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Schmidli, Hanspeter

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Author ID: schmidli.hanspeter Recent zbMATH articles by "Schmidli, Hanspeter"
Published as: Schmidli, H.; Schmidli, Hanspeter
Homepage: http://www.mi.uni-koeln.de/~schmidli/
External Links: MGP · dblp · GND
Documents Indexed: 50 Publications since 1993, including 4 Books
Reviewing Activity: 73 Reviews

Publications by Year

Citations contained in zbMATH Open

44 Publications have been cited 1,379 times in 979 Documents Cited by Year
Stochastic processes for insurance and finance. Zbl 0940.60005
Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef
406
1999
On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061
Schmidli, Hanspeter
148
2002
Stochastic control in insurance. Zbl 1133.93002
Schmidli, Hanspeter
129
2008
Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039
Schmidli, Hanspeter
104
2001
Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075
Kulenko, Natalie; Schmidli, Hanspeter
63
2008
Stochastic processes for insurance and finance. Reprint of the 1999 hardback ed. Zbl 1152.60006
Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef
59
2008
Ruin estimation for a general insurance risk model. Zbl 0811.62096
Embrechts, Paul; Schmidli, Hanspeter
48
1994
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
40
1999
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion. Zbl 0814.62066
Furrer, H. J.; Schmidli, H.
33
1994
Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion. Zbl 0837.62087
Schmidli, Hanspeter
32
1995
Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116
Hipp, Christian; Schmidli, Hanspeter
30
2004
On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033
Hald, Morten; Schmidli, Hanspeter
23
2004
On the distribution of the surplus prior to and at ruin. Zbl 1129.62425
Schmidli, Hanspeter
23
1999
Diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0793.60095
Schmidli, Hanspeter
22
1994
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
17
2011
Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094
Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter
17
1993
Optimal control of capital injections by reinsurance in a diffusion approximation. Zbl 1183.91069
Eisenberg, Julia; Schmidli, Hanspeter
14
2009
Saddlepoint approximations for the probability of ruin in finite time. Zbl 0836.62082
Barndorff-Nielsen, Ole E.; Schmidli, Hanspeter
13
1995
Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs. Zbl 1222.91026
Scheer, Natalie; Schmidli, Hanspeter
12
2011
On optimal investment and subexponential claims. Zbl 1110.91019
Schmidli, Hanspeter
11
2005
Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion. Zbl 0981.60041
Schmidli, Hanspeter
10
2001
Modelling of extremal events in insurance and finance. Zbl 0798.90024
Embrechts, Paul; Schmidli, Hanspeter
10
1994
Optimisation in non-life insurance. Zbl 1107.93036
Schmidli, Hanspeter
9
2006
Optimal control of capital injections by reinsurance with a constant rate of interest. Zbl 1230.91072
Eisenberg, Julia; Schmidli, Hanspeter
8
2011
On the Gerber-Shiu function and change of measure. Zbl 1231.91232
Schmidli, Hanspeter
8
2010
Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case. Zbl 1056.90037
Schmidli, Hanspeter
8
2004
Perturbed risk processes: a review. Zbl 0954.60036
Schmidli, Hanspeter
8
1999
Compound sums and subexponentiality. Zbl 0949.60032
Schmidli, Hanspeter
8
1999
An extension to the renewal theorem and an application to risk theory. Zbl 0876.60072
Schmidli, H.
8
1997
Pricing catastrophe insurance products based on actually reported claims. Zbl 0994.91033
Vorm Christensen, Claus; Schmidli, Hanspeter
7
2000
Lundberg inequalities for a Cox model with a piecewise constant intensity. Zbl 0845.60066
Schmidli, Hanspeter
7
1996
On capital injections and dividends with tax in a diffusion approximation. Zbl 1402.91991
Schmidli, Hanspeter
6
2017
On optimal dividends with exponential and linear penalty payments. Zbl 1394.91235
Vierkötter, Matthias; Schmidli, Hanspeter
6
2017
On capital injections and dividends with tax in a classical risk model. Zbl 1371.91108
Schmidli, Hanspeter
6
2016
Dividends with tax and capital injection in a spectrally negative Lévy risk model. Zbl 1416.91219
Schmidli, H.
4
2018
Estimation of the Lundberg coefficient for a Markov modulated risk model. Zbl 0926.62105
Schmidli, Hanspeter
4
1997
Corrected diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0811.90023
Schmidli, Hanspeter
4
1994
Risk theory. Zbl 1422.91009
Schmidli, Hanspeter
3
2017
On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance. Zbl 1164.60012
Schmidli, Hanspeter
3
2008
Risk theory in an economic environment and Markov processes. Zbl 0816.90042
Schmidli, Hanspeter
3
1994
Bayesian analysis of reduced rank regression. Zbl 0851.62022
Schmidli, Hanspeter
2
1996
