Edit Profile (opens in new tab) Schmidli, Hanspeter Compute Distance To: Compute Author ID: schmidli.hanspeter Published as: Schmidli, Hanspeter; Schmidli, H. Homepage: http://www.mi.uni-koeln.de/~schmidli/ External Links: MGP · dblp · GND Documents Indexed: 52 Publications since 1993, including 4 Books Reviewing Activity: 88 Reviews Co-Authors: 19 Co-Authors with 23 Joint Publications 582 Co-Co-Authors all top 5 Co-Authors 29 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 Brinker, Leonie Violetta 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 all top 5 Serials 12 Insurance Mathematics & Economics 5 Scandinavian Actuarial Journal 4 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 all top 5 Fields 40 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 36 Probability theory and stochastic processes (60-XX) 16 Statistics (62-XX) 10 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) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 48 Publications have been cited 1,496 times in 1,063 Documents Cited by ▼ Year ▼ Stochastic processes for insurance and finance. Zbl 0940.60005Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef 427 1999 On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061Schmidli, Hanspeter 173 2002 Stochastic control in insurance. Zbl 1133.93002Schmidli, Hanspeter 141 2008 Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039Schmidli, Hanspeter 118 2001 Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075Kulenko, Natalie; Schmidli, Hanspeter 75 2008 Ruin estimation for a general insurance risk model. Zbl 0811.62096Embrechts, Paul; Schmidli, Hanspeter 52 1994 Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker 43 1999 Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion. Zbl 0814.62066Furrer, H. J.; Schmidli, H. 36 1994 Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion. Zbl 0837.62087Schmidli, Hanspeter 34 1995 Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116Hipp, Christian; Schmidli, Hanspeter 33 2004 Stochastic processes for insurance and finance. Reprint of the 1999 hardback ed. Zbl 1152.60006Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef 30 2008 On the distribution of the surplus prior to and at ruin. Zbl 1129.62425Schmidli, Hanspeter 25 1999 On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033Hald, Morten; Schmidli, Hanspeter 25 2004 Diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0793.60095Schmidli, Hanspeter 24 1994 Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter 19 1993 Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145Eisenberg, Julia; Schmidli, Hanspeter 19 2011 Optimal control of capital injections by reinsurance in a diffusion approximation. Zbl 1183.91069Eisenberg, Julia; Schmidli, Hanspeter 14 2009 Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs. Zbl 1222.91026Scheer, Natalie; Schmidli, Hanspeter 14 2011 Saddlepoint approximations for the probability of ruin in finite time. Zbl 0836.62082Barndorff-Nielsen, Ole E.; Schmidli, Hanspeter 13 1995 On optimal investment and subexponential claims. Zbl 1110.91019Schmidli, Hanspeter 12 2005 Modelling of extremal events in insurance and finance. Zbl 0798.90024Embrechts, Paul; Schmidli, Hanspeter 11 1994 Optimisation in non-life insurance. Zbl 1107.93036Schmidli, Hanspeter 10 2006 Compound sums and subexponentiality. Zbl 0949.60032Schmidli, Hanspeter 10 1999 Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion. Zbl 0981.60041Schmidli, Hanspeter 10 2001 On optimal dividends with exponential and linear penalty payments. Zbl 1394.91235Vierkötter, Matthias; Schmidli, Hanspeter 10 2017 Optimal control of capital injections by reinsurance with a constant rate of interest. Zbl 1230.91072Eisenberg, Julia; Schmidli, Hanspeter 9 2011 An extension to the renewal theorem and an application to risk theory. Zbl 0876.60072Schmidli, H. 9 1997 Lundberg inequalities for a Cox model with a piecewise constant intensity. Zbl 0845.60066Schmidli, Hanspeter 9 1996 Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case. Zbl 1056.90037Schmidli, Hanspeter 9 2004 Risk theory. Zbl 1422.91009Schmidli, Hanspeter 8 2017 On the Gerber-Shiu function and change of measure. Zbl 1231.91232Schmidli, Hanspeter 8 2010 On capital injections and dividends with tax in a diffusion approximation. Zbl 1402.91991Schmidli, Hanspeter 8 2017 