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Schmidli, Hanspeter

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Author ID: schmidli.hanspeter Recent zbMATH articles by "Schmidli, Hanspeter"
Published as: Schmidli, Hanspeter; Schmidli, H.
Homepage: http://www.mi.uni-koeln.de/~schmidli/
External Links: MGP · dblp · GND
Documents Indexed: 51 Publications since 1993, including 4 Books
Reviewing Activity: 86 Reviews
Co-Authors: 18 Co-Authors with 22 Joint Publications
578 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

47 Publications have been cited 1,439 times in 1,020 Documents Cited by Year
Stochastic processes for insurance and finance. Zbl 0940.60005
Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef
413
1999
On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061
Schmidli, Hanspeter
167
2002
Stochastic control in insurance. Zbl 1133.93002
Schmidli, Hanspeter
139
2008
Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039
Schmidli, Hanspeter
114
2001
Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075
Kulenko, Natalie; Schmidli, Hanspeter
72
2008
Ruin estimation for a general insurance risk model. Zbl 0811.62096
Embrechts, Paul; Schmidli, Hanspeter
50
1994
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
42
1999
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion. Zbl 0814.62066
Furrer, H. J.; Schmidli, H.
35
1994
Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion. Zbl 0837.62087
Schmidli, Hanspeter
34
1995
Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116
Hipp, Christian; Schmidli, Hanspeter
33
2004
Stochastic processes for insurance and finance. Reprint of the 1999 hardback ed. Zbl 1152.60006
Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef
29
2008
Diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0793.60095
Schmidli, Hanspeter
24
1994
On the distribution of the surplus prior to and at ruin. Zbl 1129.62425
Schmidli, Hanspeter
24
1999
On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033
Hald, Morten; Schmidli, Hanspeter
24
2004
Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094
Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter
19
1993
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
17
2011
Optimal control of capital injections by reinsurance in a diffusion approximation. Zbl 1183.91069
Eisenberg, Julia; Schmidli, Hanspeter
14
2009
Saddlepoint approximations for the probability of ruin in finite time. Zbl 0836.62082
Barndorff-Nielsen, Ole E.; Schmidli, Hanspeter
13
1995
Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs. Zbl 1222.91026
Scheer, Natalie; Schmidli, Hanspeter
13
2011
Modelling of extremal events in insurance and finance. Zbl 0798.90024
Embrechts, Paul; Schmidli, Hanspeter
11
1994
On optimal investment and subexponential claims. Zbl 1110.91019
Schmidli, Hanspeter
11
2005
Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion. Zbl 0981.60041
Schmidli, Hanspeter
10
2001
Compound sums and subexponentiality. Zbl 0949.60032
Schmidli, Hanspeter
9
1999
Lundberg inequalities for a Cox model with a piecewise constant intensity. Zbl 0845.60066
Schmidli, Hanspeter
9
1996
An extension to the renewal theorem and an application to risk theory. Zbl 0876.60072
Schmidli, H.
9
1997
Optimisation in non-life insurance. Zbl 1107.93036
Schmidli, Hanspeter
9
2006
On capital injections and dividends with tax in a diffusion approximation. Zbl 1402.91991
Schmidli, Hanspeter
8
2017
Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case. Zbl 1056.90037
Schmidli, Hanspeter
8
2004
On the Gerber-Shiu function and change of measure. Zbl 1231.91232
Schmidli, Hanspeter
8
2010
