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Albrecher, Hansjörg

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Author ID: albrecher.hansjorg Recent zbMATH articles by "Albrecher, Hansjörg"
Published as: Albrecher, H.; Albrecher, Hansjoerg; Albrecher, Hansjörg; Albrechter, Hansjörg
Homepage: http://hec.unil.ch/people/halbrecher
External Links: MGP · Wikidata · ResearchGate · dblp · GND
Documents Indexed: 97 Publications since 2000, including 5 Books
all top 5

Co-Authors

5 single-authored
9 Thonhauser, Stefan
8 Ivanovs, Jevgeņijs
8 Kortschak, Dominik
8 Tichy, Robert Franz
7 Boxma, Onno Johan
7 Teugels, Jozef L.
6 Constantinescu, Corina D.
5 Hartinger, Jürgen
4 Asmussen, Søren
4 Gerber, Hans U.
4 Loisel, Stéphane
4 Mayer, Philipp A.
3 Bladt, Martin
3 Kainhofer, Reinhold F.
3 Zhou, Xiaowen
2 Avram, Florin
2 Azcue, Pablo
2 Bäuerle, Nicole
2 Beirlant, Jan
2 Binder, Andreas
2 Bladt, Mogens
2 Borst, Sem C.
2 Cani, Arian
2 Cheung, Eric C. K.
2 Embrechts, Paul
2 Filipović, Damir
2 Haas, Sandra
2 Hipp, Christian
2 Ladoucette, Sophie A.
2 Lautscham, Volkmar
2 Muler, Nora E.
2 Predota, Martin
2 Regensburger, Georg
2 Resing, Jacques A. C.
2 Rosenkranz, Markus
2 Schoutens, Wim
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 Denuit, Michel M.
1 Deprez, Olivier
1 Drmota, Michael
1 Dutang, Christophe
1 Engl, Heinz W.
1 Essifi, Rim
1 Garrido, José Luis
1 Goldstern, Martin Robert
1 Grabner, Peter J.
1 Guevara-Alarcón, William
1 Harrison, Glenn W.
1 Kantor, Josef
1 Kendermann, S.
1 Koch Medina, Pablo
1 Koch, Pablo
1 Korn, Ralf
1 Kuijstermans, Richard
1 Landriault, David
1 Mármol, Maite
1 Matoušek, Jiří
1 Möller, Michael
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 Trufin, Julien
1 Vanini, Paolo
1 Vatamidou, Eleni
1 Winkler, Reinhard
1 Yang, Hailiang
1 Zwart, Bert P.
all top 5

Serials

14 Insurance Mathematics & Economics
7 Journal of Applied Probability
6 Scandinavian Actuarial Journal
6 European Actuarial Journal
4 ASTIN Bulletin
3 Journal of Computational and Applied Mathematics
3 Grazer Mathematische Berichte
3 Methodology and Computing in Applied Probability
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 Extremes
2 North American Actuarial Journal
1 Advances in Applied Probability
1 Applied Mathematics and Computation
1 Computing
1 Journal of Statistical Planning and Inference
1 Mathematics and Computers in Simulation
1 Mathematica Slovaca
1 Publicationes Mathematicae
1 SIAM Journal on Control and Optimization
1 Siberian Mathematical Journal
1 Statistics & Probability Letters
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 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 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 Radon Series on Computational and Applied Mathematics
1 Statistics & Risk Modeling
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

78 Publications have been cited 1,495 times in 925 Documents Cited by Year
Ruin probabilities. 2nd ed. Zbl 1247.91080
Asmussen, Søren; Albrecher, Hansjörg
268
2010
Exponential behavior in the presence of dependence in risk theory. Zbl 1097.62110
Albrecher, Hansjörg; Teugels, Jef L.
76
2006
A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048
Albrecher, Hansjörg; Boxma, Onno J.
