.91274) Full Text: DOI arXiv
Albrecher, Hansjörg; Cani, Arian Risk theory with affine dividend payment strategies. (English) Zbl 1415.91147 Elsholtz, Christian (ed.) et al., Number theory – Diophantine problems, uniform distribution and applications. Festschrift in honour of Robert F. Tichy’s 60th birthday. Cham: Springer. 25-60 (2017). MSC: 91B30 60H30 44A10 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{A. Cani}, in: Number theory -- Diophantine problems, uniform distribution and applications. Festschrift in honour of Robert F. Tichy's 60th birthday. Cham: Springer. 25--60 (2017; Zbl 1415.91147) Full Text: DOI Link
Albrecher, Hansjörg; Ivanovs, Jevgenijs On the joint distribution of tax payments and capitalinjections for a Lévy risk model. (English) Zbl 1393.60048 Probab. Math. Stat. 37, No. 2, 219-227 (2017). MSC: 60G51 60E10 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{J. Ivanovs}, Probab. Math. Stat. 37, No. 2, 219--227 (2017; Zbl 1393.60048) Full Text: Link
Albrecher, Hansjoerg; Beirlant, Jan; Teugels, Jozef L. Reinsurance. Actuarial and statistical aspects. (English) Zbl 1376.91004 Wiley Series in Probability and Statistics. Hoboken, NJ: John Wiley & Sons (ISBN 978-0-470-77268-3/hbk; 978-1-119-41254-0/ebook). xi, 352 p. (2017). MSC: 91-02 91B30 62P05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Reinsurance. Actuarial and statistical aspects. Hoboken, NJ: John Wiley \& Sons (2017; Zbl 1376.91004) Full Text: DOI
Albrecher, Hansjörg; Boxma, Onno; Essifi, Rim; Kuijstermans, Richard A queueing model with randomized depletion of inventory. (English) Zbl 1370.90083 Probab. Eng. Inf. Sci. 31, No. 1, 43-59 (2017). MSC: 90B22 60K25 90B05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Probab. Eng. Inf. Sci. 31, No. 1, 43--59 (2017; Zbl 1370.90083) Full Text: DOI
Albrecher, Hansjörg; Ivanovs, Jevgenijs Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. (English) Zbl 1354.60048 Stochastic Processes Appl. 127, No. 2, 643-656 (2017). MSC: 60G51 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{J. Ivanovs}, Stochastic Processes Appl. 127, No. 2, 643--656 (2017; Zbl 1354.60048) Full Text: DOI arXiv
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël Old-age provision: past, present, future. (English) Zbl 1394.91007 Eur. Actuar. J. 6, No. 2, 287-306 (2016). MSC: 91-06 91B30 91D20 91G99 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Eur. Actuar. J. 6, No. 2, 287--306 (2016; Zbl 1394.91007) Full Text: DOI Link
Albrecher, Hansjörg; Ivanovs, Jevgenijs; Zhou, Xiaowen Exit identities for Lévy processes observed at Poisson arrival times. (English) Zbl 1338.60125 Bernoulli 22, No. 3, 1364-1382 (2016). MSC: 60G51 60G55 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Bernoulli 22, No. 3, 1364--1382 (2016; Zbl 1338.60125) Full Text: DOI arXiv Euclid
Albrecher, Hansjörg; Asadi, Peiman; Ivanovs, Jevgenijs Exact boundaries in sequential testing for phase-type distributions. (English) Zbl 1309.62140 J. Appl. Probab. 51A, Spec. Vol., 347-358 (2014). MSC: 62L12 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} et al., J. Appl. Probab. 51A, 347--358 (2014; Zbl 1309.62140) Full Text: DOI arXiv Euclid
Albrecher, Hansjörg; Ivanovs, Jevgenijs Power identities for Lévy risk models under taxation and capital injections. (English) Zbl 1300.60067 Stoch. Syst. 4, No. 1, 157-172 (2014). MSC: 60G51 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{J. Ivanovs}, Stoch. Syst. 4, No. 1, 157--172 (2014; Zbl 1300.60067) Full Text: DOI arXiv Euclid