Optimal control of capital injections by reinsurance with a constant rate of interest. Zbl 1230.91072
Eisenberg, Julia; Schmidli, Hanspeter
8
2011
Perturbed risk processes: a review. Zbl 0954.60036
Schmidli, Hanspeter
7
1999
On optimal dividends with exponential and linear penalty payments. Zbl 1394.91235
Vierkötter, Matthias; Schmidli, Hanspeter
7
2017
Pricing catastrophe insurance products based on actually reported claims. Zbl 0994.91033
Vorm Christensen, Claus; Schmidli, Hanspeter
7
2000
On capital injections and dividends with tax in a classical risk model. Zbl 1371.91108
Schmidli, Hanspeter
6
2016
Estimation of the Lundberg coefficient for a Markov modulated risk model. Zbl 0926.62105
Schmidli, Hanspeter
6
1997
Risk theory. Zbl 1422.91009
Schmidli, Hanspeter
5
2017
Dividends with tax and capital injection in a spectrally negative Lévy risk model. Zbl 1416.91219
Schmidli, H.
4
2018
Risk theory in an economic environment and Markov processes. Zbl 0816.90042
Schmidli, Hanspeter
4
1994
Corrected diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0811.90023
Schmidli, Hanspeter
4
1994
On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance. Zbl 1164.60012
Schmidli, Hanspeter
3
2008
Bayesian analysis of reduced rank regression. Zbl 0851.62022
Schmidli, Hanspeter
2
1996
Mortality options: the point of view of an insurer. Zbl 1460.91238
Schmeck, Maren Diane; Schmidli, Hanspeter
2
2021
Extended Gerber-Shiu functions in a risk model with interest. Zbl 1408.91106
Schmidli, Hanspeter
2
2015
Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times. Zbl 1291.91123
Mishura, Yuliya; Schmidli, Hanspeter
1
2012
Martingales and insurance risk. Zbl 0910.62106
Schmidli, Hanspeter
1
1996
Conditional law of risk processes given that ruin occurs. Zbl 1231.91233
Schmidli, Hanspeter
1
2010
Optimal reinsurance and investment in a diffusion model. Zbl 1444.91191
Brachetta, Matteo; Schmidli, Hanspeter
1
2020
Mortality options: the point of view of an insurer. Zbl 1460.91238
Schmeck, Maren Diane; Schmidli, Hanspeter
2
2021
Optimal reinsurance and investment in a diffusion model. Zbl 1444.91191
Brachetta, Matteo; Schmidli, Hanspeter
1
2020
Dividends with tax and capital injection in a spectrally negative Lévy risk model. Zbl 1416.91219
Schmidli, H.
4
2018
On capital injections and dividends with tax in a diffusion approximation. Zbl 1402.91991
Schmidli, Hanspeter
8
2017
On optimal dividends with exponential and linear penalty payments. Zbl 1394.91235
Vierkötter, Matthias; Schmidli, Hanspeter
7
2017
Risk theory. Zbl 1422.91009
Schmidli, Hanspeter
5
2017
On capital injections and dividends with tax in a classical risk model. Zbl 1371.91108
Schmidli, Hanspeter
6
2016
Extended Gerber-Shiu functions in a risk model with interest. Zbl 1408.91106
Schmidli, Hanspeter
2
2015
Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times. Zbl 1291.91123
Mishura, Yuliya; Schmidli, Hanspeter
1
2012
Minimising expected discounted capital injections by reinsurance in a classical risk model. Zbl 1277.60145
Eisenberg, Julia; Schmidli, Hanspeter
17
2011
Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs. Zbl 1222.91026
Scheer, Natalie; Schmidli, Hanspeter
13
2011
Optimal control of capital injections by reinsurance with a constant rate of interest. Zbl 1230.91072
Eisenberg, Julia; Schmidli, Hanspeter
8
2011
On the Gerber-Shiu function and change of measure. Zbl 1231.91232
Schmidli, Hanspeter
8
2010
Conditional law of risk processes given that ruin occurs. Zbl 1231.91233
Schmidli, Hanspeter
1
2010
Optimal control of capital injections by reinsurance in a diffusion approximation. Zbl 1183.91069
Eisenberg, Julia; Schmidli, Hanspeter