60
2004
On the discounted penalty function in a Markov-dependent risk model. Zbl 1129.91023
Albrecher, Hansjörg; Boxma, Onno J.
58
2005
Optimality results for dividend problems in insurance. Zbl 1187.93138
Albrecher, Hansjörg; Thonhauser, Stefan
55
2009
Randomized onservation periods for the compound Poisson risk model: dividends. Zbl 1239.91072
Albrecher, Hansjörg; Cheung, Eric C. K.; Thonhauser, Stefan
49
2011
Lundberg’s risk process with tax. Zbl 1119.62103
Albrecher, Hansjörg; Hipp, Christian
43
2007
Exit identities for Lévy processes observed at Poisson arrival times. Zbl 1338.60125
Albrecher, Hansjörg; Ivanovs, Jevgenijs; Zhou, Xiaowen
40
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
37
2013
The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062
Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W.
37
2011
A Lévy insurance risk process with tax. Zbl 1144.60032
Albrecher, Hansjörg; Renaud, Jean-François; Zhou, Xiaowen
37
2008
On the dual risk model with tax payments. Zbl 1141.91481
Albrecher, Hansjörg; Badescu, Andrei; Landriault, David
37
2008
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
37
2005
Explicit ruin formulas for models with dependence among risks. Zbl 1218.91065
Albrecher, Hansjörg; Constantinescu, Corina; Loisel, Stephane
34
2011
Risk theory with a nonlinear dividend barrier. Zbl 1076.91521
Albrecher, H.; Kainhofer, R.
32
2002
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
31
2006
The tax identity in risk theory - a simple proof and an extension. Zbl 1163.91430
Albrecher, Hansjörg; Borst, Sem; Boxma, Onno; Resing, Jacques
28
2009
Dividend maximization under consideration of the time value of ruin. Zbl 1119.91047
Thonhauser, Stefan; Albrecher, Hansjörg
28
2007
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
28
2006
Asymptotic results for the sum of dependent non-identically distributed random variables. Zbl 1171.60348
Kortschak, Dominik; Albrecher, Hansjörg
27
2009
Reinsurance. Actuarial and statistical aspects. Zbl 1376.91004
Albrecher, Hansjoerg; Beirlant, Jan; Teugels, Jozef L.
26
2017
Optimal dividend strategies for a risk process under force of interest. Zbl 1140.91371
Albrecher, Hansjörg; Thonhauser, Stefan
21
2008
On Asian option pricing for NIG Lévy processes. Zbl 1107.91042
Albrecher, Hansjörg; Predota, Martin
21
2004
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
20
2011
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.
20
2005
From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084
Albrecher, Hansjörg; Lautscham, Volkmar
19
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
17
2010
General lower bounds for arithmetic Asian option prices. Zbl 1134.91394
Albrecher, H.; Mayer, P. A.; Schoutens, W.
17
2008
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
14
2010
A generic one-factor Lévy model for pricing synthetic CDOs. Zbl 1154.91421
Albrechter, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim
14
2007
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Zbl 1354.60048
Albrecher, Hansjörg; Ivanovs, Jevgenijs
13
2017
Simulation methods in ruin models with nonlinear dividend barriers. Zbl 1036.91029
Albrecher, Hansjörg; Kainhofer, Reinhold; Tichy, Robert F.
13
2003
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 the efficient evaluation of ruin probabilities for completely monotone claim distributions. Zbl 1201.91088
Albrecher, Hansjörg; Avram, Florin; Kortschak, Dominik
12
2010
Power identities for Lévy risk models under taxation and capital injections. Zbl 1300.60067
Albrecher, Hansjörg; Ivanovs, Jevgenijs
11
2014
Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. Zbl 1224.91038
Albrecher, Hansjörg; Hipp, Christian; Kortschak, Dominik
11
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.
