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Albrecher, Hansjörg

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Author ID: albrecher.hansjorg Recent zbMATH articles by "Albrecher, Hansjörg"
Published as: Albrecher, Hansjörg; Albrecher, Hansjoerg; Albrecher, H.; Albrechter, Hansjörg
Homepage: http://hec.unil.ch/people/halbrecher
External Links: MGP · ResearchGate · dblp · GND
all top 5

Co-Authors

4 single-authored
10 Thonhauser, Stefan
9 Bladt, Martin
8 Ivanovs, Jevgeņijs
8 Kortschak, Dominik
8 Tichy, Robert Franz
7 Boxma, Onno Johan
7 Hartinger, Jürgen
7 Teugels, Jozef L.
6 Beirlant, Jan
6 Constantinescu, Corina D.
5 Bladt, Mogens
5 Loisel, Stéphane
4 Asmussen, Søren
4 Gerber, Hans U.
4 Mayer, Philipp A.
3 Araujo-Acuna, José Carlos
3 Azcue, Pablo
3 Cheung, Eric C. K.
3 Kainhofer, Reinhold F.
3 Muler, Nora E.
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 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 Yslas, Jorge
1 Zwart, Bert P.
all top 5

Serials

17 Insurance Mathematics & Economics
7 Journal of Applied Probability
7 North American Actuarial Journal
6 Methodology and Computing in Applied Probability
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 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 Fractional Calculus & Applied Analysis
1 Probability in the Engineering and Informational Sciences
1 Applied Stochastic Models in Business and Industry
1 Stochastic Models
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

