Edit Profile (opens in new tab) Albrecher, Hansjörg Compute Distance To: Compute Author ID: albrecher.hansjorg Published as: Albrecher, Hansjörg; Albrecher, Hansjoerg; Albrecher, H. more...less Homepage: http://hec.unil.ch/people/halbrecher External Links: MGP · ResearchGate · dblp · GND Documents Indexed: 117 Publications since 2000, including 4 Books 4 Contributions as Editor Co-Authors: 97 Co-Authors with 117 Joint Publications 2,245 Co-Co-Authors all top 5 Co-Authors 4 single-authored 11 Bladt, Martin 10 Thonhauser, Stefan 8 Ivanovs, Jevgeņijs 8 Kortschak, Dominik 8 Tichy, Robert Franz 7 Bladt, Mogens 7 Boxma, Onno Johan 7 Hartinger, Jürgen 7 Teugels, Jozef L. 6 Beirlant, Jan 6 Constantinescu, Corina D. 6 Loisel, Stéphane 4 Asmussen, Søren 4 Azcue, Pablo 4 Gerber, Hans U. 4 Mayer, Philipp A. 4 Muler, Nora E. 3 Araujo-Acuna, José Carlos 3 Cheung, Eric C. K. 3 Kainhofer, Reinhold F. 3 Yslas, Jorge 3 Zhou, Xiaowen 2 Avram, Florin 2 Bäuerle, Nicole 2 Binder, Andreas 2 Borst, Sem C. 2 Cani, Arian 2 Denuit, Michel M. 2 Dutang, Christophe 2 Embrechts, Paul 2 Filipović, Damir 2 Goffard, Pierre-Olivier 2 Haas, Sandra 2 Hipp, Christian 2 Ladoucette, Sophie A. 2 Lautscham, Volkmar 2 Predota, Martin 2 Regensburger, Georg 2 Resing, Jacques A. C. 2 Rosenkranz, Markus 2 Schoutens, Wim 2 Trufin, Julien 2 Vatamidou, Eleni 2 Wagner, Joël 1 Asadi, Peiman 1 Badescu, Andrei L. 1 Bauer, Daniel J. 1 Burkard, Rainer E. 1 Çela, Eranda 1 Chen, Bohan 1 Chowdhury, Parvez 1 Claramunt, M. Mercè 1 Dacorogna, Michel M. 1 Deprez, Olivier 1 Drmota, Michael 1 Engl, Heinz W. 1 Essifi, Rim 1 Finger, Dina 1 Flores, Brandon García 1 Goldstern, Martin Robert 1 Grabner, Peter J. 1 Guevara-Alarcón, William 1 Harrison, Glenn W. 1 Kantor, Josef 1 Kindermann, Stefan 1 Koch Medina, Pablo 1 Koch, Pablo 1 Korn, Ralf 1 Krvavych, Yuriy 1 Kuijstermans, Richard 1 Landriault, David 1 Liu, Haibo 1 Mármol, Maite 1 Matoušek, Jiří 1 Mnatsakanov, Robert M. 1 Möller, Michael 1 Mouminoux, Claire 1 Müller, Alaric J. A. 1 Palmowski, Zbigniew 1 Pelsser, Antoon A. J. 1 Pirsic, Isabel 1 Raaijmakers, Youri 1 Renaud, Jean-François 1 Runggaldier, Wolfgang J. 1 Sahiti, Suzane 1 Schachermayer, Walter 1 Scheicher, Klaus 1 Schiller, Frank 1 Schmeiser, Hato 1 Shiu, Elias S. W. 1 Thomann, Enrique A. 1 Vanini, Paolo 1 Vincent, Léonard 1 Winkler, Reinhard 1 Woo, Jae-Kyung 1 Yang, Hailiang 1 Zwart, Bert P. all top 5 Serials 18 Insurance Mathematics & Economics 7 Journal of Applied Probability 7 Methodology and Computing in Applied Probability 7 North American Actuarial Journal 6 Scandinavian Actuarial Journal 5 ASTIN Bulletin 5 European Actuarial Journal 3 Journal of Computational and Applied Mathematics 3 Grazer Mathematische Berichte 3 Extremes 2 Statistics & Probability Letters 2 Stochastic Processes and their Applications 2 Monte Carlo Methods and Applications 2 Applied Mathematical Finance 2 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka 2 Mitteilungen. Schweizerische Aktuarvereinigung (SAV) 2 Stochastic Models 2 Statistics & Risk Modeling 1 Advances in Applied Probability 1 Scandinavian Journal of Statistics 1 Annals of the Institute of Statistical Mathematics 1 Applied Mathematics and Computation 1 Computing 1 Journal of Statistical Planning and Inference 1 Mathematics and Computers in Simulation 1 Mathematica Slovaca 1 Operations Research 1 Publicationes Mathematicae Debrecen 1 SIAM Journal on Control and Optimization 1 Siberian Mathematical Journal 1 Operations Research Letters 1 Probability and Mathematical Statistics 1 Acta Mathematicae Applicatae Sinica. English Series 1 Journal of Integral Equations and Applications 1 European Journal of Operational Research 1 SIAM Journal on Applied Mathematics 1 Bernoulli 1 Finance and Stochastics 1 Fractional Calculus & Applied Analysis 1 Probability in the Engineering and Informational Sciences 1 Applied Stochastic Models in Business and Industry 1 RACSAM. Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas 1 HERMIS-\(\mu\pi\). Hellenic European Research on Mathematics and Informatics Science 1 Advanced Series on Statistical Science & Applied Probability 1 Applicable Analysis and Discrete Mathematics 1 Uniform Distribution Theory 1 Electronic Journal of Statistics 1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) 1 Radon Series on Computational and Applied Mathematics 1 SIAM Journal on Financial Mathematics 1 Stochastic Systems 1 Compact Textbooks in Mathematics 1 Wiley Series in Probability and Statistics 1 Mathematik Kompakt all top 5 Fields 96 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 48 Probability theory and stochastic processes (60-XX) 39 Statistics (62-XX) 7 Systems theory; control (93-XX) 6 Calculus of variations and optimal control; optimization (49-XX) 4 Number theory (11-XX) 4 Numerical analysis (65-XX) 4 Operations research, mathematical programming (90-XX) 3 General and overarching topics; collections (00-XX) 2 Integral transforms, operational calculus (44-XX) 1 History and biography (01-XX) 1 Special functions (33-XX) 1 Ordinary differential equations (34-XX) 1 Approximations and expansions (41-XX) 1 Integral equations (45-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 94 Publications have been cited 1,986 times in 1,215 Documents Cited by ▼ Year ▼ Ruin probabilities. 2nd ed. Zbl 1247.91080Asmussen, Søren; Albrecher, Hansjörg 352 2010 Exponential behavior in the presence of dependence in risk theory. Zbl 1097.62110Albrecher, Hansjörg; Teugels, Jef L. 83 2006 Optimality results for dividend problems in insurance. Zbl 1187.93138Albrecher, Hansjörg; Thonhauser, Stefan 80 2009 A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048Albrecher, Hansjörg; Boxma, Onno J. 69 2004 On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023Albrecher, Hansjörg; Boxma, Onno J. 66 2005 Randomized onservation periods for the compound Poisson risk model: dividends. Zbl 1239.91072Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan 63 2011 Reinsurance. Actuarial and statistical aspects. Zbl 1376.91004Albrecher, Hansjoerg; Beirlant, Jan; Teugels, Jozef L. 63 2017 Exit identities for Lévy processes observed at Poisson arrival times. Zbl 1338.60125Albrecher, Hansjörg; Ivanovs, Jevgenijs; Zhou, Xiaowen 54 2016 The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W. 50 2011 Lundberg’s risk process with tax. Zbl 1119.62103Albrecher, Hansjörg; Hipp, Christian 48 2007 Explicit ruin formulas for models with dependence among risks. Zbl 1218.91065Albrecher, Hansjörg; Constantinescu, Corina; Loisel, Stephane 48 2011 On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times. Zbl 1117.91377Albrecher, Hansjörg; Claramunt, M. Mercé; Mármol, Maite 47 2005 Randomized observation periods for the compound Poisson risk model: the discounted penalty function. Zbl 1401.91089Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan 46 2013 On the dual risk model with tax payments. Zbl 1141.91481Albrecher, Hansjörg; Badescu, Andrei; Landriault, David 41 2008 A Lévy insurance risk process with tax. Zbl 1144.60032Albrecher, Hansjörg; Renaud, Jean-François; Zhou, Xiaowen 41 2008 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022Albrecher, Hansjörg; Asmussen, Søren 40 2006 Dividend maximization under consideration of the time value of ruin. Zbl 1119.91047Thonhauser, Stefan; Albrecher, Hansjörg 39 2007 Risk theory with a nonlinear dividend barrier. Zbl 1076.91521Albrecher, H.; Kainhofer, R. 36 2002 Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik 34 2006 Asymptotic results for the sum of dependent non-identically distributed random variables. Zbl 1171.60348Kortschak, Dominik; Albrecher, Hansjörg 32 2009 The tax identity in risk theory - a simple proof and an extension. Zbl 1163.91430Albrecher, Hansjörg; Borst, Sem; Boxma, Onno; Resing, Jacques 32 2009 Optimal dividend strategies for a risk process under force of interest. Zbl 1140.91371Albrecher, Hansjörg; Thonhauser, Stefan 28 2008 On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier. Zbl 1092.91036Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F. 27 2005 From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084Albrecher, Hansjörg; Lautscham, Volkmar 24 2013 Optimal dividend-payout in random discrete time. Zbl 1233.91139Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan 22 2011 On Asian option pricing for NIG Lévy processes. Zbl 1107.91042Albrecher, Hansjörg; Predota, Martin 22 2004 An algebraic operator approach to the analysis of Gerber-Shiu functions. Zbl 1231.91135Albrecher, Hansjörg; Constantinescu, Corina; Pirsic, Gottlieb; Regensburger, Georg; Rosenkranz, Markus 22 2010 A direct approach to the discounted