11
2001
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
10
2013
Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. Zbl 1262.91096
Thonhauser, Stefan; Albrecher, Hansjörg
10
2011
Asymptotics of the sample coefficient of variation and the sample dispersion. Zbl 1177.62065
Albrecher, H.; Ladoucette, Sophie A.; Teugels, Jef L.
10
2010
On the non-optimality of horizontal barrier strategies in the Sparre Andersen model. Zbl 1243.91059
Albrecher, Hansjörg; Hartinger, Jürgen
10
2006
Competition among non-life insurers under solvency constraints: a game-theoretic approach. Zbl 1317.91042
Dutang, Christophe; Albrecher, Hansjoerg; Loisel, Stéphane
9
2013
On ruin probability and aggregate claim representations for Pareto claim size distributions. Zbl 1231.91137
Albrecher, Hansjörg; Kortschak, Dominik
9
2009
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
9
2007
Simulation of ruin probabilities for risk processes of Markovian type. Zbl 1014.91055
Albrecher, Hansjörg; Kantor, Josef
8
2002
Asymptotic analysis of a measure of variation. Zbl 1150.62363
Albrecher, H.; Teugels, J. L.
7
2006
Bounds and approximations for discrete Asian options in a variance-gamma model. Zbl 1053.91056
Albrecher, Hansjörg; Predota, Martin
7
2002
Asymptotic results for renewal risk models with risky investments. Zbl 1250.91055
Albrecher, Hansjoerg; Constantinescu, Corina; Thomann, Enrique
6
2012
Optimal dividend strategies for two collaborating insurance companies. Zbl 1429.91274
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
5
2017
On simple ruin expressions in dependent Sparre Andersen risk models. Zbl 1286.91063
Albrecher, Hansjörg; Boxma, Onno J.; Ivanovs, Jevgenijs
5
2014
The tax identity for Markov additive risk processes. Zbl 1286.91062
Albrecher, Hansjörg; Avram, Florin; Constantinescu, Corina; Ivanovs, Jevgenijs
5
2014
On optimal dividend strategies in insurance with an random time horizon. Zbl 1287.91088
Albrecher, Hansjörg; Thonhauser, Stefan
5
2012
Identification of the local speed function in a Lévy model for option pricing. Zbl 1149.91034
Kendermann, S.; Mayer, P.; Albrecher, H.; Engl, H.
5
2008
Linking dividends and capital injections – a probabilistic approach. Zbl 1416.91146
Albrecher, Hansjörg; Ivanovs, Jevgenijs
4
2018
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
4
2016
Ruin problems under IBNR dynamics. Zbl 1275.91079
Trufin, Julien; Albrecher, Hansjörg; Denuit, Michel
4
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
4
2011
An asymptotical study of combinatorial optimization problems by means of statistical mechanics. Zbl 1079.90108
Albrecher, Hansjörg; Burkard, Rainer E.; Çela, Eranda
4
2006
A note on the asymptotic behaviour of bottleneck problems. Zbl 1099.90048
Albrecher, Hansjörg
4
2005
QMC techniques for CAT bond pricing. Zbl 1060.65501
Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert F.
4
2004
Asset-liability management for long-term insurance business. Zbl 1416.91145
Albrecher, Hansjörg (ed.); Bauer, Daniel (ed.); Embrechts, Paul (ed.); Filipović, Damir (ed.); Koch-Medina, Pablo (ed.); Korn, Ralf (ed.); Loisel, Stéphane (ed.); Pelsser, Antoon (ed.); Schiller, Frank (ed.); Schmeiser, Hato (ed.); Wagner, Joël (ed.)
3
2018
Risk theory with affine dividend payment strategies. Zbl 1415.91147
Albrecher, Hansjörg; Cani, Arian
3
2017
On the joint distribution of tax payments and capitalinjections for a Lévy risk model. Zbl 1393.60048
Albrecher, Hansjörg; Ivanovs, Jevgenijs
3
2017
Tail asymptotics for dependent subexponential differences. Zbl 1257.62016
Albrecher, H.; Asmussen, S.; Kortschak, D.