Publications by Year

Citations contained in zbMATH Open

90 Publications have been cited 1,925 times in 1,180 Documents Cited by Year
Ruin probabilities. 2nd ed. Zbl 1247.91080
Asmussen, Søren; Albrecher, Hansjörg
338
2010
Exponential behavior in the presence of dependence in risk theory. Zbl 1097.62110
Albrecher, Hansjörg; Teugels, Jef L.
83
2006
Optimality results for dividend problems in insurance. Zbl 1187.93138
Albrecher, Hansjörg; Thonhauser, Stefan
79
2009
A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048
Albrecher, Hansjörg; Boxma, Onno J.
69
2004
On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023
Albrecher, Hansjörg; Boxma, Onno J.
65
2005
Randomized onservation periods for the compound Poisson risk model: dividends. Zbl 1239.91072
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
62
2011
Reinsurance. Actuarial and statistical aspects. Zbl 1376.91004
Albrecher, Hansjoerg; Beirlant, Jan; Teugels, Jozef L.
57
2017
Exit identities for Lévy processes observed at Poisson arrival times. Zbl 1338.60125
Albrecher, Hansjörg; Ivanovs, Jevgenijs; Zhou, Xiaowen
52
2016
Lundberg’s risk process with tax. Zbl 1119.62103
Albrecher, Hansjörg; Hipp, Christian
48
2007
Explicit ruin formulas for models with dependence among risks. Zbl 1218.91065
Albrecher, Hansjörg; Constantinescu, Corina; Loisel, Stephane
48
2011
The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062
Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W.
48
2011
Randomized observation periods for the compound Poisson risk model: the discounted penalty function. Zbl 1401.91089
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
46
2013
On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times. Zbl 1117.91377
Albrecher, Hansjörg; Claramunt, M. Mercé; Mármol, Maite
45
2005
A Lévy insurance risk process with tax. Zbl 1144.60032
Albrecher, Hansjörg; Renaud, Jean-François; Zhou, Xiaowen
41
2008
On the dual risk model with tax payments. Zbl 1141.91481
Albrecher, Hansjörg; Badescu, Andrei; Landriault, David
40
2008
Dividend maximization under consideration of the time value of ruin. Zbl 1119.91047
Thonhauser, Stefan; Albrecher, Hansjörg
39
2007
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
38
2006
Risk theory with a nonlinear dividend barrier. Zbl 1076.91521
Albrecher, H.; Kainhofer, R.
36
2002
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
33
2006
Asymptotic results for the sum of dependent non-identically distributed random variables. Zbl 1171.60348
Kortschak, Dominik; Albrecher, Hansjörg
32
2009
The tax identity in risk theory - a simple proof and an extension. Zbl 1163.91430
Albrecher, Hansjörg; Borst, Sem; Boxma, Onno; Resing, Jacques
32
2009
Optimal dividend strategies for a risk process under force of interest. Zbl 1140.91371
Albrecher, Hansjörg; Thonhauser, Stefan
27
2008
On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier. Zbl 1092.91036
Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F.
26
2005
From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084
Albrecher, Hansjörg; Lautscham, Volkmar
23
2013
On Asian option pricing for NIG Lévy processes. Zbl 1107.91042
Albrecher, Hansjörg; Predota, Martin
22
2004
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
21
2011
An algebraic operator approach to the analysis of Gerber-Shiu functions. Zbl 1231.91135
Albrecher, Hansjörg; Constantinescu, Corina; Pirsic, Gottlieb; Regensburger, Georg; Rosenkranz, Markus
21
2010
General lower bounds for arithmetic Asian option prices. Zbl 1134.91394
Albrecher, H.; Mayer, P. A.; Schoutens, W.
20
2008
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
19
2010
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Zbl 1354.60048
Albrecher, Hansjörg; Ivanovs, Jevgenijs
19
2017
Exact and asymptotic results for insurance risk models with surplus-dependent premiums. Zbl 1264.91068
Albrecher, Hansjörg; Constantinescu, Corina; Palmowski, Zbigniew; Regensburger, Georg; Rosenkranz, Markus
18
2013
Optimal dividend strategies for two collaborating insurance companies. Zbl 1429.91274
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
17
2017
Competition among non-life insurers under solvency constraints: a game-theoretic approach. Zbl 1317.91042
Dutang, Christophe; Albrecher, Hansjoerg; Loisel, Stéphane
16
2013
Simulation methods in ruin models with nonlinear dividend barriers. Zbl 1036.91029
Albrecher, Hansjörg; Kainhofer, Reinhold; Tichy, Robert F.
15
2003
On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model. Zbl 1158.62071
Albrecher, Hansjörg; Hartinger, Jürgen; Thonhauser, Stefan
15
2007
A generic one-factor Lévy model for pricing synthetic CDOs. Zbl 1154.91421