Dividends with tax and capital injection in a spectrally negative Lévy risk model. Zbl 1416.91219Schmidli, H. 7 2018 Perturbed risk processes: a review. Zbl 0954.60036Schmidli, Hanspeter 7 1999 Pricing catastrophe insurance products based on actually reported claims. Zbl 0994.91033Vorm Christensen, Claus; Schmidli, Hanspeter 7 2000 On capital injections and dividends with tax in a classical risk model. Zbl 1371.91108Schmidli, Hanspeter 7 2016 Estimation of the Lundberg coefficient for a Markov modulated risk model. Zbl 0926.62105Schmidli, Hanspeter 6 1997 Risk theory in an economic environment and Markov processes. Zbl 0816.90042Schmidli, Hanspeter 4 1994 Corrected diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0811.90023Schmidli, Hanspeter 4 1994 On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance. Zbl 1164.60012Schmidli, Hanspeter 3 2008 Optimal reinsurance and investment in a diffusion model. Zbl 1444.91191Brachetta, Matteo; Schmidli, Hanspeter 3 2020 Bayesian analysis of reduced rank regression. Zbl 0851.62022Schmidli, Hanspeter 2 1996 Extended Gerber-Shiu functions in a risk model with interest. Zbl 1408.91106Schmidli, Hanspeter 2 2015 Mortality options: the point of view of an insurer. Zbl 1460.91238Schmeck, Maren Diane; Schmidli, Hanspeter 2 2021 Martingales and insurance risk. Zbl 0910.62106Schmidli, Hanspeter 1 1996 A note on Gerber-Shiu functions with an application. Zbl 1411.91315Schmidli, Hanspeter 1 2014 Conditional law of risk processes given that ruin occurs. Zbl 1231.91233Schmidli, Hanspeter 1 2010 Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times. Zbl 1291.91123Mishura, Yuliya; Schmidli, Hanspeter 1 2012 Mortality options: the point of view of an insurer. Zbl 1460.91238Schmeck, Maren Diane; Schmidli, Hanspeter 2 2021 Optimal reinsurance and investment in a diffusion model. Zbl 1444.91191Brachetta, Matteo; Schmidli, Hanspeter 3 2020 Dividends with tax and capital injection in a spectrally negative Lévy risk model. Zbl 1416.91219Schmidli, H. 7 2018 On optimal dividends with exponential and linear penalty payments. Zbl 1394.91235Vierkötter, Matthias; Schmidli, Hanspeter 10 2017 Risk theory. Zbl 1422.91009Schmidli, Hanspeter 8 2017 On capital injections and dividends with tax in a diffusion approximation. Zbl 1402.91991Schmidli, Hanspeter 8 2017 On capital injections and dividends with tax in a classical risk model. Zbl 1371.91108Schmidli, Hanspeter 7 2016 Extended Gerber-Shiu functions in a risk model with interest. Zbl 1408.91106Schmidli, Hanspeter 2 2015 A note on Gerber-Shiu functions with an application. Zbl 1411.91315Schmidli, Hanspeter 1 2014 Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times. Zbl 1291.91123Mishura, Yuliya; Schmidli, Hanspeter 1 2012 Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145Eisenberg, Julia; Schmidli, Hanspeter 19 2011 Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs. Zbl 1222.91026Scheer, Natalie; Schmidli, Hanspeter 14 2011 Optimal control of capital injections by reinsurance with a constant rate of interest. Zbl 1230.91072Eisenberg, Julia; Schmidli, Hanspeter 9 2011 On the Gerber-Shiu function and change of measure. Zbl 1231.91232Schmidli, Hanspeter 8 2010 Conditional law of risk processes given that ruin occurs. Zbl 1231.91233Schmidli, Hanspeter 1 2010 Optimal control of capital injections by reinsurance in a diffusion approximation. Zbl 1183.91069Eisenberg, Julia; Schmidli, Hanspeter 14 2009 Stochastic control in insurance. Zbl 1133.93002Schmidli, Hanspeter 141 2008 Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075Kulenko, Natalie; Schmidli, Hanspeter 75 2008 Stochastic processes for insurance and finance. Reprint of the 1999 hardback ed. Zbl 1152.60006Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef 30 2008 On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance. Zbl 1164.60012Schmidli, Hanspeter 3 2008 Optimisation in non-life insurance. Zbl 1107.93036Schmidli, Hanspeter 10 2006 On optimal investment and subexponential claims. Zbl 1110.91019Schmidli, Hanspeter 12 2005 Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116Hipp, Christian; Schmidli, Hanspeter 33 2004 On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033Hald, Morten; Schmidli, Hanspeter 25 2004 Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case. Zbl 1056.90037Schmidli, Hanspeter 9 