14
2009
Stochastic control in insurance. Zbl 1133.93002
Schmidli, Hanspeter
139
2008
Optimal dividend strategies in a Cramér-Lundberg model with capital injections. Zbl 1189.91075
Kulenko, Natalie; Schmidli, Hanspeter
72
2008
Stochastic processes for insurance and finance. Reprint of the 1999 hardback ed. Zbl 1152.60006
Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef
29
2008
On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance. Zbl 1164.60012
Schmidli, Hanspeter
3
2008
Optimisation in non-life insurance. Zbl 1107.93036
Schmidli, Hanspeter
9
2006
On optimal investment and subexponential claims. Zbl 1110.91019
Schmidli, Hanspeter
11
2005
Asymptotics of ruin probabilities for controlled risk processes in the small claims case. Zbl 1087.62116
Hipp, Christian; Schmidli, Hanspeter
33
2004
On the maximisation of the adjustment coefficient under proportional reinsurance. Zbl 1095.91033
Hald, Morten; Schmidli, Hanspeter
24
2004
Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case. Zbl 1056.90037
Schmidli, Hanspeter
8
2004
On minimizing the ruin probability by investment and reinsurance. Zbl 1021.60061
Schmidli, Hanspeter
167
2002
Optimal proportional reinsurance policies in a dynamic setting. Zbl 0971.91039
Schmidli, Hanspeter
114
2001
Distribution of the first ladder height of a stationary risk process perturbed by \(\alpha\)-stable Lévy motion. Zbl 0981.60041
Schmidli, Hanspeter
10
2001
Pricing catastrophe insurance products based on actually reported claims. Zbl 0994.91033
Vorm Christensen, Claus; Schmidli, Hanspeter
7
2000
Stochastic processes for insurance and finance. Zbl 0940.60005
Rolski, Tomasz; Schmidli, Hanspeter; Schmidt, Volker; Teugels, Jozef
413
1999
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
42
1999
On the distribution of the surplus prior to and at ruin. Zbl 1129.62425
Schmidli, Hanspeter
24
1999
Compound sums and subexponentiality. Zbl 0949.60032
Schmidli, Hanspeter
9
1999
Perturbed risk processes: a review. Zbl 0954.60036
Schmidli, Hanspeter
7
1999
An extension to the renewal theorem and an application to risk theory. Zbl 0876.60072
Schmidli, H.
9
1997
Estimation of the Lundberg coefficient for a Markov modulated risk model. Zbl 0926.62105
Schmidli, Hanspeter
6
1997
Lundberg inequalities for a Cox model with a piecewise constant intensity. Zbl 0845.60066
Schmidli, Hanspeter
9
1996
Bayesian analysis of reduced rank regression. Zbl 0851.62022
Schmidli, Hanspeter
2
1996
Martingales and insurance risk. Zbl 0910.62106
Schmidli, Hanspeter
1
1996
Cramér-Lundberg approximations for ruin probabilities of risk processes perturbed by diffusion. Zbl 0837.62087
Schmidli, Hanspeter
34
1995
Saddlepoint approximations for the probability of ruin in finite time. Zbl 0836.62082
Barndorff-Nielsen, Ole E.; Schmidli, Hanspeter
13
1995
Ruin estimation for a general insurance risk model. Zbl 0811.62096
Embrechts, Paul; Schmidli, Hanspeter
50
1994
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion. Zbl 0814.62066
Furrer, H. J.; Schmidli, H.
35
1994
Diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0793.60095
Schmidli, Hanspeter
24
1994
Modelling of extremal events in insurance and finance. Zbl 0798.90024
Embrechts, Paul; Schmidli, Hanspeter
11
1994
Risk theory in an economic environment and Markov processes. Zbl 0816.90042
Schmidli, Hanspeter
4
1994
Corrected diffusion approximations for a risk process with the possibility of borrowing and investment. Zbl 0811.90023
Schmidli, Hanspeter
4
1994
Finite-time Lundberg inequalities in the Cox case. Zbl 0785.62094
Embrechts, Paul; Grandell, Jan; Schmidli, Hanspeter
19
1993
all top 5