Albrechter, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim
15
2007
On a gamma series expansion for the time-dependent probability of collective ruin. Zbl 1025.62036
Albrecher, Hansjörg; Teugels, Jozef L.; Tichy, Robert F.
14
2001
Power identities for Lévy risk models under taxation and capital injections. Zbl 1300.60067
Albrecher, Hansjörg; Ivanovs, Jevgenijs
14
2014
Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. Zbl 1262.91096
Thonhauser, Stefan; Albrecher, Hansjörg
14
2011
Asymptotics of the sample coefficient of variation and the sample dispersion. Zbl 1177.62065
Albrecher, H.; Ladoucette, Sophie A.; Teugels, Jef L.
13
2010
On the efficient evaluation of ruin probabilities for completely monotone claim distributions. Zbl 1201.91088
Albrecher, Hansjörg; Avram, Florin; Kortschak, Dominik
13
2010
On the non-optimality of horizontal barrier strategies in the Sparre Andersen model. Zbl 1243.91059
Albrecher, Hansjörg; Hartinger, Jürgen
13
2006
Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. Zbl 1224.91038
Albrecher, Hansjörg; Hipp, Christian; Kortschak, Dominik
12
2010
Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Zbl 1372.91100
Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen
12
2012
On ruin probability and aggregate claim representations for Pareto claim size distributions. Zbl 1231.91137
Albrecher, Hansjörg; Kortschak, Dominik
12
2009
Asymptotic analysis of a measure of variation. Zbl 1150.62363
Albrecher, H.; Teugels, J. L.
11
2006
Asymptotic results for renewal risk models with risky investments. Zbl 1250.91055
Albrecher, Hansjoerg; Constantinescu, Corina; Thomann, Enrique
10
2012
Simulation of ruin probabilities for risk processes of Markovian type. Zbl 1014.91055
Albrecher, Hansjörg; Kantor, Josef
9
2002
Inhomogeneous phase-type distributions and heavy tails. Zbl 1428.62103
Albrecher, Hansjörg; Bladt, Mogens
8
2019
Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Zbl 1450.62044
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
8
2020
Bounds and approximations for discrete Asian options in a variance-gamma model. Zbl 1053.91056
Albrecher, Hansjörg; Predota, Martin
7
2002
Identification of the local speed function in a Lévy model for option pricing. Zbl 1149.91034
Kindermann, S.; Mayer, P.; Albrecher, H.; Engl, H.
7
2008
The tax identity for Markov additive risk processes. Zbl 1286.91062
Albrecher, Hansjörg; Avram, Florin; Constantinescu, Corina; Ivanovs, Jevgenijs
7
2014
Multivariate matrix Mittag-Leffler distributions. Zbl 1469.62258
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
7
2021
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 1287.91088
Albrecher, Hansjörg; Thonhauser, Stefan
6
2012
A note on the asymptotic behaviour of bottleneck problems. Zbl 1099.90048
Albrecher, Hansjörg
5
2005
Ruin excursions, the \(G/G/\infty \) queue, and tax payments in renewal risk models. Zbl 1223.91024
Albrecher, Hansjörg; Borst, Sem C.; Boxma, Onno J.; Resing, Jacques
5
2011
On simple ruin expressions in dependent Sparre Andersen risk models. Zbl 1286.91063
Albrecher, Hansjörg; Boxma, Onno J.; Ivanovs, Jevgenijs
5
2014
Old-age provision: past, present, future. Zbl 1394.91007
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël
5
2016
Risk theory with affine dividend payment strategies. Zbl 1415.91147
Albrecher, Hansjörg; Cani, Arian
5
2017
Linking dividends and capital injections – a probabilistic approach. Zbl 1416.91146
Albrecher, Hansjörg; Ivanovs, Jevgenijs
5
2018
Multivariate fractional phase-type distributions. Zbl 1474.60025
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
4
2020
QMC techniques for CAT bond pricing. Zbl 1060.65501
Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F.
4
2004
Dividends: from refracting to ratcheting. Zbl 1417.91260
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin
4
2018
An asymptotical study of combinatorial optimization problems by means of statistical mechanics. Zbl 1079.90108
Albrecher, Hansjörg; Burkard, Rainer E.; Çela, Eranda
4
2006
Ruin problems under IBNR dynamics. Zbl 1275.91079
Trufin, Julien; Albrecher, Hansjörg; Denuit, Michel
4
2011
Introduction to quantitative methods for financial markets. Revised and updated translation of the German original. Zbl 1273.91001
Albrecher, Hansjoerg; Binder, Andreas; Lautscham, Volkmar; Mayer, Philipp
4
2013
Advanced financial modelling. Zbl 1177.91006
3
2009
Ruin theory with excess of loss reinsurance and reinstatements. Zbl 1231.91136
Albrecher, Hansjörg; Haas, Sandra
3
2011
Tail asymptotics for dependent subexponential differences. Zbl 1257.62016
Albrecher, H.; Asmussen, S.; Kortschak, D.
3
2012
Combined tail estimation using censored data and expert information. Zbl 1448.91255