penalty function. Zbl 1219.91063Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang 20 2010 Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Zbl 1354.60048Albrecher, Hansjörg; Ivanovs, Jevgenijs 20 2017 General lower bounds for arithmetic Asian option prices. Zbl 1134.91394Albrecher, H.; Mayer, P. A.; Schoutens, W. 20 2008 Exact and asymptotic results for insurance risk models with surplus-dependent premiums. Zbl 1264.91068Albrecher, Hansjörg; Constantinescu, Corina; Palmowski, Zbigniew; Regensburger, Georg; Rosenkranz, Markus 19 2013 Optimal dividend strategies for two collaborating insurance companies. Zbl 1429.91274Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora 19 2017 Competition among non-life insurers under solvency constraints: a game-theoretic approach. Zbl 1317.91042Dutang, Christophe; Albrecher, Hansjoerg; Loisel, Stéphane 16 2013 On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model. Zbl 1158.62071Albrecher, Hansjörg; Hartinger, Jürgen; Thonhauser, Stefan 15 2007 A generic one-factor Lévy model for pricing synthetic CDOs. Zbl 1154.91421Albrecher, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim 15 2007 Simulation methods in ruin models with nonlinear dividend barriers. Zbl 1036.91029Albrecher, Hansjörg; Kainhofer, Reinhold; Tichy, Robert F. 15 2003 On a gamma series expansion for the time-dependent probability of collective ruin. Zbl 1025.62036Albrecher, Hansjörg; Teugels, Jozef L.; Tichy, Robert F. 15 2001 Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. Zbl 1262.91096Thonhauser, Stefan; Albrecher, Hansjörg 14 2011 Asymptotics of the sample coefficient of variation and the sample dispersion. Zbl 1177.62065Albrecher, H.; Ladoucette, Sophie A.; Teugels, Jef L. 14 2010 Power identities for Lévy risk models under taxation and capital injections. Zbl 1300.60067Albrecher, Hansjörg; Ivanovs, Jevgenijs 14 2014 On the non-optimality of horizontal barrier strategies in the Sparre Andersen model. Zbl 1243.91059Albrecher, Hansjörg; Hartinger, Jürgen 13 2006 On the efficient evaluation of ruin probabilities for completely monotone claim distributions. Zbl 1201.91088Albrecher, Hansjörg; Avram, Florin; Kortschak, Dominik 13 2010 Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. Zbl 1224.91038Albrecher, Hansjörg; Hipp, Christian; Kortschak, Dominik 12 2010 On ruin probability and aggregate claim representations for Pareto claim size distributions. Zbl 1231.91137Albrecher, Hansjörg; Kortschak, Dominik 12 2009 Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Zbl 1372.91100Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen 12 2012 Asymptotic analysis of a measure of variation. Zbl 1150.62363Albrecher, H.; Teugels, J. L. 11 2006 Inhomogeneous phase-type distributions and heavy tails. Zbl 1428.62103Albrecher, Hansjörg; Bladt, Mogens 10 2019 Asymptotic results for renewal risk models with risky investments. Zbl 1250.91055Albrecher, Hansjoerg; Constantinescu, Corina; Thomann, Enrique 10 2012 Simulation of ruin probabilities for risk processes of Markovian type. Zbl 1014.91055Albrecher, Hansjörg; Kantor, Josef 9 2002 Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Zbl 1450.62044Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens 9 2020 Multivariate matrix Mittag-Leffler distributions. Zbl 1469.62258Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens 8 2021 Bounds and approximations for discrete Asian options in a variance-gamma model. Zbl 1053.91056Albrecher, Hansjörg; Predota, Martin 7 2002 The tax identity for Markov additive risk processes. Zbl 1286.91062Albrecher, Hansjörg; Avram, Florin; Constantinescu, Corina; Ivanovs, Jevgenijs 7 2014 Identification of the local speed function in a Lévy model for option pricing. Zbl 1149.91034Kindermann, S.; Mayer, P.; Albrecher, H.; Engl, H. 7 2008 Old-age provision: past, present, future. Zbl 1394.91007Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël 6 2016 Asset-liability management for long-term insurance business. Zbl 1416.91145 6 2018 On optimal dividend strategies in insurance with an random time horizon. Zbl 1287.91088Albrecher, Hansjörg; Thonhauser, Stefan 6 2012 Ruin excursions, the \(G/G/\infty \) queue, and tax payments in renewal risk models. Zbl 1223.91024Albrecher, Hansjörg; Borst, Sem C.; Boxma, Onno J.; Resing, Jacques 5 2011 A