Albrecher, Hansjörg; Boxma, Onno J.; Ivanovs, Jevgenijs On simple ruin expressions in dependent Sparre Andersen risk models. (English) Zbl 1286.91063 J. Appl. Probab. 51, No. 1, 293-296 (2014). MSC: 91B30 60K20 PDFBibTeX XMLCite \textit{H. Albrecher} et al., J. Appl. Probab. 51, No. 1, 293--296 (2014; Zbl 1286.91063) Full Text: DOI Euclid
Albrecher, Hansjörg; Avram, Florin; Constantinescu, Corina; Ivanovs, Jevgenijs The tax identity for Markov additive risk processes. (English) Zbl 1286.91062 Methodol. Comput. Appl. Probab. 16, No. 1, 245-258 (2014). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 60G51 60J75 60K37 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Methodol. Comput. Appl. Probab. 16, No. 1, 245--258 (2014; Zbl 1286.91062) Full Text: DOI Link
Albrecher, Hansjoerg; Robert, Christian; Teugels, Jef Joint asymptotic distributions of smallest and largest insurance claims. arXiv:1402.6128 Preprint, arXiv:1402.6128 [math.PR] (2014). BibTeX Cite \textit{H. Albrecher} et al., ``Joint asymptotic distributions of smallest and largest insurance claims'', Preprint, arXiv:1402.6128 [math.PR] (2014) Full Text: arXiv OA License
Dutang, Christophe; Albrecher, Hansjoerg; Loisel, Stéphane Competition among non-life insurers under solvency constraints: a game-theoretic approach. (English) Zbl 1317.91042 Eur. J. Oper. Res. 231, No. 3, 702-711 (2013). MSC: 91B30 91A10 91A80 PDFBibTeX XMLCite \textit{C. Dutang} et al., Eur. J. Oper. Res. 231, No. 3, 702--711 (2013; Zbl 1317.91042) Full Text: DOI HAL
Albrecher, Hansjörg; Lautscham, Volkmar From ruin to bankruptcy for compound Poisson surplus processes. (English) Zbl 1283.91084 Astin Bull. 43, No. 2, 213-243 (2013). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 91G50 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{V. Lautscham}, ASTIN Bull. 43, No. 2, 213--243 (2013; Zbl 1283.91084) Full Text: DOI Link
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan Randomized observation periods for the compound Poisson risk model: the discounted penalty function. (English) Zbl 1401.91089 Scand. Actuar. J. 2013, No. 6, 424-452 (2013). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Scand. Actuar. J. 2013, No. 6, 424--452 (2013; Zbl 1401.91089) Full Text: DOI Link
Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane Equalization reserves for natural catastrophes and shareholder value: a simulation study. (English) Zbl 1273.91451 Eur. Actuar. J. 3, No. 1, 1-21 (2013). MSC: 91G50 91B30 PDFBibTeX XMLCite \textit{M. M. Dacorogna} et al., Eur. Actuar. J. 3, No. 1, 1--21 (2013; Zbl 1273.91451) Full Text: DOI Link
Albrecher, Hansjörg; Constantinescu, Corina; Palmowski, Zbigniew; Regensburger, Georg; Rosenkranz, Markus Exact and asymptotic results for insurance risk models with surplus-dependent premiums. (English) Zbl 1264.91068 SIAM J. Appl. Math. 73, No. 1, 47-66 (2013). MSC: 91B30 34B27 34B05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., SIAM J. Appl. Math. 73, No. 1, 47--66 (2013; Zbl 1264.91068) Full Text: DOI arXiv