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
3
2020
Optimal ratcheting of dividends in insurance. Zbl 1452.91256
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
3
2020
Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451
Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane
3
2013
A note on moments of dividends. Zbl 1299.91052
Albrecher, Hansjörg; Gerber, Hans U.
3
2011
On randomized reinsurance contracts. Zbl 1419.91346
Albrecher, Hansjörg; Cani, Arian
3
2019
A combinational identity for a problem in asymptotic statistic. Zbl 1274.62336
Albrecher, Hansjörg; Teugels, Jozef L.; Scheicher, Klaus
2
2009
On the profitability of selfish blockchain mining under consideration of ruin. Zbl 1484.91526
Albrecher, Hansjoerg; Goffard, Pierre-Olivier
2
2022
“Optimal dividends: analysis with Brownian motion” by Hans U. Gerber and Elias S. W. Shiu, January 2004 (Discussion). Zbl 1085.62506
Deprez, Olivier; Albrecher, Hansjörg
2
2004
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 1187.91089
Albrecher, Hansjörg; Tichy, Robert F.
2
2000
On the joint distribution of tax payments and capitalinjections for a Lévy risk model. Zbl 1393.60048
Albrecher, Hansjörg; Ivanovs, Jevgenijs
2
2017
Threshold selection and trimming in extremes. Zbl 1466.62318
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
1
2020
Discrepancy of point sequences on fractal sets. Zbl 0960.11037
Albrecher, Hansjörg; Matoušek, Jiří; Tichy, Robert F.
1
2000
Exact boundaries in sequential testing for phase-type distributions. Zbl 1309.62140
Albrecher, Hansjörg; Asadi, Peiman; Ivanovs, Jevgenijs
1
2014
An asymptotic expansion for the tail of compound sums of Burr distributed random variables. Zbl 1185.62039
Kortschak, Dominik; Albrecher, Hansjörg
1
2010
A queueing model with randomized depletion of inventory. Zbl 1370.90083
Albrecher, Hansjörg; Boxma, Onno; Essifi, Rim; Kuijstermans, Richard
1
2017
Editorial: Special issue on Gerber-Shiu functions. Zbl 1231.91001
1
2010
The single server queue with mixing dependencies. Zbl 1437.60071
Raaijmakers, Youri; Albrecher, Hansjörg; Boxma, Onno
1
2019
On the non-optiomality of proportional reinsurance according to the dividend criterion. Zbl 1333.91016
Albrecher, Hansjörg; Gerber, Hans U.
1
2009
Robert F. Tichy: 50 years – the unreasonable effectiveness of a number theorist. Zbl 1131.01304
Albrecher, Hansjörg; Drmota, Michael; Goldstern, Martin; Winkler, Reinhard; Grabner, Peter J.
1
2007
On the profitability of selfish blockchain mining under consideration of ruin. Zbl 1484.91526
Albrecher, Hansjoerg; Goffard, Pierre-Olivier
2
2022
Multivariate matrix Mittag-Leffler distributions. Zbl 1469.62258
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
7
2021
Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Zbl 1450.62044
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
8
2020
Multivariate fractional phase-type distributions. Zbl 1474.60025
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
4
2020
Combined tail estimation using censored data and expert information. Zbl 1448.91255
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
3
2020
Optimal ratcheting of dividends in insurance. Zbl 1452.91256
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
3
2020
Threshold selection and trimming in extremes. Zbl 1466.62318
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
1
2020
Inhomogeneous phase-type distributions and heavy tails. Zbl 1428.62103
Albrecher, Hansjörg; Bladt, Mogens
8
2019
On randomized reinsurance contracts. Zbl 1419.91346
Albrecher, Hansjörg; Cani, Arian
3
2019
The single server queue with mixing dependencies. Zbl 1437.60071
Raaijmakers, 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 1416.91146
Albrecher, Hansjörg; Ivanovs, Jevgenijs
5
2018
Dividends: from refracting to ratcheting. Zbl 1417.91260
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin
4
2018
Reinsurance. Actuarial and statistical aspects. Zbl 1376.91004
Albrecher, Hansjoerg; Beirlant, Jan; Teugels, Jozef L.
57
2017
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Zbl 1354.60048
Albrecher, Hansjörg; Ivanovs, Jevgenijs
19
2017
Optimal dividend strategies for two collaborating insurance companies. Zbl 1429.91274
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
17
2017
Risk theory with affine dividend payment strategies. Zbl 1415.91147
Albrecher, Hansjörg; Cani, Arian
5
2017
On the joint distribution of tax payments and capitalinjections for a Lévy risk model. Zbl 1393.60048
Albrecher, Hansjörg; Ivanovs, Jevgenijs
2
2017
A queueing model with randomized depletion of inventory. Zbl 1370.90083
Albrecher, Hansjörg; Boxma, Onno; Essifi, Rim; Kuijstermans, Richard