2004 On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061Schmidli, Hanspeter 173 2002 Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039Schmidli, Hanspeter 118 2001 Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion. Zbl 0981.60041Schmidli, Hanspeter 10 2001 Pricing catastrophe insurance products based on actually reported claims. Zbl 0994.91033Vorm Christensen, Claus; Schmidli, Hanspeter 7 2000 Stochastic processes for insurance and finance. Zbl 0940.60005Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef 427 1999 Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker 43 1999 On the distribution of the surplus prior to and at ruin. Zbl 1129.62425Schmidli, Hanspeter 25 1999 Compound sums and subexponentiality. Zbl 0949.60032Schmidli, Hanspeter 10 1999 Perturbed risk processes: a review. Zbl 0954.60036Schmidli, Hanspeter 7 1999 An extension to the renewal theorem and an application to risk theory. Zbl 0876.60072Schmidli, H. 9 1997 Estimation of the Lundberg coefficient for a Markov modulated risk model. Zbl 0926.62105Schmidli, Hanspeter 6 1997 Lundberg inequalities for a Cox model with a piecewise constant intensity. Zbl 0845.60066Schmidli, Hanspeter 9 1996 Bayesian analysis of reduced rank regression. Zbl 0851.62022Schmidli, Hanspeter 2 1996 Martingales and insurance risk. Zbl 0910.62106Schmidli, Hanspeter 1 1996 Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion. Zbl 0837.62087Schmidli, Hanspeter 34 1995 Saddlepoint approximations for the probability of ruin in finite time. Zbl 0836.62082Barndorff-Nielsen, Ole E.; Schmidli, Hanspeter 13 1995 Ruin estimation for a general insurance risk model. Zbl 0811.62096Embrechts, Paul; Schmidli, Hanspeter 52 1994 Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion. Zbl 0814.62066Furrer, H. J.; Schmidli, H. 36 1994 Diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0793.60095Schmidli, Hanspeter 24 1994 Modelling of extremal events in insurance and finance. Zbl 0798.90024Embrechts, Paul; Schmidli, Hanspeter 11 1994 Risk theory in an economic environment and Markov processes. Zbl 0816.90042Schmidli, Hanspeter 4 1994 Corrected diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0811.90023Schmidli, Hanspeter 4 1994 Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter 19 1993 all cited Publications top 5 cited Publications all top 5 Cited by 1,098 Authors 35 Yang, Hailiang 32 Schmidli, Hanspeter 28 Yuen, Kam Chuen 23 Albrecher, Hansjörg 23 Guo, Junyi 21 Yin, Chuancun 20 Liang, Zhibin 17 Marceau, Étienne 17 Palmowski, Zbigniew 17 Wu, Rong 15 Jin, Zhuo 14 Cossette, Hélène 14 Wang, Rongming 14 Young, Virginia R. 14 Zhao, Hui 13 Tang, Qihe 13 Willmot, Gordon E. 13 Zhou, Ming 12 Asmussen, Søren 12 Avram, Florin 12 Cai, Jun 12 Rong, Ximin 11 Azcue, Pablo 11 Bai, Lihua 11 Bäuerle, Nicole 11 Hu, Yijun 11 Li, Shuanming 11 Luo, Shangzhen 11 Muler, Nora E. 11 Thonhauser, Stefan 10 Chen, Mi 10 Eisenberg, Julia 10 Landriault, David 10 Wang, Guojing 10 Yao, Dingjun 10 Zeng, Yan 10 Zhang, Xin 10 Zhang, Zhimin 10 Zwart, Bert P. 9 Li, Danping 9 Liu, Guoxin 9 Siu, Tak Kuen 8 Bi, Junna 8 Li, Zhongfei 8 Lu, Yi 8 Ortega, Eva-María 8 Taksar, Michael I. 8 Yin, Gang George 7 Liang, Xiaoqing 7 Meng, Hui 7 Peng, Xingchun 7 Pistorius, Martijn R. 7 Psarrakos, Georgios 7 Ragulina, Olena 7 Shen, Yang 7 Wang, Wenyuan 7 Yang, Hu 6 Bayraktar, Erhan 6 Chi, Yichun 6 Chudziak, Jacek 6 Denuit, Michel M. 6 Dickson, David C. M. 6 Macci, Claudio 6 Politis, Konstadinos 6 Šiaulys, Jonas 6 Wang, Yuebao 6 Xu, Lin 6 Zhang, Chunsheng 6 Zhu, Jinxia 5 Badescu, Andrei L. 5 Dassios, Angelos 5 Gatto, Riccardo 5 Grandits, Peter 5 Hashorva, Enkelejd 5 Hipp, Christian 5 Jang, Jiwook 5 Kałuszka, Marek 5 Klüppelberg, Claudia 5 Kolkovska, Ekaterina Todorova 5 Lefèvre, Claude 5 Li, Jinzhu 5 Lin, X. Sheldon 5 Lin, Xiang 5 Liu, Zhaoyang 5 Mandjes, Michel Robertus Hendrikus 5 Meng, Qingbin 5 Mishura, Yuliya Stepanivna 5 Pellerey, Franco 5 Sun, Zhongyang 5 Yang, Yang 5 Zhang, Caibin 5 Zhang, Nan 4 Boxma, Onno Johan 4 Chen, Ping 4 Chen, Shumin 4 Constantinescu, Corina D. 4 Dębicki, Krzysztof 4 Dieker, A. B. 4 Embrechts, Paul 4 Emms, Paul ...and 998 more Authors all top 5 Cited in 155 Serials 231 Insurance Mathematics & Economics 69 Scandinavian Actuarial Journal 51 Journal of Applied Probability 32 Journal of Computational and Applied Mathematics 31 Methodology