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## Schmidli, Hanspeter

Compute Distance To:
 Author ID: 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
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#### Co-Authors

 28 single-authored 3 Eisenberg, Julia 3 Embrechts, Paul 3 Schmidt, Volker 2 Grandell, Jan 2 Rolski, Tomasz 2 Scheer, Natalie 2 Teugels, Jozef L. 1 Asmussen, Søren 1 Barndorff-Nielsen, Ole Eiler 1 Bata, Katharina 1 Brachetta, Matteo 1 Furrer, H. J. 1 Hald, Morten 1 Hipp, Christian 1 Mishura, Yuliya Stepanivna 1 Schmeck, Maren Diane 1 Vierkötter, Matthias 1 Vorm Christensen, Claus
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#### Serials

 12 Insurance Mathematics & Economics 4 Scandinavian Actuarial Journal 3 Journal of Applied Probability 3 Scandinavian Actuarial Journal 2 Advances in Applied Probability 2 Mitteilungen. Schweizerische Vereinigung der Versicherungsmathematiker (SVVM) 2 The Annals of Applied Probability 2 ASTIN Bulletin 2 European Actuarial Journal 1 Communications in Statistics. Stochastic Models 1 Queueing Systems 1 ZOR. Zeitschrift für Operations Research 1 Test 1 Theory of Probability and Mathematical Statistics 1 Bernoulli 1 Zhurnal Obchyslyuval’noïta Prykladnoï Matematyky 1 Theory of Stochastic Processes 1 Decisions in Economics and Finance 1 Stochastic Models 1 North American Actuarial Journal 1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) 1 Probability and its Applications 1 Springer Actuarial
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#### Fields

 38 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 34 Probability theory and stochastic processes (60-XX) 16 Statistics (62-XX) 9 Systems theory; control (93-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Numerical analysis (65-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operations research, mathematical programming (90-XX)