note on the asymptotic behaviour of bottleneck problems. Zbl 1099.90048Albrecher, Hansjörg 5 2005 On simple ruin expressions in dependent Sparre Andersen risk models. Zbl 1286.91063Albrecher, Hansjörg; Boxma, Onno J.; Ivanovs, Jevgenijs 5 2014 Risk theory with affine dividend payment strategies. Zbl 1415.91147Albrecher, Hansjörg; Cani, Arian 5 2017 Linking dividends and capital injections – a probabilistic approach. Zbl 1416.91146Albrecher, Hansjörg; Ivanovs, Jevgenijs 5 2018 Advanced financial modelling. Zbl 1177.91006 4 2009 QMC techniques for CAT bond pricing. Zbl 1060.65501Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F. 4 2004 Multivariate fractional phase-type distributions. Zbl 1474.60025Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens 4 2020 Optimal ratcheting of dividends in insurance. Zbl 1452.91256Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora 4 2020 An asymptotical study of combinatorial optimization problems by means of statistical mechanics. Zbl 1079.90108Albrecher, Hansjörg; Burkard, Rainer E.; Çela, Eranda 4 2006 Dividends: from refracting to ratcheting. Zbl 1417.91260Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin 4 2018 Introduction to quantitative methods for financial markets. Revised and updated translation of the German original. Zbl 1273.91001Albrecher, Hansjoerg; Binder, Andreas; Lautscham, Volkmar; Mayer, Philipp 4 2013 On randomized reinsurance contracts. Zbl 1419.91346Albrecher, Hansjörg; Cani, Arian 4 2019 Ruin problems under IBNR dynamics. Zbl 1275.91079Trufin, Julien; Albrecher, Hansjörg; Denuit, Michel 4 2011 Tail asymptotics for dependent subexponential differences. Zbl 1257.62016Albrecher, H.; Asmussen, S.; Kortschak, D. 3 2012 Ruin theory with excess of loss reinsurance and reinstatements. Zbl 1231.91136Albrecher, Hansjörg; Haas, Sandra 3 2011 A risk model with multilayer dividend strategy. Zbl 1480.91178Albrecher, Hansjörg; Hartinger, Jürgen 3 2007 A note on moments of dividends. Zbl 1299.91052Albrecher, Hansjörg; Gerber, Hans U. 3 2011 Combined tail estimation using censored data and expert information. Zbl 1448.91255Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan 3 2020 Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane 3 2013 A combinational identity for a problem in asymptotic statistic. Zbl 1274.62336Albrecher, Hansjörg; Teugels, Jozef L.; Scheicher, Klaus 2 2009 “Optimal dividends: analysis with Brownian motion” by Hans U. Gerber and Elias S. W. Shiu, January 2004 (Discussion). Zbl 1085.62506Deprez, Olivier; Albrecher, Hansjörg 2 2004 Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case. Zbl 07638422Albrecher, Hansjörg; Bladt, Mogens; Yslas, Jorge 2 2022 On the profitability of selfish blockchain mining under consideration of ruin. Zbl 1484.91526Albrecher, Hansjoerg; Goffard, Pierre-Olivier 2 2022 A queueing model with randomized depletion of inventory. Zbl 1370.90083Albrecher, Hansjörg; Boxma, Onno; Essifi, Rim; Kuijstermans, Richard 2 2017 On the joint distribution of tax payments and capitalinjections for a Lévy risk model. Zbl 1393.60048Albrecher, Hansjörg; Ivanovs, Jevgenijs 2 2017 On the covergence of a solution method for a risk model with gamma-distributed claims. (Zur Konvergenz eines Lösungsverfahrens für ein Risikomodell mit gammaverteilten Schäden.) Zbl 1187.91089Albrecher, Hansjörg; Tichy, Robert F. 2 2000 Robert F. Tichy: 50 years – the unreasonable effectiveness of a number theorist. Zbl 1131.01304Albrecher, Hansjörg; Drmota, Michael; Goldstern, Martin; Winkler, Reinhard; Grabner, Peter J. 1 2007 Editorial: Special issue on Gerber-Shiu functions. Zbl 1231.91001 1 2010 Threshold selection and trimming in extremes. Zbl 1466.62318Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan 1 2020 Discrepancy of point sequences on fractal sets. Zbl 0960.11037Albrecher, Hansjörg; Matoušek, Jiří; Tichy, Robert F. 1 2000 Exact boundaries in sequential testing for phase-type distributions. Zbl 1309.62140Albrecher, Hansjörg; Asadi, Peiman; Ivanovs, Jevgenijs 1 2014 Mortality modeling and regression with matrix distributions. Zbl 07648735Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge 1 2022 Penalised likelihood methods for phase-type dimension selection. Zbl 07612252Albrecher, Hansjörg; Bladt, Martin; Müller, Alaric J. A. 1 2022 The single server