1
2017
Exit identities for Lévy processes observed at Poisson arrival times. Zbl 1338.60125
Albrecher, Hansjörg; Ivanovs, Jevgenijs; Zhou, Xiaowen
52
2016
Old-age provision: past, present, future. Zbl 1394.91007
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël
5
2016
Power identities for Lévy risk models under taxation and capital injections. Zbl 1300.60067
Albrecher, Hansjörg; Ivanovs, Jevgenijs
14
2014
The tax identity for Markov additive risk processes. Zbl 1286.91062
Albrecher, Hansjörg; Avram, Florin; Constantinescu, Corina; Ivanovs, Jevgenijs
7
2014
On simple ruin expressions in dependent Sparre Andersen risk models. Zbl 1286.91063
Albrecher, Hansjörg; Boxma, Onno J.; Ivanovs, Jevgenijs
5
2014
Exact boundaries in sequential testing for phase-type distributions. Zbl 1309.62140
Albrecher, Hansjörg; Asadi, Peiman; Ivanovs, Jevgenijs
1
2014
Randomized observation periods for the compound Poisson risk model: the discounted penalty function. Zbl 1401.91089
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
46
2013
From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084
Albrecher, Hansjörg; Lautscham, Volkmar
23
2013
Exact and asymptotic results for insurance risk models with surplus-dependent premiums. Zbl 1264.91068
Albrecher, Hansjörg; Constantinescu, Corina; Palmowski, Zbigniew; Regensburger, Georg; Rosenkranz, Markus
18
2013
Competition among non-life insurers under solvency constraints: a game-theoretic approach. Zbl 1317.91042
Dutang, Christophe; Albrecher, Hansjoerg; Loisel, Stéphane
16
2013
Introduction to quantitative methods for financial markets. Revised and updated translation of the German original. Zbl 1273.91001
Albrecher, Hansjoerg; Binder, Andreas; Lautscham, Volkmar; Mayer, Philipp
4
2013
Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451
Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane
3
2013
Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Zbl 1372.91100
Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen
12
2012
Asymptotic results for renewal risk models with risky investments. Zbl 1250.91055
Albrecher, Hansjoerg; Constantinescu, Corina; Thomann, Enrique
10
2012
On optimal dividend strategies in insurance with an random time horizon. Zbl 1287.91088
Albrecher, Hansjörg; Thonhauser, Stefan
6
2012
Tail asymptotics for dependent subexponential differences. Zbl 1257.62016
Albrecher, H.; Asmussen, S.; Kortschak, D.
3
2012
Randomized onservation periods for the compound Poisson risk model: dividends. Zbl 1239.91072
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
62
2011
Explicit ruin formulas for models with dependence among risks. Zbl 1218.91065
Albrecher, Hansjörg; Constantinescu, Corina; Loisel, Stephane
48
2011
The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062
Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W.
48
2011
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
21
2011
Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. Zbl 1262.91096
Thonhauser, Stefan; Albrecher, Hansjörg
14
2011
Ruin excursions, the \(G/G/\infty \) queue, and tax payments in renewal risk models. Zbl 1223.91024
Albrecher, Hansjörg; Borst, Sem C.; Boxma, Onno J.; Resing, Jacques
5
2011
Ruin problems under IBNR dynamics. Zbl 1275.91079
Trufin, Julien; Albrecher, Hansjörg; Denuit, Michel
4
2011
Ruin theory with excess of loss reinsurance and reinstatements. Zbl 1231.91136
Albrecher, Hansjörg; Haas, Sandra
3
2011
A note on moments of dividends. Zbl 1299.91052
Albrecher, Hansjörg; Gerber, Hans U.
3
2011
Ruin probabilities. 2nd ed. Zbl 1247.91080
Asmussen, Søren; Albrecher, Hansjörg
338
2010
An algebraic operator approach to the analysis of Gerber-Shiu functions. Zbl 1231.91135
Albrecher, Hansjörg; Constantinescu, Corina; Pirsic, Gottlieb; Regensburger, Georg; Rosenkranz, Markus
21
2010
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
19
2010
Asymptotics of the sample coefficient of variation and the sample dispersion. Zbl 1177.62065
Albrecher, H.; Ladoucette, Sophie A.; Teugels, Jef L.
13
2010
On the efficient evaluation of ruin probabilities for completely monotone claim distributions. Zbl 1201.91088
Albrecher, Hansjörg; Avram, Florin; Kortschak, Dominik
13
2010
Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. Zbl 1224.91038
Albrecher, Hansjörg; Hipp, Christian; Kortschak, Dominik
12
2010
An asymptotic expansion for the tail of compound sums of Burr distributed random variables. Zbl 1185.62039
Kortschak, Dominik; Albrecher, Hansjörg
1
2010
Editorial: Special issue on Gerber-Shiu functions. Zbl 1231.91001
1
2010
Optimality results for dividend problems in insurance. Zbl 1187.93138