3
2012
A note on moments of dividends. Zbl 1299.91052
Albrecher, Hansjörg; Gerber, Hans U.
3
2011
“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
3
2004
Inhomogeneous phase-type distributions and heavy tails. Zbl 1428.62103
Albrecher, Hansjörg; Bladt, Mogens
2
2019
Dividends: from refracting to ratcheting. Zbl 1417.91260
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin
2
2018
Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451
Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane
2
2013
A queueing model with randomized depletion of inventory. Zbl 1370.90083
Albrecher, Hansjörg; Boxma, Onno; Essifi, Rim; Kuijstermans, Richard
1
2017
Exact boundaries in sequential testing for phase-type distributions. Zbl 1309.62140
Albrecher, Hansjörg; Asadi, Peiman; Ivanovs, Jevgenijs
1
2014
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
1
2013
Editorial: Special issue on Gerber-Shiu functions. Zbl 1231.91001
Albrecher, Hansjörg (ed.); Constantinescu, Corina (ed.); Garrido, Jose (ed.)
1
2010
An asymptotic expansion for the tail of compound sums of Burr distributed random variables. Zbl 1185.62039
Kortschak, Dominik; Albrecher, Hansjörg
1
2010
On the non-optiomality of proportional reinsurance according to the dividend criterion. Zbl 1333.91016
Albrecher, Hansjörg; Gerber, Hans U.
1
2009
Advanced financial modelling. Zbl 1177.91006
Albrecher, Hansjörg (ed.); Runggaldier, Wolfgang J. (ed.); Schachermayer, Walter (ed.)
1
2009
On the covergence of a solution method for a risk model with gamma-distributed claims. Zbl 1187.91089
Albrecher, Hansjörg; Tichy, Robert F.
1
2000
Discrepancy of point sequences on fractal sets. Zbl 0960.11037
Albrecher, Hansjörg; Matoušek, Jiří; Tichy, Robert F.
1
2000
Inhomogeneous phase-type distributions and heavy tails. Zbl 1428.62103
Albrecher, Hansjörg; Bladt, Mogens
2
2019
Linking dividends and capital injections – a probabilistic approach. Zbl 1416.91146
Albrecher, Hansjörg; Ivanovs, Jevgenijs
4
2018
Asset-liability management for long-term insurance business. Zbl 1416.91145
Albrecher, Hansjörg (ed.); Bauer, Daniel (ed.); Embrechts, Paul (ed.); Filipović, Damir (ed.); Koch-Medina, Pablo (ed.); Korn, Ralf (ed.); Loisel, Stéphane (ed.); Pelsser, Antoon (ed.); Schiller, Frank (ed.); Schmeiser, Hato (ed.); Wagner, Joël (ed.)
3
2018
Dividends: from refracting to ratcheting. Zbl 1417.91260
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin
2
2018
Reinsurance. Actuarial and statistical aspects. Zbl 1376.91004
Albrecher, Hansjoerg; Beirlant, Jan; Teugels, Jozef L.