queue with mixing dependencies. Zbl 1437.60071Raaijmakers, Youri; Albrecher, Hansjörg; Boxma, Onno 1 2019 On the non-optiomality of proportional reinsurance according to the dividend criterion. Zbl 1333.91016Albrecher, Hansjörg; Gerber, Hans U. 1 2009 An asymptotic expansion for the tail of compound sums of Burr distributed random variables. Zbl 1185.62039Kortschak, Dominik; Albrecher, Hansjörg 1 2010 Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case. Zbl 07638422Albrecher, Hansjörg; Bladt, Mogens; Yslas, Jorge 2 2022 On the profitability of selfish blockchain mining under consideration of ruin. Zbl 1484.91526Albrecher, Hansjoerg; Goffard, Pierre-Olivier 2 2022 Mortality modeling and regression with matrix distributions. Zbl 07648735Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge 1 2022 Penalised likelihood methods for phase-type dimension selection. Zbl 07612252Albrecher, Hansjörg; Bladt, Martin; Müller, Alaric J. A. 1 2022 Multivariate matrix Mittag-Leffler distributions. Zbl 1469.62258Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens 8 2021 Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Zbl 1450.62044Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens 9 2020 Multivariate fractional phase-type distributions. Zbl 1474.60025Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens 4 2020 Optimal ratcheting of dividends in insurance. Zbl 1452.91256Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora 4 2020 Combined tail estimation using censored data and expert information. Zbl 1448.91255Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan 3 2020 Threshold selection and trimming in extremes. Zbl 1466.62318Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan 1 2020 Inhomogeneous phase-type distributions and heavy tails. Zbl 1428.62103Albrecher, Hansjörg; Bladt, Mogens 10 2019 On randomized reinsurance contracts. Zbl 1419.91346Albrecher, Hansjörg; Cani, Arian 4 2019 The single server queue with mixing dependencies. Zbl 1437.60071Raaijmakers, Youri; Albrecher, Hansjörg; Boxma, Onno 1 2019 Asset-liability management for long-term insurance business. Zbl 1416.91145 6 2018 Linking dividends and capital injections – a probabilistic approach. Zbl 1416.91146Albrecher, Hansjörg; Ivanovs, Jevgenijs 5 2018 Dividends: from refracting to ratcheting. Zbl 1417.91260Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin 4 2018 Reinsurance. Actuarial and statistical aspects. Zbl 1376.91004Albrecher, Hansjoerg; Beirlant, Jan; Teugels, Jozef L. 63 2017 Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Zbl 1354.60048Albrecher, Hansjörg; Ivanovs, Jevgenijs 20 2017 Optimal dividend strategies for two collaborating insurance companies. Zbl 1429.91274Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora 19 2017 Risk theory with affine dividend payment strategies. Zbl 1415.91147Albrecher, Hansjörg; Cani, Arian 5 2017 A queueing model with randomized depletion of inventory. Zbl 1370.90083Albrecher, Hansjörg; Boxma, Onno; Essifi, Rim; Kuijstermans, Richard 2 2017 On the joint distribution of tax payments and capitalinjections for a Lévy risk model. Zbl 1393.60048Albrecher, Hansjörg; Ivanovs, Jevgenijs 2 2017 Exit identities for Lévy processes observed at Poisson arrival times. Zbl 1338.60125Albrecher, Hansjörg; Ivanovs, Jevgenijs; Zhou, Xiaowen 54 2016 Old-age provision: past, present, future. Zbl 1394.91007Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël 6 2016 Power identities for Lévy risk models under taxation and capital injections. Zbl 1300.60067Albrecher, Hansjörg; Ivanovs, Jevgenijs 14 2014 The tax identity for Markov additive risk processes. Zbl 1286.91062Albrecher, Hansjörg; Avram, Florin; Constantinescu, Corina; Ivanovs, Jevgenijs 7 2014 On simple ruin expressions in dependent Sparre Andersen risk models. Zbl 1286.91063Albrecher, Hansjörg; Boxma, Onno J.; Ivanovs, Jevgenijs 5 2014 Exact boundaries in sequential testing for phase-type distributions. Zbl 1309.62140Albrecher, Hansjörg; Asadi, Peiman; Ivanovs, Jevgenijs 1 2014 Randomized observation periods for the compound Poisson risk model: the discounted penalty function. Zbl 1401.91089Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan 46 2013 From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084Albrecher, Hansjörg; Lautscham, Volkmar 24 2013 Exact