Albrecher, Hansjörg; Thonhauser, Stefan
79
2009
Asymptotic results for the sum of dependent non-identically distributed random variables. Zbl 1171.60348
Kortschak, Dominik; Albrecher, Hansjörg
32
2009
The tax identity in risk theory - a simple proof and an extension. Zbl 1163.91430
Albrecher, Hansjörg; Borst, Sem; Boxma, Onno; Resing, Jacques
32
2009
On ruin probability and aggregate claim representations for Pareto claim size distributions. Zbl 1231.91137
Albrecher, Hansjörg; Kortschak, Dominik
12
2009
Advanced financial modelling. Zbl 1177.91006
3
2009
A combinational identity for a problem in asymptotic statistic. Zbl 1274.62336
Albrecher, Hansjörg; Teugels, Jozef L.; Scheicher, Klaus
2
2009
On the non-optiomality of proportional reinsurance according to the dividend criterion. Zbl 1333.91016
Albrecher, Hansjörg; Gerber, Hans U.
1
2009
A Lévy insurance risk process with tax. Zbl 1144.60032
Albrecher, Hansjörg; Renaud, Jean-François; Zhou, Xiaowen
41
2008
On the dual risk model with tax payments. Zbl 1141.91481
Albrecher, Hansjörg; Badescu, Andrei; Landriault, David
40
2008
Optimal dividend strategies for a risk process under force of interest. Zbl 1140.91371
Albrecher, Hansjörg; Thonhauser, Stefan
27
2008
General lower bounds for arithmetic Asian option prices. Zbl 1134.91394
Albrecher, H.; Mayer, P. A.; Schoutens, W.
20
2008
Identification of the local speed function in a Lévy model for option pricing. Zbl 1149.91034
Kindermann, S.; Mayer, P.; Albrecher, H.; Engl, H.
7
2008
Lundberg’s risk process with tax. Zbl 1119.62103
Albrecher, Hansjörg; Hipp, Christian
48
2007
Dividend maximization under consideration of the time value of ruin. Zbl 1119.91047
Thonhauser, Stefan; Albrecher, Hansjörg
39
2007
On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model. Zbl 1158.62071
Albrecher, Hansjörg; Hartinger, Jürgen; Thonhauser, Stefan
15
2007
A generic one-factor Lévy model for pricing synthetic CDOs. Zbl 1154.91421
Albrechter, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim
15
2007
Robert F. Tichy: 50 years – the unreasonable effectiveness of a number theorist. Zbl 1131.01304
Albrecher, Hansjörg; Drmota, Michael; Goldstern, Martin; Winkler, Reinhard; Grabner, Peter J.
1
2007
Exponential behavior in the presence of dependence in risk theory. Zbl 1097.62110
Albrecher, Hansjörg; Teugels, Jef L.
83
2006
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
38
2006
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
33
2006
On the non-optimality of horizontal barrier strategies in the Sparre Andersen model. Zbl 1243.91059
Albrecher, Hansjörg; Hartinger, Jürgen
13
2006
Asymptotic analysis of a measure of variation. Zbl 1150.62363
Albrecher, H.; Teugels, J. L.
11
2006
An asymptotical study of combinatorial optimization problems by means of statistical mechanics. Zbl 1079.90108
Albrecher, Hansjörg; Burkard, Rainer E.; Çela, Eranda
4
2006
On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023
Albrecher, Hansjörg; Boxma, Onno J.
65
2005
On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times. Zbl 1117.91377
Albrecher, Hansjörg; Claramunt, M. Mercé; Mármol, Maite
45
2005
On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier. Zbl 1092.91036
Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F.
26
2005
A note on the asymptotic behaviour of bottleneck problems. Zbl 1099.90048
Albrecher, Hansjörg
5
2005
A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048
Albrecher, Hansjörg; Boxma, Onno J.
69
2004
On Asian option pricing for NIG Lévy processes. Zbl 1107.91042
Albrecher, Hansjörg; Predota, Martin
22
2004
QMC techniques for CAT bond pricing. Zbl 1060.65501
Albrecher, 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 1085.62506
Deprez, Olivier; Albrecher, Hansjörg
2
2004
Simulation methods in ruin models with nonlinear dividend barriers. Zbl 1036.91029
Albrecher, Hansjörg; Kainhofer, Reinhold; Tichy, Robert F.
15
2003
Risk theory with a nonlinear dividend barrier. Zbl 1076.91521
Albrecher, H.; Kainhofer, R.
36
2002
Simulation of ruin probabilities for risk processes of Markovian type. Zbl 1014.91055
Albrecher, Hansjörg; Kantor, Josef
9
2002
Bounds and approximations for discrete Asian options in a variance-gamma model. Zbl 1053.91056
Albrecher, Hansjörg; Predota, Martin
7
2002
On a gamma series expansion for the time-dependent probability of collective ruin. Zbl 1025.62036
Albrecher, Hansjörg; Teugels, Jozef L.; Tichy, Robert F.
14
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 1187.91089
Albrecher, Hansjörg; Tichy, Robert F.
2
2000
Discrepancy of point sequences on fractal sets. Zbl 0960.11037
Albrecher, Hansjörg; Matoušek, Jiří; Tichy, Robert F.
1
2000
all top 5