Cited by 1,032 Authors

35 Yang, Hailiang
31 Schmidli, Hanspeter
27 Yuen, Kam Chuen
23 Guo, Junyi
21 Albrecher, Hansjörg
21 Yin, Chuancun
20 Liang, Zhibin
17 Marceau, Étienne
17 Wu, Rong
16 Palmowski, Zbigniew
15 Jin, Zhuo
14 Cossette, Hélène
14 Wang, Rongming
14 Young, Virginia R.
14 Zhao, Hui
13 Tang, Qihe
13 Willmot, Gordon E.
12 Asmussen, Søren
12 Avram, Florin
12 Cai, Jun
12 Rong, Ximin
12 Zhou, Ming
11 Bäuerle, Nicole
11 Hu, Yijun
11 Li, Shuanming
11 Luo, Shangzhen
11 Thonhauser, Stefan
10 Azcue, Pablo
10 Bai, Lihua
10 Eisenberg, Julia
10 Landriault, David
10 Muler, Nora E.
10 Wang, Guojing
10 Yao, Dingjun
10 Zeng, Yan
10 Zhang, Xin
10 Zhang, Zhimin
10 Zwart, Bert P.
9 Li, Danping
9 Siu, Tak Kuen
8 Bi, Junna
8 Chen, Mi
8 Li, Zhongfei
8 Liu, Guoxin
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 Ragulina, Olena
7 Shen, Yang
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 Psarrakos, Georgios
6 Wang, Wenyuan
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 Li, Jinzhu
5 Lin, X. Sheldon
5 Lin, Xiang
5 Meng, Qingbin
5 Mishura, Yuliya Stepanivna
5 Pellerey, Franco
5 Šiaulys, Jonas
5 Sun, Zhongyang
5 Yang, Yang
5 Zhang, Nan
4 Chen, Ping
4 Chen, Shumin
4 Constantinescu, Corina D.
4 Dębicki, Krzysztof
4 Dieker, A. B.
4 Embrechts, Paul
4 Emms, Paul
4 Feng, Runhuan
4 Gerber, Hans U.
4 Gu, Ailing
4 Guan, Guohui
4 Guo, Xianping
...and 932 more Authors
all top 5

Cited in 151 Serials

228 Insurance Mathematics & Economics
67 Scandinavian Actuarial Journal
49 Journal of Applied Probability
31 Journal of Computational and Applied Mathematics
29 Statistics & Probability Letters
27 Methodology and Computing in Applied Probability
27 North American Actuarial Journal
25 Communications in Statistics. Theory and Methods
25 ASTIN Bulletin
24 Advances in Applied Probability
23 Stochastic Models
22 Journal of Industrial and Management Optimization
21 Acta Mathematicae Applicatae Sinica. English Series
16 European Actuarial Journal
15 Mathematical Methods of Operations Research
14 The Annals of Applied Probability
14 Stochastic Processes and their Applications
11 Applied Stochastic Models in Business and Industry
10 Lithuanian Mathematical Journal
10 Applied Mathematics and Optimization
10 Queueing Systems
10 Journal of Systems Science and Complexity
9 Annals of Operations Research
9 Finance and Stochastics
8 Journal of Mathematical Analysis and Applications
8 Scandinavian Actuarial Journal
8 European Journal of Operational Research
8 Frontiers of Mathematics in China
7 Modern Stochastics. Theory and Applications
6 Applied Mathematics and Computation
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 Acta Mathematica Sinica. English Series
6 The ANZIAM Journal
6 Stochastics
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 Discrete Dynamics in Nature and Society
4 Quantitative Finance
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 Mathematical and Computer Modelling
3 Mathematical Finance
3 Probability in the Engineering and Informational Sciences
3 Asia-Pacific Financial Markets
3 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
3 Mathematical Control and Related Fields
3 Statistics & Risk Modeling
2 The Annals of Probability
2 Journal of Statistical Planning and Inference
2 Kybernetika
2 Mathematics of Operations Research
2 Optimization
2 Probability Theory and Related Fields
2 Science in China. Series A
2 Journal of Applied Mathematics and Stochastic Analysis
2 Aequationes Mathematicae
2 Communications in Statistics. Simulation and Computation
2 Mathematical Methods of Statistics
2 Top
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Chaos
2 Wuhan University Journal of Natural Sciences (WUJNS)
2 International Journal of Theoretical and Applied Finance
2 Decisions in Economics and Finance
2 Bulletin of the Malaysian Mathematical Sciences Society. Second Series
2 Advances in Difference Equations
2 SIAM Journal on Financial Mathematics
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 Journal of Statistical Physics
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
1 Transactions of the American Mathematical Society
1 Optimal Control Applications & Methods
1 Bulletin of the Korean Mathematical Society
...and 51 more Serials

Citations by Year