×

Albrecher, Hansjörg

Author ID: albrecher.hansjorg Recent zbMATH articles by "Albrecher, Hansjörg"
Published as: Albrecher, Hansjörg; Albrecher, Hansjoerg; Albrecher, H.
Homepage: https://applicationspub.unil.ch/interpub/noauth/php/Un/UnPers.php?PerNum=1068527...
External Links: MGP · Google Scholar · ResearchGate · dblp · GND · IdRef
all top 5

Co-Authors

4 single-authored
12 Bladt, Martin
10 Thonhauser, Stefan
9 Ivanovs, Jevgeņijs
8 Kortschak, Dominik
8 Teugels, Jozef L.
8 Tichy, Robert Franz
7 Bladt, Mogens
7 Boxma, Onno Johan
7 Hartinger, Jürgen
6 Beirlant, Jan
6 Constantinescu, Corina D.
6 Loisel, Stéphane
5 Azcue, Pablo
5 Muler, Nora E.
4 Asmussen, Søren
4 Gerber, Hans U.
4 Mayer, Philipp A.
3 Araujo-Acuna, José Carlos
3 Cheung, Eric C. K.
3 García Flores, Brandon
3 Kainhofer, Reinhold F.
3 Yslas, Jorge
3 Zhou, Xiaowen
2 Avram, Florin
2 Bäuerle, Nicole
2 Binder, Andreas
2 Borst, Sem C.
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 Müller, Alaric J. A.
2 Predota, Martin
2 Regensburger, Georg
2 Resing, Jacques A. C.
2 Rosenkranz, Markus
2 Schoutens, Wim
2 Trufin, Julien
2 Vatamidou, Eleni
1 Acciaio, Beatrice
1 Asadi, Peiman
1 Badescu, Andrei L.
1 Bauer, Daniel J.
1 Burkard, Rainer E.
1 Cani, Arian
1 Cani, Arian
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 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 Palmowski, Zbigniew
1 Pelsser, Antoon A. J.
1 Peralta, Oscar
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 Wagner, Joël
1 Wagner, Joël
1 Winkler, Reinhard
1 Woo, Jae-Kyung
1 Yang, Hailiang
...and 1 more Co-Authors
all top 5

Serials

18 Insurance Mathematics & Economics
7 Journal of Applied Probability
7 Methodology and Computing in Applied Probability
7 Scandinavian Actuarial Journal
7 North American 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 Dependence Modeling
1 Compact Textbooks in Mathematics
1 Wiley Series in Probability and Statistics
1 Mathematik Kompakt