Cited by 1,303 Authors

66 Albrecher, Hansjörg
32 Cheung, Eric C. K.
30 Landriault, David
30 Zhang, Zhimin
28 Yang, Hailiang
19 Boxma, Onno Johan
19 Palmowski, Zbigniew
18 Lefèvre, Claude
18 Wang, Wenyuan
16 Avram, Florin
16 Badescu, Andrei L.
16 Yin, Chuancun
16 Zhou, Xiaowen
15 Ivanovs, Jevgeņijs
15 Yamazaki, Kazutoshi
15 Yuen, Kam Chuen
14 Constantinescu, Corina D.
14 Li, Bin
14 Li, Shuanming
14 Woo, Jae-Kyung
14 Yang, Hu
13 Loisel, Stéphane
13 Tang, Qihe
12 Asmussen, Søren
12 Bladt, Martin
12 Hu, Yijun
12 Mandjes, Michel Robertus Hendrikus
12 Pérez Garmendia, Jose Luis
12 Thonhauser, Stefan
12 Willmot, Gordon E.
11 Avanzi, Benjamin
11 Gerber, Hans U.
11 Hashorva, Enkelejd
11 Kortschak, Dominik
11 Yang, Xiangqun
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 Bladt, Mogens
8 Borovkov, Aleksandr Alekseevich
8 Czarna, Irmina
8 Feng, Runhuan
8 Schmidli, Hanspeter
8 Sendova, Kristina P.
8 Tan, Jiyang
8 Yang, Yang
7 Azcue, Pablo
7 Beirlant, Jan
7 Dong, Hua
7 Eisenberg, Julia
7 Furman, Edward
7 Kabanov, Yuriĭ Mikhaĭlovich
7 Loeffen, Ronnie L.
7 Muler, Nora E.
7 Wang, Rongming
7 Xie, Jiehua
7 Yam, Sheung Chi Phillip
7 Zhou, Ming
6 Chen, Mi
6 Chen, Ping
6 Dębicki, Krzysztof
6 Frostig, Esther
6 Fu, Ke’ang
6 Jin, Zhuo
6 Linders, Daniël
6 Lkabous, Mohamed Amine
6 Ming, Ruixing
6 Trufin, Julien
6 Wu, Xueyuan
6 Young, Virginia R.
6 Zhu, Jinxia
5 Chen, Yiqing
5 Cui, Zhenyu
5 Dickson, David C. M.
5 Egídio dos Reis, Alfredo D.
5 Ladoucette, Sophie A.
5 Li, Shu
5 Lin, X. Sheldon
5 Liu, Zaiming
5 Maume-Deschamps, Véronique
5 Perry, David
5 Rabehasaina, Landy
5 Rosenkranz, Markus
5 Shimizu, Yasutaka
5 Šiaulys, Jonas
5 Simon, Matthieu
5 Su, Jianxi
5 Su, Wen
5 Vernic, Raluca
5 Wang, Dehui
5 Wang, Yuebao
...and 1,203 more Authors
all top 5