Albrecher, Hansjoerg; Binder, Andreas; Lautscham, Volkmar; Mayer, Philipp Introduction to quantitative methods for financial markets. Revised and updated translation of the German original. (English) Zbl 1273.91001 Compact Textbooks in Mathematics. Basel: Birkhäuser/Springer (ISBN 978-3-0348-0518-6/pbk; 978-3-0348-0519-3/ebook). ix, 191 p. (2013). Reviewer: John O’Hara (Wivenhoe Park) MSC: 91-01 91G20 91G10 91G60 91B25 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Introduction to quantitative methods for financial markets. Revised and updated translation of the German original. Basel: Birkhäuser/Springer (2013; Zbl 1273.91001) Full Text: DOI
Albrecher, Hansjoerg; Ivanovs, Jevgenijs A risk model with an observer in a Markov environment. arXiv:1310.3054 Preprint, arXiv:1310.3054 [math.PR] (2013). BibTeX Cite \textit{H. Albrecher} and \textit{J. Ivanovs}, ``A risk model with an observer in a Markov environment'', Preprint, arXiv:1310.3054 [math.PR] (2013) Full Text: arXiv OA License
Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen Pricing of Parisian options for a jump-diffusion model with two-sided jumps. (English) Zbl 1372.91100 Appl. Math. Finance 19, No. 1-2, 97-129 (2012). MSC: 91G20 60J75 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Appl. Math. Finance 19, No. 1--2, 97--129 (2012; Zbl 1372.91100) Full Text: DOI
Albrecher, Hansjörg; Thonhauser, Stefan On optimal dividend strategies in insurance with an random time horizon. (English) Zbl 1287.91088 Cohen, Samuel N. (ed.) et al., Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott. Hackensack, NJ: World Scientific (ISBN 978-981-4383-30-1/hbk). Advances in Statistics, Probability and Actuarial Science 1, 157-179 (2012). Reviewer: C. L. Parihar (Indore) MSC: 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{S. Thonhauser}, Adv. Stat. Probab. Actuar. Sci. 1, 157--179 (2012; Zbl 1287.91088)
Albrecher, H.; Asmussen, S.; Kortschak, D. Tail asymptotics for dependent subexponential differences. (English. Russian original) Zbl 1257.62016 Sib. Math. J. 53, No. 6, 965-983 (2012); translation from Sib. Mat. Zh. 53, No. 6, 1209-1230 (2012). MSC: 62E20 62G32 62H05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Sib. Math. J. 53, No. 6, 965--983 (2012; Zbl 1257.62016); translation from Sib. Mat. Zh. 53, No. 6, 1209--1230 (2012) Full Text: DOI
Albrecher, Hansjoerg; Constantinescu, Corina; Thomann, Enrique Asymptotic results for renewal risk models with risky investments. (English) Zbl 1250.91055 Stochastic Processes Appl. 122, No. 11, 3767-3789 (2012). MSC: 91B30 60K05 60J75 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Stochastic Processes Appl. 122, No. 11, 3767--3789 (2012; Zbl 1250.91055) Full Text: DOI
Albrecher, Hansjörg; Gerber, Hans U. A note on moments of dividends. (English) Zbl 1299.91052 Acta Math. Appl. Sin., Engl. Ser. 27, No. 3, 353-354 (2011). MSC: 91B30 60G51 60J25 62P05 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{H. U. Gerber}, Acta Math. Appl. Sin., Engl. Ser. 27, No. 3, 353--354 (2011; Zbl 1299.91052) Full Text: DOI Link
Trufin, Julien; Albrecher, Hansjörg; Denuit, Michel Ruin problems under IBNR dynamics. (English) Zbl 1275.91079 Appl. Stoch. Models Bus. Ind. 27, No. 6, 619-632 (2011). MSC: 91B30 PDFBibTeX XMLCite \textit{J. Trufin} et al., Appl. Stoch. Models Bus. Ind. 27, No. 6, 619--632 (2011; Zbl 1275.91079) Full Text: DOI Link