26
2017
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Zbl 1354.60048
Albrecher, Hansjörg; Ivanovs, Jevgenijs
13
2017
Optimal dividend strategies for two collaborating insurance companies. Zbl 1429.91274
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
5
2017
Risk theory with affine dividend payment strategies. Zbl 1415.91147
Albrecher, Hansjörg; Cani, Arian
3
2017
On the joint distribution of tax payments and capitalinjections for a Lévy risk model. Zbl 1393.60048
Albrecher, Hansjörg; Ivanovs, Jevgenijs
3
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
40
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
4
2016
Power identities for Lévy risk models under taxation and capital injections. Zbl 1300.60067
Albrecher, Hansjörg; Ivanovs, Jevgenijs
11
2014
On simple ruin expressions in dependent Sparre Andersen risk models. Zbl 1286.91063
Albrecher, Hansjörg; Boxma, Onno J.; Ivanovs, Jevgenijs
5
2014
The tax identity for Markov additive risk processes. Zbl 1286.91062
Albrecher, Hansjörg; Avram, Florin; Constantinescu, Corina; 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
37
2013
From ruin to bankruptcy for compound Poisson surplus processes. Zbl 1283.91084
Albrecher, Hansjörg; Lautscham, Volkmar
19
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
10
2013
Competition among non-life insurers under solvency constraints: a game-theoretic approach. Zbl 1317.91042
Dutang, Christophe; Albrecher, Hansjoerg; Loisel, Stéphane
9
2013
Equalization reserves for natural catastrophes and shareholder value: a simulation study. Zbl 1273.91451
Dacorogna, Michel M.; Albrecher, Hansjörg; Moller, Michael; Sahiti, Suzane
2
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
1
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
6
2012
On optimal dividend strategies in insurance with an random time horizon. Zbl 1287.91088
Albrecher, Hansjörg; Thonhauser, Stefan
5
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
49
2011
The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062
Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W.
37
2011
Explicit ruin formulas for models with dependence among risks. Zbl 1218.91065
Albrecher, Hansjörg; Constantinescu, Corina; Loisel, Stephane
34
2011
Optimal dividend-payout in random discrete time. Zbl 1233.91139
Albrecher, Hansjörg; Bäuerle, Nicole; Thonhauser, Stefan
20
2011
Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. Zbl 1262.91096
Thonhauser, Stefan; Albrecher, Hansjörg
10
2011
Ruin problems under IBNR dynamics. Zbl 1275.91079
Trufin, Julien; Albrecher, Hansjörg; Denuit, Michel
4
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
4
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
268
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
17
2010
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
14
2010
On the efficient evaluation of ruin probabilities for completely monotone claim distributions. Zbl 1201.91088
Albrecher, Hansjörg; Avram, Florin; Kortschak, Dominik
12
2010
Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. Zbl 1224.91038
Albrecher, Hansjörg; Hipp, Christian; Kortschak, Dominik
11
2010
Asymptotics of the sample coefficient of variation and the sample dispersion. Zbl 1177.62065
Albrecher, H.; Ladoucette, Sophie A.; Teugels, Jef L.
10
2010
Editorial: Special issue on Gerber-Shiu functions. Zbl 1231.91001
Albrecher, Hansjörg (ed.); Constantinescu, Corina (ed.); Garrido, Jose (ed.)
1
2010
An asymptotic expansion for the tail of compound sums of Burr distributed random variables. Zbl 1185.62039
Kortschak, Dominik; Albrecher, Hansjörg
1
2010
Optimality results for dividend problems in insurance. Zbl 1187.93138
Albrecher, Hansjörg; Thonhauser, Stefan
55
2009
The tax identity in risk theory - a simple proof and an extension. Zbl 1163.91430
Albrecher, Hansjörg; Borst, Sem; Boxma, Onno; Resing, Jacques
28
2009
Asymptotic results for the sum of dependent non-identically distributed random variables. Zbl 1171.60348
Kortschak, Dominik; Albrecher, Hansjörg
27
2009
On ruin probability and aggregate claim representations for Pareto claim size distributions. Zbl 1231.91137
Albrecher, Hansjörg; Kortschak, Dominik
9
2009
On the non-optiomality of proportional reinsurance according to the dividend criterion. Zbl 1333.91016
Albrecher, Hansjörg; Gerber, Hans U.
1
2009
Advanced financial modelling. Zbl 1177.91006
Albrecher, Hansjörg (ed.); Runggaldier, Wolfgang J. (ed.); Schachermayer, Walter (ed.)