and asymptotic results for insurance risk models with surplus-dependent premiums. Zbl 1264.91068Albrecher, Hansjörg; Constantinescu, Corina; Palmowski, Zbigniew; Regensburger, Georg; Rosenkranz, Markus 19 2013 Competition among non-life insurers under solvency constraints: a game-theoretic approach. Zbl 1317.91042Dutang, Christophe; Albrecher, Hansjoerg; Loisel, Stéphane 16 2013 Introduction to quantitative methods for financial markets. Revised and updated translation of the German original. Zbl 1273.91001Albrecher, Hansjoerg; Binder, Andreas; Lautscham, Volkmar; Mayer, Philipp 4 2013 Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane 3 2013 Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Zbl 1372.91100Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen 12 2012 Asymptotic results for renewal risk models with risky investments. Zbl 1250.91055Albrecher, Hansjoerg; Constantinescu, Corina; Thomann, Enrique 10 2012 On optimal dividend strategies in insurance with an random time horizon. Zbl 1287.91088Albrecher, Hansjörg; Thonhauser, Stefan 6 2012 Tail asymptotics for dependent subexponential differences. Zbl 1257.62016Albrecher, H.; Asmussen, S.; Kortschak, D. 3 2012 Randomized onservation periods for the compound Poisson risk model: dividends. Zbl 1239.91072Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan 63 2011 The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W. 50 2011 Explicit ruin formulas for models with dependence among risks. Zbl 1218.91065Albrecher, Hansjörg; Constantinescu, Corina; Loisel, Stephane 48 2011 Optimal dividend-payout in random discrete time. Zbl 1233.91139Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan 22 2011 Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. Zbl 1262.91096Thonhauser, Stefan; Albrecher, Hansjörg 14 2011 Ruin excursions, the \(G/G/\infty \) queue, and tax payments in renewal risk models. Zbl 1223.91024Albrecher, Hansjörg; Borst, Sem C.; Boxma, Onno J.; Resing, Jacques 5 2011 Ruin problems under IBNR dynamics. Zbl 1275.91079Trufin, Julien; Albrecher, Hansjörg; Denuit, Michel 4 2011 Ruin theory with excess of loss reinsurance and reinstatements. Zbl 1231.91136Albrecher, Hansjörg; Haas, Sandra 3 2011 A note on moments of dividends. Zbl 1299.91052Albrecher, Hansjörg; Gerber, Hans U. 3 2011 Ruin probabilities. 2nd ed. Zbl 1247.91080Asmussen, Søren; Albrecher, Hansjörg 352 2010 An algebraic operator approach to the analysis of Gerber-Shiu functions. Zbl 1231.91135Albrecher, Hansjörg; Constantinescu, Corina; Pirsic, Gottlieb; Regensburger, Georg; Rosenkranz, Markus 22 2010 A direct approach to the discounted penalty function. Zbl 1219.91063Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang 20 2010 Asymptotics of the sample coefficient of variation and the sample dispersion. Zbl 1177.62065Albrecher, H.; Ladoucette, Sophie A.; Teugels, Jef L. 14 2010 On the efficient evaluation of ruin probabilities for completely monotone claim distributions. Zbl 1201.91088Albrecher, Hansjörg; Avram, Florin; Kortschak, Dominik 13 2010 Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. Zbl 1224.91038Albrecher, Hansjörg; Hipp, Christian; Kortschak, Dominik 12 2010 Editorial: Special issue on Gerber-Shiu functions. Zbl 1231.91001 1 2010 An asymptotic expansion for the tail of compound sums of Burr distributed random variables. Zbl 1185.62039Kortschak, Dominik; Albrecher, Hansjörg 1 2010 Optimality results for dividend problems in insurance. Zbl 1187.93138Albrecher, Hansjörg; Thonhauser, Stefan 80 2009 Asymptotic results for the sum of dependent non-identically distributed random variables. Zbl 1171.60348Kortschak, Dominik; Albrecher, Hansjörg 32 2009 The tax identity in risk theory - a simple proof and an extension. Zbl 1163.91430Albrecher, Hansjörg; Borst, Sem; Boxma, Onno; Resing, Jacques 32 2009 On ruin probability and aggregate claim representations for Pareto claim size distributions. Zbl 1231.91137Albrecher, Hansjörg; Kortschak, Dominik 12 2009 Advanced financial modelling. Zbl 1177.91006 4 2009 A combinational identity for a problem in asymptotic statistic. Zbl 1274.62336Albrecher, Hansjörg; Teugels, Jozef L.; Scheicher, Klaus 2 2009 On the non-optiomality of proportional reinsurance according to the dividend criterion. Zbl 1333.91016Albrecher, Hansjörg; Gerber, Hans U. 1 2009 On