Thonhauser, Stefan; Albrecher, Hansjörg Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. (English) Zbl 1262.91096 Stoch. Models 27, No. 1, 120-140 (2011). MSC: 91B30 60K10 49N25 PDFBibTeX XMLCite \textit{S. Thonhauser} and \textit{H. Albrecher}, Stoch. Models 27, No. 1, 120--140 (2011; Zbl 1262.91096) Full Text: DOI Link
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan Randomized onservation periods for the compound Poisson risk model: dividends. (English) Zbl 1239.91072 Astin Bull. 41, No. 2, 645-672 (2011). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{H. Albrecher} et al., ASTIN Bull. 41, No. 2, 645--672 (2011; Zbl 1239.91072) Full Text: DOI
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan Optimal dividend-payout in random discrete time. (English) Zbl 1233.91139 Stat. Risk. Model. 28, No. 3, 251-276 (2011). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 93E20 60K10 60J05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Stat. Risk. Model. 28, No. 3, 251--276 (2011; Zbl 1233.91139) Full Text: DOI Link
Albrecher, Hansjörg; Borst, Sem C.; Boxma, Onno J.; Resing, Jacques Ruin excursions, the \(G/G/\infty \) queue, and tax payments in renewal risk models. (English) Zbl 1223.91024 J. Appl. Probab. 48A, Spec. Vol., 3-14 (2011). MSC: 91B30 60K30 PDFBibTeX XMLCite \textit{H. Albrecher} et al., J. Appl. Probab. 48A, 3--14 (2011; Zbl 1223.91024) Full Text: DOI
Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W. The optimal dividend barrier in the gamma-omega model. (English) Zbl 1219.91062 Eur. Actuar. J. 1, No. 1, 43-55 (2011). MSC: 91B30 60J70 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Eur. Actuar. J. 1, No. 1, 43--55 (2011; Zbl 1219.91062) Full Text: DOI
Albrecher, Hansjörg; Constantinescu, Corina; Loisel, Stephane Explicit ruin formulas for models with dependence among risks. (English) Zbl 1218.91065 Insur. Math. Econ. 48, No. 2, 265-270 (2011). MSC: 91B30 62P05 62H20 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 48, No. 2, 265--270 (2011; Zbl 1218.91065) Full Text: DOI HAL
Albrecher, Hansjörg; Haas, Sandra Ruin theory with excess of loss reinsurance and reinstatements. (English) Zbl 1231.91136 Appl. Math. Comput. 217, No. 20, 8031-8043 (2011). MSC: 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{S. Haas}, Appl. Math. Comput. 217, No. 20, 8031--8043 (2011; Zbl 1231.91136) Full Text: DOI Link
Albrecher, Hansjörg; Haas, Sandra A numerical approach to ruin models with excess of loss reinsurance and reinstatements. (English) Zbl 1436.62484 Lechevallier, Yves (ed.) et al., Proceedings of COMPSTAT’2010. 19th international conference on computational statistics, Paris, France, August 22–27, 2010. Keynote, invited and contributed papers. Heidelberg: Physica Verlag. 135-144 (2010). MSC: 62P05 62-08 91G05 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{S. Haas}, in: Proceedings of COMPSTAT'2010. 19th international conference on computational statistics, Paris, France, August 22--27, 2010. Keynote, invited and contributed papers. Heidelberg: Physica Verlag. 135--144 (2010; Zbl 1436.62484) Full Text: DOI
Albrecher, Hansjörg; Constantinescu, Corina; Pirsic, Gottlieb; Regensburger, Georg; Rosenkranz, Markus An algebraic operator approach to the analysis of Gerber-Shiu functions. (English) Zbl 1231.91135 Insur. Math. Econ. 46, No. 1, 42-51 (2010). MSC: 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 46, No. 1, 42--51 (2010; Zbl 1231.91135) Full Text: DOI