1
2009
A Lévy insurance risk process with tax. Zbl 1144.60032
Albrecher, Hansjörg; Renaud, Jean-François; Zhou, Xiaowen
37
2008
On the dual risk model with tax payments. Zbl 1141.91481
Albrecher, Hansjörg; Badescu, Andrei; Landriault, David
37
2008
Optimal dividend strategies for a risk process under force of interest. Zbl 1140.91371
Albrecher, Hansjörg; Thonhauser, Stefan
21
2008
General lower bounds for arithmetic Asian option prices. Zbl 1134.91394
Albrecher, H.; Mayer, P. A.; Schoutens, W.
17
2008
Identification of the local speed function in a Lévy model for option pricing. Zbl 1149.91034
Kendermann, S.; Mayer, P.; Albrecher, H.; Engl, H.
5
2008
Lundberg’s risk process with tax. Zbl 1119.62103
Albrecher, Hansjörg; Hipp, Christian
43
2007
Dividend maximization under consideration of the time value of ruin. Zbl 1119.91047
Thonhauser, Stefan; Albrecher, Hansjörg
28
2007
A generic one-factor Lévy model for pricing synthetic CDOs. Zbl 1154.91421
Albrechter, Hansjörg; Ladoucette, Sophie A.; Schoutens, Wim
14
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
9
2007
Exponential behavior in the presence of dependence in risk theory. Zbl 1097.62110
Albrecher, Hansjörg; Teugels, Jef L.
76
2006
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
31
2006
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
28
2006
On the non-optimality of horizontal barrier strategies in the Sparre Andersen model. Zbl 1243.91059
Albrecher, Hansjörg; Hartinger, Jürgen
10
2006
Asymptotic analysis of a measure of variation. Zbl 1150.62363
Albrecher, H.; Teugels, J. L.
7
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.
58
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
37
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.
20
2005
A note on the asymptotic behaviour of bottleneck problems. Zbl 1099.90048
Albrecher, Hansjörg
4
2005
A ruin model with dependence between claim sizes and claim intervals. Zbl 1079.91048
Albrecher, Hansjörg; Boxma, Onno J.
60
2004
On Asian option pricing for NIG Lévy processes. Zbl 1107.91042
Albrecher, Hansjörg; Predota, Martin
21
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
3
2004
Simulation methods in ruin models with nonlinear dividend barriers. Zbl 1036.91029
Albrecher, Hansjörg; Kainhofer, Reinhold; Tichy, Robert F.
13
2003
Risk theory with a nonlinear dividend barrier. Zbl 1076.91521
Albrecher, H.; Kainhofer, R.
32
2002
Simulation of ruin probabilities for risk processes of Markovian type. Zbl 1014.91055
Albrecher, Hansjörg; Kantor, Josef
8
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.
11
2001
On the covergence of a solution method for a risk model with gamma-distributed claims. Zbl 1187.91089
Albrecher, Hansjörg; Tichy, Robert F.
1
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 1,061 Authors