Extended Gerber-Shiu functions in a risk model with interest. Zbl 1408.91106
Schmidli, Hanspeter
1
2015
Conditional law of risk processes given that ruin occurs. Zbl 1231.91233
Schmidli, Hanspeter
1
2010
Martingales and insurance risk. Zbl 0910.62106
Schmidli, Hanspeter
1
1996
Dividends with tax and capital injection in a spectrally negative Lévy risk model. Zbl 1416.91219
Schmidli, H.
4
2018
On capital injections and dividends with tax in a diffusion approximation. Zbl 1402.91991
Schmidli, Hanspeter
6
2017
On optimal dividends with exponential and linear penalty payments. Zbl 1394.91235
Vierkötter, Matthias; Schmidli, Hanspeter
6
2017
Risk theory. Zbl 1422.91009
Schmidli, Hanspeter
3
2017
On capital injections and dividends with tax in a classical risk model. Zbl 1371.91108
Schmidli, Hanspeter
6
2016
Extended Gerber-Shiu functions in a risk model with interest. Zbl 1408.91106
Schmidli, Hanspeter
1
2015
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
17
2011
Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs. Zbl 1222.91026
Scheer, Natalie; Schmidli, Hanspeter
12
2011
Optimal control of capital injections by reinsurance with a constant rate of interest. Zbl 1230.91072
Eisenberg, Julia; Schmidli, Hanspeter
8
2011
On the Gerber-Shiu function and change of measure. Zbl 1231.91232
Schmidli, Hanspeter
8
2010
Conditional law of risk processes given that ruin occurs. Zbl 1231.91233
Schmidli, Hanspeter
1
2010
Optimal control of capital injections by reinsurance in a diffusion approximation. Zbl 1183.91069
Eisenberg, Julia; Schmidli, Hanspeter
14
2009
Stochastic control in insurance. Zbl 1133.93002
Schmidli, Hanspeter
129
2008
Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075
Kulenko, Natalie; Schmidli, Hanspeter
63
2008
Stochastic processes for insurance and finance. Reprint of the 1999 hardback ed. Zbl 1152.60006
Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef
59
2008
On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance. Zbl 1164.60012
Schmidli, Hanspeter
3
2008
Optimisation in non-life insurance. Zbl 1107.93036
Schmidli, Hanspeter
9
2006
On optimal investment and subexponential claims. Zbl 1110.91019
Schmidli, Hanspeter
11
2005
Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116
Hipp, Christian; Schmidli, Hanspeter
30
2004
On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033
Hald, Morten; Schmidli, Hanspeter
23
2004
Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case. Zbl 1056.90037
Schmidli, Hanspeter
8
2004
On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061
Schmidli, Hanspeter
148
2002
Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039
Schmidli, Hanspeter
104
2001
Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion. Zbl 0981.60041
Schmidli, Hanspeter
10
2001
Pricing catastrophe insurance products based on actually reported claims. Zbl 0994.91033
Vorm Christensen, Claus; Schmidli, Hanspeter
7
2000
Stochastic processes for insurance and finance. Zbl 0940.60005
Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef
406
1999
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
40
1999
On the distribution of the surplus prior to and at ruin. Zbl 1129.62425
Schmidli, Hanspeter
23
1999
Perturbed risk processes: a review. Zbl 0954.60036
Schmidli, Hanspeter
8
1999
Compound sums and subexponentiality. Zbl 0949.60032
Schmidli, Hanspeter
8
1999
An extension to the renewal theorem and an application to risk theory. Zbl 0876.60072
Schmidli, H.
8
1997
Estimation of the Lundberg coefficient for a Markov modulated risk model. Zbl 0926.62105
Schmidli, Hanspeter
4
1997
Lundberg inequalities for a Cox model with a piecewise constant intensity. Zbl 0845.60066
Schmidli, Hanspeter
7
1996
Bayesian analysis of reduced rank regression. Zbl 0851.62022
Schmidli, Hanspeter
2
1996
Martingales and insurance risk. Zbl 0910.62106
Schmidli, Hanspeter
1
1996
Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion. Zbl 0837.62087
Schmidli, Hanspeter
32
1995
Saddlepoint approximations for the probability of ruin in finite time. Zbl 0836.62082
Barndorff-Nielsen, Ole E.; Schmidli, Hanspeter
13
1995
Ruin estimation for a general insurance risk model. Zbl 0811.62096
Embrechts, Paul; Schmidli, Hanspeter
48
1994
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion. Zbl 0814.62066
Furrer, H. J.; Schmidli, H.
33
1994
Diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0793.60095
Schmidli, Hanspeter
22
1994
Modelling of extremal events in insurance and finance. Zbl 0798.90024
Embrechts, Paul; Schmidli, Hanspeter
10
1994
Corrected diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0811.90023
Schmidli, Hanspeter
4
1994
Risk theory in an economic environment and Markov processes. Zbl 0816.90042
Schmidli, Hanspeter
3
1994
Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094
Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter
17
1993
all top 5