Cited in 173 Serials

230 Insurance Mathematics & Economics
84 Scandinavian Actuarial Journal
59 Journal of Computational and Applied Mathematics
52 Journal of Applied Probability
45 Statistics & Probability Letters
44 Methodology and Computing in Applied Probability
41 European Actuarial Journal
25 ASTIN Bulletin
25 North American Actuarial Journal
24 Applied Mathematics and Computation
23 Communications in Statistics. Theory and Methods
22 Stochastic Models
21 Advances in Applied Probability
17 Stochastic Processes and their Applications
16 European Journal of Operational Research
13 Queueing Systems
13 Finance and Stochastics
13 Extremes
12 Journal of Industrial and Management Optimization
11 Journal of Multivariate Analysis
11 Acta Mathematicae Applicatae Sinica. English Series
9 Journal of Optimization Theory and Applications
9 International Journal of Theoretical and Applied Finance
9 SIAM Journal on Financial Mathematics
8 Applied Mathematics. Series B (English Edition)
8 Stochastics
8 Modern Stochastics. Theory and Applications
7 SIAM Journal on Control and Optimization
7 The Annals of Applied Probability
7 Theory of Probability and Mathematical Statistics
7 Quantitative Finance
7 Journal of the Korean Statistical Society
6 Journal of Mathematical Analysis and Applications
6 Theory of Probability and its Applications
6 Siberian Mathematical Journal
6 Annals of Operations Research
6 Probability in the Engineering and Informational Sciences
6 Statistics & Risk Modeling
5 Applied Mathematical Finance
5 Mathematical Problems in Engineering
5 Mathematical Methods of Operations Research
5 Acta Mathematica Sinica. English Series
5 Advances in Difference Equations
5 Stochastic Systems
4 Lithuanian Mathematical Journal
4 Applied Mathematics and Optimization
4 Probability and Mathematical Statistics
4 Journal of Inequalities and Applications
4 Journal of Systems Science and Complexity
4 Frontiers of Mathematics in China
4 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
3 Computers & Mathematics with Applications
3 Mathematics of Operations Research
3 Operations Research Letters
3 Stochastic Analysis and Applications
3 Journal of Theoretical Probability
3 Mathematical and Computer Modelling
3 Computational Mathematics and Mathematical Physics
3 Communications in Statistics. Simulation and Computation
3 Cybernetics and Systems Analysis
3 Computational Optimization and Applications
3 Journal of Mathematical Sciences (New York)
3 Bernoulli
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Abstract and Applied Analysis
3 Applied Stochastic Models in Business and Industry
3 Sibirskie Èlektronnye Matematicheskie Izvestiya
3 Statistics and Computing
3 Dependence Modeling
2 Journal of Statistical Physics
2 Periodica Mathematica Hungarica
2 Ukrainian Mathematical Journal
2 Annals of the Institute of Statistical Mathematics
2 Journal of Statistical Planning and Inference
2 Mathematics and Computers in Simulation
2 Mathematica Slovaca
2 Transactions of the American Mathematical Society
2 Bulletin of the Iranian Mathematical Society
2 Statistics
2 Sequential Analysis
2 Journal of Economic Dynamics & Control
2 Applied Mathematical Modelling
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Indagationes Mathematicae. New Series
2 SIAM Journal on Scientific Computing
2 Computational and Applied Mathematics
2 Wuhan University Journal of Natural Sciences (WUJNS)
2 Matematicheskie Trudy
2 Discrete Dynamics in Nature and Society
2 Journal of Applied Statistics
2 The ANZIAM Journal
2 Journal of Applied Mathematics
2 Stochastics and Dynamics
2 Review of Derivatives Research
2 Journal of Statistical Theory and Practice
2 Electronic Journal of Statistics
2 Science China. Mathematics
2 Mathematica Applicanda
1 International Journal of Control
1 International Journal of Systems Science
...and 73 more Serials
all top 5

Cited in 37 Fields

929 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
717 Probability theory and stochastic processes (60-XX)
340 Statistics (62-XX)
120 Systems theory; control (93-XX)
68 Operations research, mathematical programming (90-XX)
56 Numerical analysis (65-XX)
38 Calculus of variations and optimal control; optimization (49-XX)
27 Integral equations (45-XX)
18 Partial differential equations (35-XX)
15 Integral transforms, operational calculus (44-XX)
11 Computer science (68-XX)
9 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)

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