49 Albrecher, Hansjörg
30 Zhang, Zhimin
28 Landriault, David
27 Cheung, Eric C. K.
26 Yang, Hailiang
17 Palmowski, Zbigniew
16 Yin, Chuancun
15 Avram, Florin
15 Badescu, Andrei L.
15 Boxma, Onno Johan
14 Lefèvre, Claude
14 Yamazaki, Kazutoshi
14 Yang, Hu
14 Zhou, Xiaowen
13 Willmot, Gordon E.
12 Constantinescu, Corina D.
12 Ivanovs, Jevgeņijs
12 Li, Bin
12 Loisel, Stéphane
12 Marceau, Étienne
12 Tang, Qihe
12 Woo, Jae-Kyung
11 Asmussen, Søren
11 Cossette, Hélène
11 Hashorva, Enkelejd
11 Hu, Yijun
11 Kortschak, Dominik
11 Pérez Garmendia, Jose Luis
11 Thonhauser, Stefan
11 Yang, Xiangqun
11 Yuen, Kam Chuen
10 Gerber, Hans U.
10 Wang, Wenyuan
9 Ji, Lanpeng
9 Li, Shuanming
9 Renaud, Jean-François
9 Shiu, Elias S. W.
9 Zhang, Chunsheng
8 Avanzi, Benjamin
8 Borovkov, Aleksandr Alekseevich
8 Feng, Runhuan
8 Guo, Junyi
8 Wong, Bernard
7 Asimit, Alexandru V.
7 Czarna, Irmina
7 Goffard, Pierre-Olivier
7 Kyprianou, Andreas E.
7 Lin, X. Sheldon
7 Mogul’skii, Anatolii Alfredovich
7 Schmidli, Hanspeter
7 Sendova, Kristina P.
7 Tan, Jiyang
7 Wang, Rongming
6 Bäuerle, Nicole
6 Loeffen, Ronnie L.
6 Ming, Ruixing
6 Xie, Jiehua
6 Yao, Dingjun
6 Zhou, Ming
5 Azcue, Pablo
5 Bladt, Mogens
5 Cui, Zhenyu
5 Dębicki, Krzysztof
5 Dong, Hua
5 Egídio dos Reis, Alfredo D.
5 Eisenberg, Julia
5 Frostig, Esther
5 Furman, Edward
5 Ladoucette, Sophie A.
5 Linders, Daniël
5 Liu, Peng
5 Liu, Zaiming
5 Mandjes, Michel Robertus Hendrikus
5 Maume-Deschamps, Véronique
5 Muler, Nora E.
5 Perry, David
5 Rabehasaina, Landy
5 Rosenkranz, Markus
5 Shimizu, Yasutaka
5 Su, Wen
5 Trufin, Julien
5 Vernic, Raluca
5 Wang, Dehui
5 Yam, Sheung Chi Phillip
5 Zhu, Jinxia
5 Zou, Wei
4 Cardoso, Rui M. R.
4 Chen, Shumin
4 Chen, Yiqing
4 Cheng, Jianhua
4 Claramunt, M. Mercè
4 Dassios, Angelos
4 Deelstra, Griselda
4 Dhaene, Jan
4 Dickson, David C. M.
4 Fu, Ke’ang
4 Griffin, Philip S.
4 Hubalek, Friedrich
4 Jang, Jiwook
4 Jiang, Wuyuan
...and 961 more Authors
all top 5

Cited in 143 Serials

206 Insurance Mathematics & Economics
70 Scandinavian Actuarial Journal
53 Journal of Computational and Applied Mathematics
43 Statistics & Probability Letters
42 Journal of Applied Probability
36 European Actuarial Journal
31 Methodology and Computing in Applied Probability
19 ASTIN Bulletin
17 Advances in Applied Probability
16 Stochastic Models
15 Applied Mathematics and Computation
12 Stochastic Processes and their Applications
11 Acta Mathematicae Applicatae Sinica. English Series
11 Communications in Statistics. Theory and Methods
11 European Journal of Operational Research
11 Finance and Stochastics
10 Extremes
9 Journal of Multivariate Analysis
9 North American Actuarial Journal
8 Journal of Optimization Theory and Applications
7 Queueing Systems
7 Applied Mathematics. Series B (English Edition)
7 Theory of Probability and Mathematical Statistics
7 Journal of Industrial and Management Optimization
7 Journal of the Korean Statistical Society
7 Modern Stochastics. Theory and Applications
6 Siberian Mathematical Journal
6 The Annals of Applied Probability
6 International Journal of Theoretical and Applied Finance
6 Quantitative Finance
5 Journal of Mathematical Analysis and Applications
5 Theory of Probability and its Applications
5 SIAM Journal on Control and Optimization
5 Annals of Operations Research
5 Applied Mathematical Finance
5 Acta Mathematica Sinica. English Series
5 SIAM Journal on Financial Mathematics
5 Stochastic Systems
4 Lithuanian Mathematical Journal
4 Mathematical Methods of Operations Research
4 Probability in the Engineering and Informational Sciences
4 Journal of Systems Science and Complexity
4 Frontiers of Mathematics in China