Publications by Year

Citations contained in zbMATH Open

102 Publications have been cited 2,167 times in 1,321 Documents Cited by Year
Ruin probabilities. 2nd ed. Zbl 1247.91080
Asmussen, Søren; Albrecher, Hansjörg
385
2010
Optimality results for dividend problems in insurance. Zbl 1187.93138
Albrecher, Hansjörg; Thonhauser, Stefan
85
2009
Exponential behavior in the presence of dependence in risk theory. Zbl 1097.62110
Albrecher, Hansjörg; Teugels, Jef L.
85
2006
Reinsurance. Actuarial and statistical aspects. Zbl 1376.91004
Albrecher, Hansjoerg; Beirlant, Jan; Teugels, Jozef L.
75
2017
Randomized onservation periods for the compound Poisson risk model: dividends. Zbl 1239.91072
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
71
2011
A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048
Albrecher, Hansjörg; Boxma, Onno J.
70
2004
On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023
Albrecher, Hansjörg; Boxma, Onno J.
67
2005
Exit identities for Lévy processes observed at Poisson arrival times. Zbl 1338.60125
Albrecher, Hansjörg; Ivanovs, Jevgenijs; Zhou, Xiaowen
60
2016
Randomized observation periods for the compound Poisson risk model: the discounted penalty function. Zbl 1401.91089
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
52
2013
The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062
Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W.
52
2011
Explicit ruin formulas for models with dependence among risks. Zbl 1218.91065
Albrecher, Hansjörg; Constantinescu, Corina; Loisel, Stephane
51
2011
Lundberg’s risk process with tax. Zbl 1119.62103
Albrecher, Hansjörg; Hipp, Christian
48
2007
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
46
2005
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
43
2006
Dividend maximization under consideration of the time value of ruin. Zbl 1119.91047
Thonhauser, Stefan; Albrecher, Hansjörg
43
2007
On the dual risk model with tax payments. Zbl 1141.91481
Albrecher, Hansjörg; Badescu, Andrei; Landriault, David
42
2008
A Lévy insurance risk process with tax. Zbl 1144.60032
Albrecher, Hansjörg; Renaud, Jean-François; Zhou, Xiaowen
41
2008
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
36
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
29
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.
28
2005
From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084
Albrecher, Hansjörg; Lautscham, Volkmar
25
2013
An algebraic operator approach to the analysis of Gerber-Shiu functions. Zbl 1231.91135
Albrecher, Hansjörg; Constantinescu, Corina; Pirsic, Gottlieb; Regensburger, Georg; Rosenkranz, Markus
24
2010
On Asian option pricing for NIG Lévy processes. Zbl 1107.91042
Albrecher, Hansjörg; Predota, Martin
23
2004
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
23
2011
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Zbl 1354.60048
Albrecher, Hansjörg; Ivanovs, Jevgenijs
22
2017
A risk model with multilayer dividend strategy. Zbl 1480.91178
Albrecher, Hansjörg; Hartinger, Jürgen
22
2007
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
22
2013
Optimal dividend strategies for two collaborating insurance companies. Zbl 1429.91274
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
21
2017
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
21
2010
General lower bounds for arithmetic Asian option prices. Zbl 1134.91394
Albrecher, H.; Mayer, P. A.; Schoutens, W.
20
2008
Competition among non-life insurers under solvency constraints: a game-theoretic approach. Zbl 1317.91042
Dutang, Christophe; Albrecher, Hansjoerg; Loisel, Stéphane
18
2013
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
16
2007
A generic one-factor Lévy model for pricing synthetic CDOs. Zbl 1154.91421
Albrecher, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim
16
2007
Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. Zbl 1262.91096
Thonhauser, Stefan; Albrecher, Hansjörg
16
2011
Simulation methods in ruin models with nonlinear dividend barriers. Zbl 1036.91029
Albrecher, Hansjörg; Kainhofer, Reinhold; Tichy, Robert F.
15
2003
Asymptotics of the sample coefficient of variation and the sample dispersion. Zbl 1177.62065
Albrecher, H.; Ladoucette, Sophie A.; Teugels, Jef L.
15
2010
On a gamma series expansion for the time-dependent probability of collective ruin. Zbl 1025.62036
Albrecher, Hansjörg; Teugels, Jozef L.; Tichy, Robert F.
15
2001
Power identities for Lévy risk models under taxation and capital injections. Zbl 1300.60067
Albrecher, Hansjörg; Ivanovs, Jevgenijs
14
2014
Inhomogeneous phase-type distributions and heavy tails. Zbl 1428.62103
Albrecher, Hansjörg; Bladt, Mogens
13
2019
Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Zbl 1372.91100
Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen
13
2012
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
On ruin probability and aggregate claim representations for Pareto claim size distributions. Zbl 1231.91137
Albrecher, Hansjörg; Kortschak, Dominik
12
2009
Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Zbl 1450.62044
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
11
2020
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
11
2012
Multivariate matrix Mittag-Leffler distributions. Zbl 1469.62258
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
9
2021
Simulation of ruin probabilities for risk processes of Markovian type. Zbl 1014.91055
Albrecher, Hansjörg; Kantor, Josef
9
2002
Dividends: from refracting to ratcheting. Zbl 1417.91260
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin
9
2018
On optimal dividend strategies in insurance with an random time horizon. Zbl 1287.91088