Albrecher, Hansjörg (ed.); Constantinescu, Corina (ed.); Garrido, Jose (ed.) Editorial: Special issue on Gerber-Shiu functions. (English) Zbl 1231.91001 Insur. Math. Econ. 46, No. 1, 1-2 (2010). MSC: 91-06 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} (ed.) et al., Insur. Math. Econ. 46, No. 1, 1--2 (2010; Zbl 1231.91001) Full Text: DOI
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang A direct approach to the discounted penalty function. (English) Zbl 1219.91063 N. Am. Actuar. J. 14, No. 4, 420-447 (2010). MSC: 91B30 62P05 60K10 PDFBibTeX XMLCite \textit{H. Albrecher} et al., N. Am. Actuar. J. 14, No. 4, 420--447 (2010; Zbl 1219.91063) Full Text: DOI Link
Albrecher, Hansjörg; Hipp, Christian; Kortschak, Dominik Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. (English) Zbl 1224.91038 Scand. Actuar. J. 2010, No. 2, 105-135 (2010). Reviewer: Rostyslav E. Yamnenko (Kyïv) MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Scand. Actuar. J. 2010, No. 2, 105--135 (2010; Zbl 1224.91038) Full Text: DOI Link
Asmussen, Søren; Albrecher, Hansjörg Ruin probabilities. 2nd ed. (English) Zbl 1247.91080 Advanced Series on Statistical Science & Applied Probability 14. Hackensack, NJ: World Scientific (ISBN 978-981-4282-52-9/hbk; 978-981-4282-53-6/ebook). xvii, 602 p. (2010). Reviewer: Uwe Küchler (Berlin) MSC: 91B30 60-02 60J75 60K05 60K15 60G44 60G50 60J60 60F10 60K37 PDFBibTeX XMLCite \textit{S. Asmussen} and \textit{H. Albrecher}, Ruin probabilities. 2nd ed. Hackensack, NJ: World Scientific (2010; Zbl 1247.91080) Full Text: Link
Kortschak, Dominik; Albrecher, Hansjörg An asymptotic expansion for the tail of compound sums of Burr distributed random variables. (English) Zbl 1185.62039 Stat. Probab. Lett. 80, No. 7-8, 612-620 (2010). MSC: 62E20 44A10 PDFBibTeX XMLCite \textit{D. Kortschak} and \textit{H. Albrecher}, Stat. Probab. Lett. 80, No. 7--8, 612--620 (2010; Zbl 1185.62039) Full Text: DOI Link
Albrecher, Hansjörg; Avram, Florin; Kortschak, Dominik On the efficient evaluation of ruin probabilities for completely monotone claim distributions. (English) Zbl 1201.91088 J. Comput. Appl. Math. 233, No. 10, 2724-2736 (2010). Reviewer: C. L. Parihar (Indore) MSC: 91B30 91G80 91G60 PDFBibTeX XMLCite \textit{H. Albrecher} et al., J. Comput. Appl. Math. 233, No. 10, 2724--2736 (2010; Zbl 1201.91088) Full Text: DOI
Albrecher, H.; Ladoucette, Sophie A.; Teugels, Jef L. Asymptotics of the sample coefficient of variation and the sample dispersion. (English) Zbl 1177.62065 J. Stat. Plann. Inference 140, No. 2, 358-368 (2010). MSC: 62G20 62E20 60F05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., J. Stat. Plann. Inference 140, No. 2, 358--368 (2010; Zbl 1177.62065) Full Text: DOI Link
Trufin, Julien; Albrecher, Hansjörg; Denuit, Michel Impact of underwriting cycles on the solvency of an insurance company. (English) Zbl 1483.91209 N. Am. Actuar. J. 13, No. 3, 385-403 (2009). MSC: 91G05 PDFBibTeX XMLCite \textit{J. Trufin} et al., N. Am. Actuar. J. 13, No. 3, 385--403 (2009; Zbl 1483.91209) Full Text: DOI
Albrecher, Hansjörg; Gerber, Hans U. On the non-optiomality of proportional reinsurance according to the dividend criterion. (English) Zbl 1333.91016 Mitt., Schweiz. Aktuarver. 2009, No. 1-2, 94-95 (2009). MSC: 91G05 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{H. U. Gerber}, Mitt., Schweiz. Aktuarver. 2009, No. 1--2, 94--95 (2009; Zbl 1333.91016) Full Text: Link