4 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
4 Statistics & Risk Modeling
3 Operations Research Letters
3 Stochastic Analysis and Applications
3 Mathematical and Computer Modelling
3 Cybernetics and Systems Analysis
3 Computational Optimization and Applications
3 Bernoulli
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
3 Abstract and Applied Analysis
3 Journal of Inequalities and Applications
3 Applied Stochastic Models in Business and Industry
3 Advances in Difference Equations
3 Sibirskie Èlektronnye Matematicheskie Izvestiya
3 Stochastics
3 Dependence Modeling
2 Ukrainian Mathematical Journal
2 Journal of Statistical Planning and Inference
2 Mathematics and Computers in Simulation
2 Probability and Mathematical Statistics
2 Sequential Analysis
2 Journal of Theoretical Probability
2 Computational Mathematics and Mathematical Physics
2 Applied Mathematical Modelling
2 Indagationes Mathematicae. New Series
2 Wuhan University Journal of Natural Sciences (WUJNS)
2 Journal of Applied Statistics
2 The ANZIAM Journal
2 Journal of Applied Mathematics
2 Review of Derivatives Research
2 Science China. Mathematics
2 Statistics and Computing
1 Computers & Mathematics with Applications
1 International Journal of Systems Science
1 Journal of Statistical Physics
1 Moscow University Mathematics Bulletin
1 Periodica Mathematica Hungarica
1 Annals of the Institute of Statistical Mathematics
1 Annali di Matematica Pura ed Applicata. Serie Quarta
1 The Annals of Statistics
1 Applied Mathematics and Optimization
1 Journal of Pure and Applied Algebra
1 Mathematics of Operations Research
1 Mathematica Slovaca
1 Naval Research Logistics
1 Chinese Annals of Mathematics. Series B
1 Statistics
1 Journal of Symbolic Computation
1 Probability Theory and Related Fields
1 Asia-Pacific Journal of Operational Research
1 Journal of Economic Dynamics & Control
1 European Journal of Applied Mathematics
1 Economics Letters
1 Automation and Remote Control
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Computational Statistics and Data Analysis
1 SIAM Journal on Scientific Computing
...and 43 more Serials
all top 5

Cited in 37 Fields

745 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
589 Probability theory and stochastic processes (60-XX)
268 Statistics (62-XX)
91 Systems theory; control (93-XX)
55 Operations research, mathematical programming (90-XX)
50 Numerical analysis (65-XX)
26 Calculus of variations and optimal control; optimization (49-XX)
17 Integral equations (45-XX)
13 Integral transforms, operational calculus (44-XX)
11 Partial differential equations (35-XX)
8 Computer science (68-XX)
7 Ordinary differential equations (34-XX)
5 Field theory and polynomials (12-XX)
5 Special functions (33-XX)
4 Approximations and expansions (41-XX)
4 Biology and other natural sciences (92-XX)
3 Commutative algebra (13-XX)
3 Harmonic analysis on Euclidean spaces (42-XX)
2 Number theory (11-XX)
2 Associative rings and algebras (16-XX)
2 Measure and integration (28-XX)
2 Operator theory (47-XX)
2 Statistical mechanics, structure of matter (82-XX)
2 Geophysics (86-XX)
2 Information and communication theory, circuits (94-XX)
1 General and overarching topics; collections (00-XX)
1 History and biography (01-XX)
1 Mathematical logic and foundations (03-XX)
1 Combinatorics (05-XX)
1 Real functions (26-XX)
1 Functions of a complex variable (30-XX)
1 Dynamical systems and ergodic theory (37-XX)
1 Difference and functional equations (39-XX)
1 General topology (54-XX)
1 Global analysis, analysis on manifolds (58-XX)
1 Fluid mechanics (76-XX)
1 Quantum theory (81-XX)

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