Albrecher, Hansjörg; Thonhauser, Stefan
8
2012
Optimal ratcheting of dividends in insurance. Zbl 1452.91256
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
8
2020
On randomized reinsurance contracts. Zbl 1419.91346
Albrecher, Hansjörg; Cani, Arian
7
2019
The tax identity for Markov additive risk processes. Zbl 1286.91062
Albrecher, Hansjörg; Avram, Florin; Constantinescu, Corina; Ivanovs, Jevgenijs
7
2014
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
Risk theory with affine dividend payment strategies. Zbl 1415.91147
Albrecher, Hansjörg; Cani, Arian
6
2017
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
6
2016
Multivariate fractional phase-type distributions. Zbl 1474.60025
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
6
2020
Asset-liability management for long-term insurance business. Zbl 1416.91145
6
2018
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case. Zbl 07638422
Albrecher, Hansjörg; Bladt, Mogens; Yslas, Jorge
6
2022
Linking dividends and capital injections – a probabilistic approach. Zbl 1416.91146
Albrecher, Hansjörg; Ivanovs, Jevgenijs
5
2018
On simple ruin expressions in dependent Sparre Andersen risk models. Zbl 1286.91063
Albrecher, Hansjörg; Boxma, Onno J.; Ivanovs, Jevgenijs
5
2014
A note on moments of dividends. Zbl 1299.91052
Albrecher, Hansjörg; Gerber, Hans U.
5
2011
Advanced financial modelling. Zbl 1177.91006
5
2009
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
QMC techniques for CAT bond pricing. Zbl 1060.65501
Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F.
4
2004
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
Fitting nonstationary Cox processes: an application to fire insurance data. Zbl 1481.91160
Albrecher, Hansjörg; Araujo-Acuna, José Carlos; Beirlant, Jan
4
2021
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
Penalised likelihood methods for phase-type dimension selection. Zbl 1509.60004
Albrecher, Hansjörg; Bladt, Martin; Müller, Alaric J. A.
3
2022
Combined tail estimation using censored data and expert information. Zbl 1448.91255
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
3
2020
Threshold selection and trimming in extremes. Zbl 1466.62318
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
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
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
Mortality modeling and regression with matrix distributions. Zbl 1515.62096
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge
3
2022
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
2
2017
Discrepancy of point sequences on fractal sets. Zbl 0960.11037
Albrecher, Hansjörg; Matoušek, Jiří; Tichy, Robert F.
2
2000
Optimal ratcheting of dividends in a Brownian risk model. Zbl 1497.91331
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
2
2022
A combinational identity for a problem in asymptotic statistic. Zbl 1274.62336
Albrecher, 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 1085.62506
Deprez, Olivier; Albrecher, Hansjörg
2
2004
Optimal dividends under a drawdown constraint and a curious square-root rule. Zbl 1511.91161
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
2
2023
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 profitability of selfish blockchain mining under consideration of ruin. Zbl 1484.91526
Albrecher, Hansjoerg; Goffard, Pierre-Olivier
2
2022
On the non-optiomality of proportional reinsurance according to the dividend criterion. Zbl 1333.91016
Albrecher, Hansjörg; Gerber, Hans U.
1
2009
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
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. Zbl 1444.91188
Albrecher, Hansjörg; Chen, Bohan; Vatamidou, Eleni; Zwart, Bert
1
2020
Continuous scaled phase-type distributions. Zbl 1514.60018
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge
1
2023
Impact of underwriting cycles on the solvency of an insurance company. Zbl 1483.91209
Trufin, Julien; Albrecher, Hansjörg; Denuit, Michel
1
2009
The single server queue with mixing dependencies. Zbl 1437.60071
Raaijmakers, Youri; Albrecher, Hansjörg; Boxma, Onno
1
2019
On the randomized Schmitter problem. Zbl 1489.91213
Albrecher, Hansjörg; Araujo-Acuna, José Carlos
1
2022
Editorial: Special issue on Gerber-Shiu functions. Zbl 1231.91001
1
2010
Optimal dividends under a drawdown constraint and a curious square-root rule. Zbl 1511.91161
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
2
2023
Continuous scaled phase-type distributions. Zbl 1514.60018
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge
1
2023
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case. Zbl 07638422
Albrecher, Hansjörg; Bladt, Mogens; Yslas, Jorge
6
2022
Penalised likelihood methods for phase-type dimension selection. Zbl 1509.60004
Albrecher, Hansjörg; Bladt, Martin; Müller, Alaric J. A.
3
2022
Mortality modeling and regression with matrix distributions. Zbl 1515.62096
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens; Yslas, Jorge
3
2022
Optimal ratcheting of dividends in a Brownian risk model. Zbl 1497.91331
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
2
2022
On the profitability of selfish blockchain mining under consideration of ruin. Zbl 1484.91526
Albrecher, Hansjoerg; Goffard, Pierre-Olivier
2
2022
On the randomized Schmitter problem. Zbl 1489.91213
Albrecher, Hansjörg; Araujo-Acuna, José Carlos
1
2022
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. Zbl 1484.91366
Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; Woo, Jae-Kyung
1
2022
Multivariate matrix Mittag-Leffler distributions. Zbl 1469.62258
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
9
2021