Albrecher, Hansjörg; Kortschak, Dominik On ruin probability and aggregate claim representations for Pareto claim size distributions. (English) Zbl 1231.91137 Insur. Math. Econ. 45, No. 3, 362-373 (2009). MSC: 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{D. Kortschak}, Insur. Math. Econ. 45, No. 3, 362--373 (2009; Zbl 1231.91137) Full Text: DOI Link
Albrecher, Hansjörg; Thonhauser, Stefan Optimality results for dividend problems in insurance. (English) Zbl 1187.93138 RACSAM, Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat. 103, No. 2, 295-320 (2009). MSC: 93E20 62P05 91B30 60J25 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{S. Thonhauser}, RACSAM, Rev. R. Acad. Cienc. Exactas Fís. Nat., Ser. A Mat. 103, No. 2, 295--320 (2009; Zbl 1187.93138) Full Text: DOI EuDML
Albrecher, Hansjörg; Teugels, Jozef L.; Scheicher, Klaus A combinational identity for a problem in asymptotic statistic. (English) Zbl 1274.62336 Appl. Anal. Discrete Math. 3, No. 1, 64-68 (2009). MSC: 62G20 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Appl. Anal. Discrete Math. 3, No. 1, 64--68 (2009; Zbl 1274.62336) Full Text: DOI
Albrecher, Hansjörg (ed.); Runggaldier, Wolfgang J. (ed.); Schachermayer, Walter (ed.) Advanced financial modelling. (English) Zbl 1177.91006 Radon Series on Computational and Applied Mathematics 8. Berlin: de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). viii, 453 p. (2009). MSC: 91-06 00B15 91B26 91Gxx 91B70 60-06 49-06 62-06 93E20 PDFBibTeX XMLCite \textit{H. Albrecher} (ed.) et al., Advanced financial modelling. Berlin: de Gruyter (2009; Zbl 1177.91006) Full Text: DOI Link
Kortschak, Dominik; Albrecher, Hansjörg Asymptotic results for the sum of dependent non-identically distributed random variables. (English) Zbl 1171.60348 Methodol. Comput. Appl. Probab. 11, No. 3, 279-306 (2009). MSC: 60G70 60E05 91B30 PDFBibTeX XMLCite \textit{D. Kortschak} and \textit{H. Albrecher}, Methodol. Comput. Appl. Probab. 11, No. 3, 279--306 (2009; Zbl 1171.60348) Full Text: DOI Link
Albrecher, Hansjörg; Borst, Sem; Boxma, Onno; Resing, Jacques The tax identity in risk theory - a simple proof and an extension. (English) Zbl 1163.91430 Insur. Math. Econ. 44, No. 2, 304-306 (2009). MSC: 91B30 91B64 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 44, No. 2, 304--306 (2009; Zbl 1163.91430) Full Text: DOI
Albrecher, Hansjörg; Binder, Andreas; Mayer, Philipp Introduction to financial mathematics. (Einführung in die Finanzmathematik.) (German) Zbl 1169.91014 Mathematik Kompakt. Basel: Birkhäuser (ISBN 978-3-7643-8783-9/pbk). x, 163 p. (2009). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 91Gxx 91-01 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Einführung in die Finanzmathematik. Basel: Birkhäuser (2009; Zbl 1169.91014)
Albrecher, Hansjörg; Teugels, Jozef L. On excess-of-loss reinsurance. (English) Zbl 1224.62119 Teor. Jmovirn. Mat. Stat. 79, 5-19 (2008) and Theory Probab. Math. Stat. 79, 7-22 (2009). Reviewer: Mikhail P. Moklyachuk (Kyïv) MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{J. L. Teugels}, Teor. Ĭmovirn. Mat. Stat. 79, 5--19 (2008; Zbl 1224.62119) Full Text: DOI
Albrecher, Hansjörg; Thonhauser, Stefan Optimal dividend strategies for a risk process under force of interest. (English) Zbl 1140.91371 Insur. Math. Econ. 43, No. 1, 134-149 (2008). MSC: 91B28 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{S. Thonhauser}, Insur. Math. Econ. 43, No. 1, 134--149 (2008; Zbl 1140.91371) Full Text: DOI