Cited by 1,027 Authors

33 Yang, Hailiang
30 Schmidli, Hanspeter
25 Yuen, Kam Chuen
22 Yin, Chuancun
21 Guo, Junyi
20 Albrecher, Hansjörg
20 Liang, Zhibin
18 Marceau, Étienne
17 Wu, Rong
15 Cossette, Hélène
15 Palmowski, Zbigniew
14 Wang, Rongming
13 Tang, Qihe
13 Young, Virginia R.
12 Avram, Florin
12 Jin, Zhuo
12 Willmot, Gordon E.
12 Zhao, Hui
11 Asmussen, Søren
11 Bäuerle, Nicole
11 Hu, Yijun
11 Thonhauser, Stefan
11 Zhang, Zhimin
11 Zhou, Ming
11 Zwart, Bert P.
10 Cai, Jun
10 Landriault, David
10 Luo, Shangzhen
10 Rong, Ximin
10 Wang, Guojing
10 Yao, Dingjun
10 Zeng, Yan
10 Zhang, Xin
9 Azcue, Pablo
9 Bai, Lihua
9 Eisenberg, Julia
9 Li, Shuanming
9 Muler, Nora E.
9 Siu, Tak Kuen
8 Li, Danping
8 Li, Zhongfei
8 Taksar, Michael I.
8 Yang, Hu
8 Yin, Gang George
7 Bi, Junna
7 Constantinescu, Corina D.
7 Gómez-Déniz, Emilio
7 Meng, Hui
7 Ortega, Eva-María
7 Pistorius, Martijn R.
7 Ragulina, Olena
7 Shen, Yang
7 Wang, Yuebao
6 Bao, Zhenhua
6 Bayraktar, Erhan
6 Chi, Yichun
6 Dickson, David C. M.
6 Feng, Runhuan
6 Guo, Xianping
6 Hashorva, Enkelejd
6 Hipp, Christian
6 Kałuszka, Marek
6 Klüppelberg, Claudia
6 Liang, Xiaoqing
6 Liu, Guoxin
6 Macci, Claudio
6 Psarrakos, Georgios
6 Ramasubramanian, Srinivasan
6 Xu, Lin
6 Zhang, Chunsheng
6 Zhu, Jinxia
5 Badescu, Andrei L.
5 Chen, Mi
5 Chen, Shumin
5 Chudziak, Jacek
5 Dassios, Angelos
5 Denuit, Michel M.
5 Garrido, José Luis
5 Gatto, Riccardo
5 Grandits, Peter
5 Jang, Jiwook
5 Li, Jinzhu
5 Lin, X. Sheldon
5 Lin, Xiang
5 Loisel, Stéphane
5 Lu, Yi
5 Meng, Qingbin
5 Mishura, Yuliya Stepanivna
5 Pellerey, Franco
5 Peng, Xingchun
5 Politis, Konstadinos
5 Šiaulys, Jonas
5 Zhang, Nan
4 Chen, Ping
4 Dębicki, Krzysztof
4 Dieker, A. B.
4 Embrechts, Paul
4 Emms, Paul
4 Gu, Ailing
4 Kolkovska, Ekaterina Todorova
...and 927 more Authors
all top 5