Fitting nonstationary Cox processes: an application to fire insurance data. Zbl 1481.91160
Albrecher, Hansjörg; Araujo-Acuna, José Carlos; Beirlant, Jan
4
2021
Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Zbl 1450.62044
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
11
2020
Optimal ratcheting of dividends in insurance. Zbl 1452.91256
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
8
2020
Multivariate fractional phase-type distributions. Zbl 1474.60025
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens
6
2020
Combined tail estimation using censored data and expert information. Zbl 1448.91255
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
3
2020
Threshold selection and trimming in extremes. Zbl 1466.62318
Bladt, Martin; Albrecher, Hansjörg; Beirlant, Jan
3
2020
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. Zbl 1444.91188
Albrecher, Hansjörg; Chen, Bohan; Vatamidou, Eleni; Zwart, Bert
1
2020
Inhomogeneous phase-type distributions and heavy tails. Zbl 1428.62103
Albrecher, Hansjörg; Bladt, Mogens
13
2019
On randomized reinsurance contracts. Zbl 1419.91346
Albrecher, Hansjörg; Cani, Arian
7
2019
The single server queue with mixing dependencies. Zbl 1437.60071
Raaijmakers, Youri; Albrecher, Hansjörg; Boxma, Onno
1
2019
Dividends: from refracting to ratcheting. Zbl 1417.91260
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin
9
2018
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
Reinsurance. Actuarial and statistical aspects. Zbl 1376.91004
Albrecher, Hansjoerg; Beirlant, Jan; Teugels, Jozef L.
75
2017
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Zbl 1354.60048
Albrecher, Hansjörg; Ivanovs, Jevgenijs
22
2017
Optimal dividend strategies for two collaborating insurance companies. Zbl 1429.91274
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
21
2017
Risk theory with affine dividend payment strategies. Zbl 1415.91147
Albrecher, Hansjörg; Cani, Arian
6
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
2
2017
Exit identities for Lévy processes observed at Poisson arrival times. Zbl 1338.60125
Albrecher, Hansjörg; Ivanovs, Jevgenijs; Zhou, Xiaowen
60
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
6
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
52
2013
From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084
Albrecher, Hansjörg; Lautscham, Volkmar
25
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
22
2013
Competition among non-life insurers under solvency constraints: a game-theoretic approach. Zbl 1317.91042
Dutang, Christophe; Albrecher, Hansjoerg; Loisel, Stéphane
18
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
13
2012
Asymptotic results for renewal risk models with risky investments. Zbl 1250.91055
Albrecher, Hansjoerg; Constantinescu, Corina; Thomann, Enrique
11
2012
On optimal dividend strategies in insurance with an random time horizon. Zbl 1287.91088
Albrecher, Hansjörg; Thonhauser, Stefan
8
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
71
2011
The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062
Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W.
52
2011
Explicit ruin formulas for models with dependence among risks. Zbl 1218.91065
Albrecher, Hansjörg; Constantinescu, Corina; Loisel, Stephane
51
2011
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
23
2011
Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. Zbl 1262.91096
Thonhauser, Stefan; Albrecher, Hansjörg
16
2011
A note on moments of dividends. Zbl 1299.91052
Albrecher, Hansjörg; Gerber, Hans U.
5
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
Ruin probabilities. 2nd ed. Zbl 1247.91080
Asmussen, Søren; Albrecher, Hansjörg
385
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
24
2010
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
21
2010
Asymptotics of the sample coefficient of variation and the sample dispersion. Zbl 1177.62065
Albrecher, H.; Ladoucette, Sophie A.; Teugels, Jef L.
15
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
85
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
5
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
Impact of underwriting cycles on the solvency of an insurance company. Zbl 1483.91209
Trufin, Julien; Albrecher, Hansjörg; Denuit, Michel
1
2009
On the dual risk model with tax payments. Zbl 1141.91481
Albrecher, Hansjörg; Badescu, Andrei; Landriault, David
42
2008
A Lévy insurance risk process with tax. Zbl 1144.60032
Albrecher, Hansjörg; Renaud, Jean-François; Zhou, Xiaowen
41
2008
Optimal dividend strategies for a risk process under force of interest. Zbl 1140.91371
Albrecher, Hansjörg; Thonhauser, Stefan
29
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
43
2007
A risk model with multilayer dividend strategy. Zbl 1480.91178
Albrecher, Hansjörg; Hartinger, Jürgen
22
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
16
2007
A generic one-factor Lévy model for pricing synthetic CDOs. Zbl 1154.91421
Albrecher, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim
16
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.
85
2006
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
43
2006
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
36
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.
67
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
46
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.
28
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.
70
2004
On Asian option pricing for NIG Lévy processes. Zbl 1107.91042
Albrecher, Hansjörg; Predota, Martin
23
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.
15
2001
...and 2 more Documents
all top 5