the dual risk model with tax payments. Zbl 1141.91481Albrecher, Hansjörg; Badescu, Andrei; Landriault, David 41 2008 A Lévy insurance risk process with tax. Zbl 1144.60032Albrecher, Hansjörg; Renaud, Jean-François; Zhou, Xiaowen 41 2008 Optimal dividend strategies for a risk process under force of interest. Zbl 1140.91371Albrecher, Hansjörg; Thonhauser, Stefan 28 2008 General lower bounds for arithmetic Asian option prices. Zbl 1134.91394Albrecher, H.; Mayer, P. A.; Schoutens, W. 20 2008 Identification of the local speed function in a Lévy model for option pricing. Zbl 1149.91034Kindermann, S.; Mayer, P.; Albrecher, H.; Engl, H. 7 2008 Lundberg’s risk process with tax. Zbl 1119.62103Albrecher, Hansjörg; Hipp, Christian 48 2007 Dividend maximization under consideration of the time value of ruin. Zbl 1119.91047Thonhauser, Stefan; Albrecher, Hansjörg 39 2007 On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model. Zbl 1158.62071Albrecher, Hansjörg; Hartinger, Jürgen; Thonhauser, Stefan 15 2007 A generic one-factor Lévy model for pricing synthetic CDOs. Zbl 1154.91421Albrecher, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim 15 2007 A risk model with multilayer dividend strategy. Zbl 1480.91178Albrecher, Hansjörg; Hartinger, Jürgen 3 2007 Robert F. Tichy: 50 years – the unreasonable effectiveness of a number theorist. Zbl 1131.01304Albrecher, Hansjörg; Drmota, Michael; Goldstern, Martin; Winkler, Reinhard; Grabner, Peter J. 1 2007 Exponential behavior in the presence of dependence in risk theory. Zbl 1097.62110Albrecher, Hansjörg; Teugels, Jef L. 83 2006 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022Albrecher, Hansjörg; Asmussen, Søren 40 2006 Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik 34 2006 On the non-optimality of horizontal barrier strategies in the Sparre Andersen model. Zbl 1243.91059Albrecher, Hansjörg; Hartinger, Jürgen 13 2006 Asymptotic analysis of a measure of variation. Zbl 1150.62363Albrecher, H.; Teugels, J. L. 11 2006 An asymptotical study of combinatorial optimization problems by means of statistical mechanics. Zbl 1079.90108Albrecher, Hansjörg; Burkard, Rainer E.; Çela, Eranda 4 2006 On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023Albrecher, Hansjörg; Boxma, Onno J. 66 2005 On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times. Zbl 1117.91377Albrecher, Hansjörg; Claramunt, M. Mercé; Mármol, Maite 47 2005 On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier. Zbl 1092.91036Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F. 27 2005 A note on the asymptotic behaviour of bottleneck problems. Zbl 1099.90048Albrecher, Hansjörg 5 2005 A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048Albrecher, Hansjörg; Boxma, Onno J. 69 2004 On Asian option pricing for NIG Lévy processes. Zbl 1107.91042Albrecher, Hansjörg; Predota, Martin 22 2004 QMC techniques for CAT bond pricing. Zbl 1060.65501Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F. 4 2004 “Optimal dividends: analysis with Brownian motion” by Hans U. Gerber and Elias S. W. Shiu, January 2004 (Discussion). Zbl 1085.62506Deprez, Olivier; Albrecher, Hansjörg 2 2004 Simulation methods in ruin models with nonlinear dividend barriers. Zbl 1036.91029Albrecher, Hansjörg; Kainhofer, Reinhold; Tichy, Robert F. 15 2003 Risk theory with a nonlinear dividend barrier. Zbl 1076.91521Albrecher, H.; Kainhofer, R. 36 2002 Simulation of ruin probabilities for risk processes of Markovian type. Zbl 1014.91055Albrecher, Hansjörg; Kantor, Josef 9 2002 Bounds and approximations for discrete Asian options in a variance-gamma model. Zbl 1053.91056Albrecher, Hansjörg; Predota, Martin 7 2002 On a gamma series expansion for the time-dependent probability of collective ruin. Zbl 1025.62036Albrecher, Hansjörg; Teugels, Jozef L.; Tichy, Robert F. 15 2001 On the covergence of a solution method for a risk model with gamma-distributed claims. (Zur Konvergenz eines Lösungsverfahrens für ein Risikomodell mit gammaverteilten Schäden.) Zbl 1187.91089Albrecher, Hansjörg; Tichy, Robert F. 2 2000 Discrepancy of point sequences on fractal sets. Zbl 0960.11037Albrecher, Hansjörg; Matoušek, Jiří; Tichy, Robert F. 1 2000 all cited Publications top 5 cited Publications all top 5 Cited by 1,345 Authors 69 Albrecher, Hansjörg 33 Cheung, Eric C. K. 30 Landriault, David 