and Computing in Applied Probability 30 Communications in Statistics. Theory and Methods 29 Statistics & Probability Letters 27 North American Actuarial Journal 25 ASTIN Bulletin 24 Advances in Applied Probability 24 Journal of Industrial and Management Optimization 23 Stochastic Models 21 Acta Mathematicae Applicatae Sinica. English Series 17 European Actuarial Journal 16 Stochastic Processes and their Applications 15 Mathematical Methods of Operations Research 14 The Annals of Applied Probability 11 Queueing Systems 11 Applied Stochastic Models in Business and Industry 10 Lithuanian Mathematical Journal 10 Applied Mathematics and Optimization 10 Journal of Systems Science and Complexity 10 Stochastics 9 Annals of Operations Research 9 Finance and Stochastics 8 Journal of Mathematical Analysis and Applications 8 Applied Mathematics and Computation 8 Scandinavian Actuarial Journal 8 European Journal of Operational Research 8 Frontiers of Mathematics in China 7 Modern Stochastics. Theory and Applications 6 SIAM Journal on Control and Optimization 6 Stochastic Analysis and Applications 6 Theory of Probability and Mathematical Statistics 6 Mathematical Problems in Engineering 6 Discrete Dynamics in Nature and Society 6 Acta Mathematica Sinica. English Series 6 The ANZIAM Journal 5 Journal of Optimization Theory and Applications 5 Applied Mathematics. Series B (English Edition) 5 Journal of Applied Mathematics and Computing 4 Automatica 4 Blätter (Deutsche Gesellschaft für Versicherungsmathematik) 4 Operations Research Letters 4 Automation and Remote Control 4 Cybernetics and Systems Analysis 4 Bernoulli 4 Quantitative Finance 4 Asia-Pacific Financial Markets 4 Journal of the Korean Statistical Society 4 Science China. Mathematics 3 Moscow University Mathematics Bulletin 3 Journal of Multivariate Analysis 3 Probability and Mathematical Statistics 3 Optimization 3 Mathematical and Computer Modelling 3 Mathematical Finance 3 Probability in the Engineering and Informational Sciences 3 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) 3 SIAM Journal on Financial Mathematics 3 Mathematical Control and Related Fields 3 Statistics & Risk Modeling 2 Journal of Statistical Physics 2 The Annals of Probability 2 Journal of Statistical Planning and Inference 2 Kybernetika 2 Mathematics of Operations Research 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 Computational and Applied Mathematics 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 Acta Mathematica Scientia. Series B. (English Edition) 2 Bulletin of the Malaysian Mathematical Sciences Society. Second Series 2 Advances in Difference Equations 2 Journal of Statistical Theory and Practice 2 Journal of the Operations Research Society of China 1 Computers & Mathematics with Applications 1 International Journal of Control 1 Journal of Engineering Mathematics 1 Journal of Mathematical Biology 1 Mathematical Biosciences 1 Mathematical Methods in the Applied Sciences 1 Metrika 1 Physica A 1 Theory of Probability and its Applications 1 The Annals of Statistics 1 Demonstratio Mathematica 1 Journal of Differential Equations 1 Journal of Mathematical Economics 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 Theoretical Computer Science ...and 55 more Serials all top 5 Cited in 29 Fields 850 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 591 Probability theory and stochastic processes (60-XX) 251 Statistics (62-XX) 243 Systems theory; control (93-XX) 79 Calculus of variations and optimal control; optimization (49-XX) 72 Operations research, mathematical programming (90-XX) 30 Numerical analysis (65-XX) 14 Integral equations (45-XX) 11 Integral transforms, operational calculus (44-XX) 9 Partial differential equations (35-XX) 6 Computer science (68-XX) 6 Biology and other natural sciences (92-XX) 5 Statistical mechanics, structure of matter (82-XX) 4 Functional analysis (46-XX) 3 Difference and functional equations (39-XX) 3 Approximations and expansions (41-XX) 3 Mathematics education (97-XX) 2 Real functions (26-XX) 2 Measure and integration (28-XX) 2 Ordinary differential equations (34-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 General and overarching topics; collections (00-XX) 1 Combinatorics (05-XX) 1 Special functions (33-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) Citations by Year