Cited by 1,460 Authors

71 Albrecher, Hansjörg
40 Zhang, Zhimin
32 Cheung, Eric C. K.
31 Landriault, David
28 Yang, Hailiang
23 Palmowski, Zbigniew
22 Boxma, Onno Johan
20 Wang, Wenyuan
19 Bladt, Martin
19 Lefèvre, Claude
19 Zhou, Xiaowen
17 Avram, Florin
17 Yamazaki, Kazutoshi
17 Yang, Hu
17 Yin, Chuancun
16 Badescu, Andrei L.
16 Ivanovs, Jevgeņijs
16 Yuen, Kam Chuen
15 Constantinescu, Corina D.
15 Mandjes, Michel Robertus Hendrikus
15 Thonhauser, Stefan
15 Woo, Jae-Kyung
14 Li, Bin
14 Li, Shuanming
14 Pérez Garmendia, Jose Luis
13 Hu, Yijun
13 Loisel, Stéphane
13 Tang, Qihe
12 Asmussen, Søren
12 Avanzi, Benjamin
12 Kyprianou, Andreas E.
12 Willmot, Gordon E.
11 Bladt, Mogens
11 Gerber, Hans U.
11 Hashorva, Enkelejd
11 Kortschak, Dominik
11 Sendova, Kristina P.
11 Yang, Xiangqun
10 Cossette, Hélène
10 Goffard, Pierre-Olivier
10 Guo, Junyi
10 Ji, Lanpeng
10 Marceau, Étienne
10 Renaud, Jean-François
10 Shiu, Elias S. W.
10 Wong, Bernard
10 Yang, Yang
9 Bäuerle, Nicole
9 Beirlant, Jan
9 Eisenberg, Julia
9 Schmidli, Hanspeter
9 Zhang, Chunsheng
8 Asimit, Alexandru V.
8 Azcue, Pablo
8 Borovkov, Aleksandr Alekseevich
8 Dębicki, Krzysztof
8 Feng, Runhuan
8 Kabanov, Yuriĭ Mikhaĭlovich
8 Lkabous, Mohamed Amine
8 Muler, Nora E.
8 Tan, Jiyang
8 Xie, Jiehua
8 Young, Virginia R.
8 Zhou, Ming
7 Czarna, Irmina
7 Dong, Hua
7 Frostig, Esther
7 Furman, Edward
7 Loeffen, Ronnie L.
7 Šiaulys, Jonas
7 Wang, Rongming
7 Yam, Sheung Chi Phillip
6 Boonen, Tim J.
6 Chen, Mi
6 Chen, Ping
6 Cui, Zhenyu
6 Fu, Ke’ang
6 Jin, Zhuo
6 Li, Shu
6 Linders, Daniël
6 Liu, Zaiming
6 Ming, Ruixing
6 Mogul’skii, Anatolii Alfredovich
6 Shimizu, Yasutaka
6 Simon, Matthieu
6 Trufin, Julien
6 Vernic, Raluca
6 Wu, Xueyuan
6 Xie, Jiayi
6 Zhu, Jinxia
6 Zou, Wei
5 Bayraktar, Erhan
5 Belkina, Tat’yana Andreevna
5 Chadjiconstantinidis, Stathis
5 Chi, Yichun
5 Dassios, Angelos
5 Dickson, David C. M.
5 Egídio dos Reis, Alfredo D.
5 Jang, Jiwook
5 Jiang, Wuyuan
...and 1,360 more Authors
all top 5