30 Zhang, Zhimin 28 Yang, Hailiang 22 Palmowski, Zbigniew 21 Boxma, Onno Johan 19 Wang, Wenyuan 18 Lefèvre, Claude 18 Zhou, Xiaowen 17 Avram, Florin 16 Badescu, Andrei L. 16 Ivanovs, Jevgeņijs 16 Yamazaki, Kazutoshi 16 Yin, Chuancun 15 Woo, Jae-Kyung 15 Yuen, Kam Chuen 14 Bladt, Martin 14 Constantinescu, Corina D. 14 Li, Bin 14 Li, Shuanming 14 Yang, Hu 13 Loisel, Stéphane 13 Mandjes, Michel Robertus Hendrikus 13 Pérez Garmendia, Jose Luis 13 Tang, Qihe 13 Thonhauser, Stefan 13 Willmot, Gordon E. 12 Asmussen, Søren 12 Hu, Yijun 11 Avanzi, Benjamin 11 Gerber, Hans U. 11 Hashorva, Enkelejd 11 Kortschak, Dominik 11 Yang, Xiangqun 10 Bladt, Mogens 10 Cossette, Hélène 10 Guo, Junyi 10 Ji, Lanpeng 10 Kyprianou, Andreas E. 10 Marceau, Étienne 10 Renaud, Jean-François 10 Shiu, Elias S. W. 10 Wong, Bernard 9 Bäuerle, Nicole 9 Goffard, Pierre-Olivier 9 Zhang, Chunsheng 8 Asimit, Alexandru V. 8 Azcue, Pablo 8 Beirlant, Jan 8 Borovkov, Aleksandr Alekseevich 8 Czarna, Irmina 8 Feng, Runhuan 8 Mogul’skii, Anatolii Alfredovich 8 Muler, Nora E. 8 Schmidli, Hanspeter 8 Sendova, Kristina P. 8 Tan, Jiyang 8 Yang, Yang 7 Dong, Hua 7 Eisenberg, Julia 7 Frostig, Esther 7 Furman, Edward 7 Kabanov, Yuriĭ Mikhaĭlovich 7 Loeffen, Ronnie L. 7 Wang, Rongming 7 Xie, Jiehua 7 Yam, Sheung Chi Phillip 7 Zhou, Ming 6 Chen, Mi 6 Chen, Ping 6 Dębicki, Krzysztof 6 Fu, Ke’ang 6 Jin, Zhuo 6 Li, Shu 6 Linders, Daniël 6 Lkabous, Mohamed Amine 6 Ming, Ruixing 6 Shimizu, Yasutaka 6 Trufin, Julien 6 Vernic, Raluca 6 Wu, Xueyuan 6 Young, Virginia R. 6 Zhu, Jinxia 5 Boonen, Tim J. 5 Chen, Yiqing 5 Chi, Yichun 5 Cui, Zhenyu 5 Dickson, David C. M. 5 Egídio dos Reis, Alfredo D. 5 Jiang, Wuyuan 5 Ladoucette, Sophie A. 5 Li, Jinzhu 5 Lin, X. Sheldon 5 Liu, Peng 5 Liu, Zaiming 5 Maume-Deschamps, Véronique 5 Perry, David 5 Rabehasaina, Landy 5 Rosenkranz, Markus ...and 1,245 more Authors all top 5 Cited in 181 Serials 238 Insurance Mathematics & Economics 86 Scandinavian Actuarial Journal 59 Journal of Computational and Applied Mathematics 55 Journal of Applied Probability 46 Methodology and Computing in Applied Probability 45 Statistics & Probability Letters 41 European Actuarial Journal 25 Advances in Applied Probability 25 Applied Mathematics and Computation 25 ASTIN Bulletin 25 North American Actuarial Journal 24 Communications in Statistics. Theory and Methods 23 Stochastic Models 17 Stochastic Processes and their Applications 16 European Journal of Operational Research 14 Finance and Stochastics 13 Queueing Systems 13 Extremes 12 Journal of Industrial and Management Optimization 11 Journal of Multivariate Analysis 11 Acta Mathematicae Applicatae Sinica. 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Mathematics 2 Mathematica Applicanda 1 International Journal of Control ...and 81 more Serials all top 5 Cited in 37 Fields 958 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 742 Probability theory and stochastic processes (60-XX) 351 Statistics (62-XX) 126 Systems theory; control (93-XX) 69 Operations research, mathematical programming (90-XX) 57 Numerical analysis (65-XX) 40 Calculus of variations and optimal control; optimization (49-XX) 28 Integral equations (45-XX) 17 Partial differential equations (35-XX) 15 Integral transforms, operational calculus (44-XX) 11 Computer science (68-XX) 10 Biology and other natural sciences (92-XX) 8 Special functions (33-XX) 8 Ordinary differential equations (34-XX) 5 Field theory and polynomials (12-XX) 4 Combinatorics (05-XX) 4 Approximations and expansions (41-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 4 Statistical mechanics, structure of matter (82-XX) 3 Number theory (11-XX) 3 Commutative algebra (13-XX) 3 Functions of a complex variable (30-XX) 3 Information and communication theory, circuits (94-XX) 2 History and biography (01-XX) 2 Associative rings and algebras (16-XX) 2 Real functions (26-XX) 2 Measure and integration (28-XX) 2 Difference and functional equations (39-XX) 2 Operator theory (47-XX) 2 Geophysics (86-XX) 1 General and overarching topics; collections (00-XX) 1 Mathematical logic and foundations (03-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Convex and discrete geometry (52-XX) 1 General topology (54-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Mathematics education (97-XX) Citations by Year