#### 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
1999
On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061
Schmidli, Hanspeter
2002
Stochastic control in insurance. Zbl 1133.93002
Schmidli, Hanspeter
2008
Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039
Schmidli, Hanspeter
2001
Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075
Kulenko, Natalie; Schmidli, Hanspeter
2008
Stochastic processes for insurance and finance. Reprint of the 1999 hardback ed. Zbl 1152.60006
Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef
2008
Ruin estimation for a general insurance risk model. Zbl 0811.62096
Embrechts, Paul; Schmidli, Hanspeter
1994
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
1999
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion. Zbl 0814.62066
Furrer, H. J.; Schmidli, H.
1994
Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion. Zbl 0837.62087
Schmidli, Hanspeter
1995
Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116
Hipp, Christian; Schmidli, Hanspeter
2004
On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033
Hald, Morten; Schmidli, Hanspeter
2004
On the distribution of the surplus prior to and at ruin. Zbl 1129.62425
Schmidli, Hanspeter
1999
Diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0793.60095
Schmidli, Hanspeter
1994
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
2011
Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094
Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter
1993
Optimal control of capital injections by reinsurance in a diffusion approximation. Zbl 1183.91069
Eisenberg, Julia; Schmidli, Hanspeter
2009
Saddlepoint approximations for the probability of ruin in finite time. Zbl 0836.62082
Barndorff-Nielsen, Ole E.; Schmidli, Hanspeter
1995
Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs. Zbl 1222.91026
Scheer, Natalie; Schmidli, Hanspeter
2011
On optimal investment and subexponential claims. Zbl 1110.91019
Schmidli, Hanspeter
2005
Distribution of the first ladder height of a stationary risk process perturbed by $$\alpha$$-stable Lévy motion. Zbl 0981.60041
Schmidli, Hanspeter
2001
Modelling of extremal events in insurance and finance. Zbl 0798.90024
Embrechts, Paul; Schmidli, Hanspeter
1994
Optimisation in non-life insurance. Zbl 1107.93036
Schmidli, Hanspeter
2006
Optimal control of capital injections by reinsurance with a constant rate of interest. Zbl 1230.91072
Eisenberg, Julia; Schmidli, Hanspeter
2011
On the Gerber-Shiu function and change of measure. Zbl 1231.91232
Schmidli, Hanspeter
2010
Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case. Zbl 1056.90037
Schmidli, Hanspeter
2004
Perturbed risk processes: a review. Zbl 0954.60036
Schmidli, Hanspeter
1999
Compound sums and subexponentiality. Zbl 0949.60032
Schmidli, Hanspeter
1999
An extension to the renewal theorem and an application to risk theory. Zbl 0876.60072
Schmidli, H.
1997
Pricing catastrophe insurance products based on actually reported claims. Zbl 0994.91033
Vorm Christensen, Claus; Schmidli, Hanspeter
2000
Lundberg inequalities for a Cox model with a piecewise constant intensity. Zbl 0845.60066
Schmidli, Hanspeter
1996
On capital injections and dividends with tax in a diffusion approximation. Zbl 1402.91991
Schmidli, Hanspeter
2017
On optimal dividends with exponential and linear penalty payments. Zbl 1394.91235
Vierkötter, Matthias; Schmidli, Hanspeter
2017
On capital injections and dividends with tax in a classical risk model. Zbl 1371.91108
Schmidli, Hanspeter
2016
Dividends with tax and capital injection in a spectrally negative Lévy risk model. Zbl 1416.91219
Schmidli, H.
2018
Estimation of the Lundberg coefficient for a Markov modulated risk model. Zbl 0926.62105
Schmidli, Hanspeter
1997
Corrected diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0811.90023
Schmidli, Hanspeter
1994
Risk theory. Zbl 1422.91009
Schmidli, Hanspeter
2017
On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance. Zbl 1164.60012
Schmidli, Hanspeter
2008
Risk theory in an economic environment and Markov processes. Zbl 0816.90042
Schmidli, Hanspeter
1994
Bayesian analysis of reduced rank regression. Zbl 0851.62022
Schmidli, Hanspeter
1996
Extended Gerber-Shiu functions in a risk model with interest. Zbl 1408.91106
Schmidli, Hanspeter
2015
Conditional law of risk processes given that ruin occurs. Zbl 1231.91233
Schmidli, Hanspeter
2010
Martingales and insurance risk. Zbl 0910.62106
Schmidli, Hanspeter
1996
Dividends with tax and capital injection in a spectrally negative Lévy risk model. Zbl 1416.91219
Schmidli, H.
2018
On capital injections and dividends with tax in a diffusion approximation. Zbl 1402.91991
Schmidli, Hanspeter
2017
On optimal dividends with exponential and linear penalty payments. Zbl 1394.91235
Vierkötter, Matthias; Schmidli, Hanspeter
2017
Risk theory. Zbl 1422.91009
Schmidli, Hanspeter
2017
On capital injections and dividends with tax in a classical risk model. Zbl 1371.91108
Schmidli, Hanspeter
2016
Extended Gerber-Shiu functions in a risk model with interest. Zbl 1408.91106
Schmidli, Hanspeter
2015
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
2011
Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs. Zbl 1222.91026