Cited in 191 Serials

248 Insurance Mathematics & Economics
93 Scandinavian Actuarial Journal
65 Journal of Computational and Applied Mathematics
56 Journal of Applied Probability
51 Methodology and Computing in Applied Probability
50 Statistics & Probability Letters
43 European Actuarial Journal
30 Communications in Statistics. Theory and Methods
29 North American Actuarial Journal
26 Advances in Applied Probability
26 Applied Mathematics and Computation
25 ASTIN Bulletin
23 Stochastic Models
19 Stochastic Processes and their Applications
17 European Journal of Operational Research
16 Finance and Stochastics
15 Extremes
14 Queueing Systems
14 Probability in the Engineering and Informational Sciences
12 Acta Mathematicae Applicatae Sinica. English Series
12 Journal of Industrial and Management Optimization
11 Journal of Multivariate Analysis
11 Modern Stochastics. Theory and Applications
10 SIAM Journal on Financial Mathematics
9 Journal of Optimization Theory and Applications
9 Applied Mathematics. Series B (English Edition)
9 International Journal of Theoretical and Applied Finance
9 Stochastics
8 Quantitative Finance
7 Theory of Probability and its Applications
7 SIAM Journal on Control and Optimization
7 The Annals of Applied Probability
7 Theory of Probability and Mathematical Statistics
7 Journal of the Korean Statistical Society
6 Journal of Mathematical Analysis and Applications
6 Siberian Mathematical Journal
6 Annals of Operations Research
6 Statistics & Risk Modeling
5 Lithuanian Mathematical Journal
5 Applied Mathematics and Optimization
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
5 Dependence Modeling
4 Computers & Mathematics with Applications
4 Mathematics of Operations Research
4 Probability and Mathematical Statistics
4 Computational Mathematics and Mathematical Physics
4 Journal of Inequalities and Applications
4 Journal of Systems Science and Complexity
4 Frontiers of Mathematics in China
4 Electronic Journal of Statistics
4 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
3 Journal of Statistical Planning and Inference
3 Mathematics and Computers in Simulation
3 Operations Research Letters
3 Stochastic Analysis and Applications
3 Journal of Theoretical Probability
3 Mathematical and Computer Modelling
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 Computational and Applied Mathematics
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 Stochastics and Dynamics
3 REVSTAT
3 Sibirskie Èlektronnye Matematicheskie Izvestiya
3 Science China. Mathematics
3 Statistics and Computing
2 International Journal of Control
2 Journal of Statistical Physics
2 Periodica Mathematica Hungarica
2 Ukrainian Mathematical Journal
2 Annals of the Institute of Statistical Mathematics
2 Mathematica Slovaca
2 Naval Research Logistics
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 Mathematical Finance
2 Wuhan University Journal of Natural Sciences (WUJNS)
2 Matematicheskie Trudy
2 Discrete Dynamics in Nature and Society
2 Journal of Applied Statistics
2 Brazilian Journal of Probability and Statistics
2 The ANZIAM Journal
2 Decisions in Economics and Finance
...and 91 more Serials
all top 5

Cited in 38 Fields

1,036 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
795 Probability theory and stochastic processes (60-XX)
389 Statistics (62-XX)
139 Systems theory; control (93-XX)
72 Operations research, mathematical programming (90-XX)
64 Numerical analysis (65-XX)
49 Calculus of variations and optimal control; optimization (49-XX)
33 Integral equations (45-XX)
19 Partial differential equations (35-XX)
16 Integral transforms, operational calculus (44-XX)
13 Computer science (68-XX)
11 Biology and other natural sciences (92-XX)
8 Special functions (33-XX)
8 Ordinary differential equations (34-XX)
6 Number theory (11-XX)
6 Field theory and polynomials (12-XX)
5 Combinatorics (05-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
5 Statistical mechanics, structure of matter (82-XX)
4 Commutative algebra (13-XX)
4 Approximations and expansions (41-XX)
3 Associative rings and algebras (16-XX)
3 Real functions (26-XX)
3 Functions of a complex variable (30-XX)
3 Operator theory (47-XX)
3 Information and communication theory, circuits (94-XX)
2 History and biography (01-XX)
2 Measure and integration (28-XX)
2 Difference and functional equations (39-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 Fluid mechanics (76-XX)
1 Mathematics education (97-XX)

Citations by Year