Albrecher, Hansjörg; Renaud, Jean-François; Zhou, Xiaowen A Lévy insurance risk process with tax. (English) Zbl 1144.60032 J. Appl. Probab. 45, No. 2, 363-375 (2008). MSC: 60G51 91B30 60J75 PDFBibTeX XMLCite \textit{H. Albrecher} et al., J. Appl. Probab. 45, No. 2, 363--375 (2008; Zbl 1144.60032) Full Text: DOI
Kindermann, S.; Mayer, P.; Albrecher, H.; Engl, H. Identification of the local speed function in a Lévy model for option pricing. (English) Zbl 1149.91034 J. Integral Equations Appl. 20, No. 2, 161-200 (2008). Reviewer: Pedro A. Morettin (São Paulo) MSC: 91G60 65J15 65J20 65R30 91G20 PDFBibTeX XMLCite \textit{S. Kindermann} et al., J. Integral Equations Appl. 20, No. 2, 161--200 (2008; Zbl 1149.91034) Full Text: DOI
Albrecher, Hansjörg; Badescu, Andrei; Landriault, David On the dual risk model with tax payments. (English) Zbl 1141.91481 Insur. Math. Econ. 42, No. 3, 1086-1094 (2008). MSC: 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 42, No. 3, 1086--1094 (2008; Zbl 1141.91481) Full Text: DOI
Albrecher, H.; Mayer, P. A.; Schoutens, W. General lower bounds for arithmetic Asian option prices. (English) Zbl 1134.91394 Appl. Math. Finance 15, No. 2, 123-149 (2008). MSC: 91G20 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Appl. Math. Finance 15, No. 2, 123--149 (2008; Zbl 1134.91394) Full Text: DOI
Albrecher, Hansjörg; Hartinger, Jürgen Authors’ reply: “A risk model with multilayer dividend strategy” – discussion by Cheung; Ramin Okhrati. (English) Zbl 1480.91179 N. Am. Actuar. J. 11, No. 4, 141-142 (2007). MSC: 91G05 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{J. Hartinger}, N. Am. Actuar. J. 11, No. 4, 141--142 (2007; Zbl 1480.91179) Full Text: DOI
Albrecher, Hansjörg; Thonhauser, Stefan “On the merger of two companies”, Hans Gerber and Elias S. W. Shiu, July 2006. (English) Zbl 1480.91302 N. Am. Actuar. J. 11, No. 2, 157-159 (2007). MSC: 91G50 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{S. Thonhauser}, N. Am. Actuar. J. 11, No. 2, 157--159 (2007; Zbl 1480.91302) Full Text: DOI
Albrecher, Hansjörg; Hartinger, Jürgen A risk model with multilayer dividend strategy. (English) Zbl 1480.91178 N. Am. Actuar. J. 11, No. 2, 43-64 (2007). MSC: 91G05 PDFBibTeX XMLCite \textit{H. Albrecher} and \textit{J. Hartinger}, N. Am. Actuar. J. 11, No. 2, 43--64 (2007; Zbl 1480.91178) Full Text: DOI
Albrecher, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim A generic one-factor Lévy model for pricing synthetic CDOs. (English) Zbl 1154.91421 Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 259-277 (2007). MSC: 91G40 91B30 60G51 PDFBibTeX XMLCite \textit{H. Albrecher} et al., in: Advances in mathematical finance. Papers presented at the `Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan', College Park, MD, USA, September 29 -- October 1, 2006. Boston, MA: Birkhäuser. 259--277 (2007; Zbl 1154.91421)
Albrecher, Hansjörg; Hartinger, Jürgen; Thonhauser, Stefan On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model. (English) Zbl 1158.62071 Astin Bull. 37, No. 2, 203-233 (2007). MSC: 62P05 91B28 60K10 91B30 PDFBibTeX XMLCite \textit{H. Albrecher} et al., ASTIN Bull. 37, No. 2, 203--233 (2007; Zbl 1158.62071)