Scheer, Natalie; Schmidli, Hanspeter
2011
Optimal control of capital injections by reinsurance with a constant rate of interest. Zbl 1230.91072
Eisenberg, Julia; Schmidli, Hanspeter
2011
On the Gerber-Shiu function and change of measure. Zbl 1231.91232
Schmidli, Hanspeter
2010
Conditional law of risk processes given that ruin occurs. Zbl 1231.91233
Schmidli, Hanspeter
2010
Optimal control of capital injections by reinsurance in a diffusion approximation. Zbl 1183.91069
Eisenberg, Julia; Schmidli, Hanspeter
2009
Stochastic control in insurance. Zbl 1133.93002
Schmidli, Hanspeter
2008
Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075
Kulenko, Natalie; Schmidli, Hanspeter
2008
Stochastic processes for insurance and finance. Reprint of the 1999 hardback ed. Zbl 1152.60006
Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef
2008
On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance. Zbl 1164.60012
Schmidli, Hanspeter
2008
Optimisation in non-life insurance. Zbl 1107.93036
Schmidli, Hanspeter
2006
On optimal investment and subexponential claims. Zbl 1110.91019
Schmidli, Hanspeter
2005
Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116
Hipp, Christian; Schmidli, Hanspeter
2004
On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033
Hald, Morten; Schmidli, Hanspeter
2004
Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case. Zbl 1056.90037
Schmidli, Hanspeter
2004
On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061
Schmidli, Hanspeter
2002
Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039
Schmidli, Hanspeter
2001
Distribution of the first ladder height of a stationary risk process perturbed by $$\alpha$$-stable Lévy motion. Zbl 0981.60041
Schmidli, Hanspeter
2001
Pricing catastrophe insurance products based on actually reported claims. Zbl 0994.91033
Vorm Christensen, Claus; Schmidli, Hanspeter
2000
Stochastic processes for insurance and finance. Zbl 0940.60005
Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef
1999
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
1999
On the distribution of the surplus prior to and at ruin. Zbl 1129.62425
Schmidli, Hanspeter
1999
Perturbed risk processes: a review. Zbl 0954.60036
Schmidli, Hanspeter
1999
Compound sums and subexponentiality. Zbl 0949.60032
Schmidli, Hanspeter
1999
An extension to the renewal theorem and an application to risk theory. Zbl 0876.60072
Schmidli, H.
1997
Estimation of the Lundberg coefficient for a Markov modulated risk model. Zbl 0926.62105
Schmidli, Hanspeter
1997
Lundberg inequalities for a Cox model with a piecewise constant intensity. Zbl 0845.60066
Schmidli, Hanspeter
1996
Bayesian analysis of reduced rank regression. Zbl 0851.62022
Schmidli, Hanspeter
1996
Martingales and insurance risk. Zbl 0910.62106
Schmidli, Hanspeter
1996
Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion. Zbl 0837.62087
Schmidli, Hanspeter
1995
Saddlepoint approximations for the probability of ruin in finite time. Zbl 0836.62082
Barndorff-Nielsen, Ole E.; Schmidli, Hanspeter
1995
Ruin estimation for a general insurance risk model. Zbl 0811.62096
Embrechts, Paul; Schmidli, Hanspeter
1994
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion. Zbl 0814.62066
Furrer, H. J.; Schmidli, H.
1994
Diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0793.60095
Schmidli, Hanspeter
1994
Modelling of extremal events in insurance and finance. Zbl 0798.90024
Embrechts, Paul; Schmidli, Hanspeter
1994
Corrected diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0811.90023
Schmidli, Hanspeter
1994
Risk theory in an economic environment and Markov processes. Zbl 0816.90042
Schmidli, Hanspeter
1994
Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094
Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter
1993
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#### 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
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#### 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
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#### Cited in 29 Fields

 785 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 565 Probability theory and stochastic processes (60-XX) 234 Statistics (62-XX) 214 Systems theory; control (93-XX) 69 Operations research, mathematical programming (90-XX) 68 Calculus of variations and optimal control; optimization (49-XX) 28 Numerical analysis (65-XX) 10 Integral transforms, operational calculus (44-XX) 9 Integral equations (45-XX) 8 Partial differential equations (35-XX) 6 Computer science (68-XX) 4 Functional analysis (46-XX) 4 Statistical mechanics, structure of matter (82-XX) 3 Approximations and expansions (41-XX) 3 Biology and other natural sciences (92-XX) 2 Real functions (26-XX) 2 Measure and integration (28-XX) 2 Special functions (33-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Difference and functional equations (39-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 Combinatorics (05-XX) 1 Field theory and polynomials (12-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Convex and discrete geometry (52-XX) 1 General topology (54-XX) 1 Geophysics (86-XX) 1 Mathematics education (97-XX)