Cited in 142 Serials

249 Insurance Mathematics & Economics
63 Scandinavian Actuarial Journal
45 Journal of Applied Probability
34 Statistics & Probability Letters
32 Journal of Computational and Applied Mathematics
24 Advances in Applied Probability
24 Methodology and Computing in Applied Probability
24 ASTIN Bulletin
21 Acta Mathematicae Applicatae Sinica. English Series
21 Stochastic Models
16 Mathematical Methods of Operations Research
16 European Actuarial Journal
15 Journal of Industrial and Management Optimization
14 The Annals of Applied Probability
12 Journal of Mathematical Analysis and Applications
12 Communications in Statistics. Theory and Methods
11 Stochastic Processes and their Applications
11 Applied Stochastic Models in Business and Industry
11 North American Actuarial Journal
10 Applied Mathematics and Computation
10 Journal of Systems Science and Complexity
9 Lithuanian Mathematical Journal
9 Queueing Systems
9 Finance and Stochastics
8 Scandinavian Actuarial Journal
8 Annals of Operations Research
8 Frontiers of Mathematics in China
7 European Journal of Operational Research
7 Modern Stochastics. Theory and Applications
6 Applied Mathematics and Optimization
6 Stochastic Analysis and Applications
6 Theory of Probability and Mathematical Statistics
6 Mathematical Problems in Engineering
6 Acta Mathematica Sinica. English Series
6 The ANZIAM Journal
5 Journal of Optimization Theory and Applications
5 Journal of Applied Mathematics and Computing
5 Stochastics
5 Journal of the Korean Statistical Society
4 Automatica
4 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
4 Journal of Statistical Planning and Inference
4 Operations Research Letters
4 Automation and Remote Control
4 Cybernetics and Systems Analysis
4 Applied Mathematics. Series B (English Edition)
4 Discrete Dynamics in Nature and Society
4 Quantitative Finance
3 Moscow University Mathematics Bulletin
3 SIAM Journal on Control and Optimization
3 Mathematical and Computer Modelling
3 Computational Statistics and Data Analysis
3 Bernoulli
3 Mathematical Finance
3 Probability in the Engineering and Informational Sciences
3 Asia-Pacific Financial Markets
3 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
3 Science China. Mathematics
2 Computers & Mathematics with Applications
2 The Annals of Probability
2 Journal of Multivariate Analysis
2 Kybernetika
2 Mathematics of Operations Research
2 Probability and Mathematical Statistics
2 Probability Theory and Related Fields
2 Science in China. Series A
2 Journal of Applied Mathematics and Stochastic Analysis
2 Aequationes Mathematicae
2 Communications in Statistics. Simulation and Computation
2 Mathematical Methods of Statistics
2 Top
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Chaos
2 Wuhan University Journal of Natural Sciences (WUJNS)
2 International Journal of Theoretical and Applied Finance
2 Decisions in Economics and Finance
2 Advances in Difference Equations
2 Nonlinear Analysis. Hybrid Systems
2 SIAM Journal on Financial Mathematics
2 Mathematical Control and Related Fields
2 Statistics & Risk Modeling
1 International Journal of Control
1 Journal of Engineering Mathematics
1 Journal of Mathematical Biology
1 Journal of Statistical Physics
1 Mathematical Biosciences
1 Mathematical Methods in the Applied Sciences
1 Metrika
1 Theory of Probability and its Applications
1 The Annals of Statistics
1 Demonstratio Mathematica
1 Journal of Mathematical Economics
1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
1 Theoretical Computer Science
1 Transactions of the American Mathematical Society
1 Optimal Control Applications & Methods
1 Bulletin of the Korean Mathematical Society
1 Acta Mathematica Hungarica
1 Optimization
1 International Journal of Approximate Reasoning
...and 42 more Serials

Citations by Year