Albrecher Hansjörg

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Stefan ThonhauserGraz University of TechnologyVerified email at tugraz.at
Søren AsmussenProfessor at Department of Mathematics, Aarhus UniversityVerified email at imf.au.dk
Dominik KortschakJOANNEUM RESEARCHVerified email at joanneum.at
Wim SchoutensVerified email at kuleuven.be
Martin BladtAssociate Professor at University of CopenhagenVerified email at math.ku.dk
Onno BoxmaProfessor of Stochastic Operations Research. Eindhoven University of TechnologyVerified email at tue.nl
Andreas BinderManaging Director, MathConsult GmbHVerified email at mathconsult.co.at
Jan BeirlantKU LeuvenVerified email at wis.kuleuven.be
Robert TichyProfessor of Mathematics, Graz University of TechnologyVerified email at tugraz.at
Jevgenijs IvanovsArhus UniversityVerified email at math.au.dk
Stéphane LoiselProfesseur des universités, ISFA, Université lyon 1Verified email at univ-lyon1.fr
Corina D. ConstantinescuProfessor of Actuarial Mathematics, University of LiverpoolVerified email at liv.ac.uk
Pablo AzcueProfessor of Mathematics, Universidad Torcuato Di TellaVerified email at utdt.edu
Nora MulerProfessor of Mathematics Universidad Torcuato di TellaVerified email at utdt.edu
Hans-Ulrich GerberDepartment of Actuarial Science, Faculty of Business and Economics (HEC), University of LausanneVerified email at unil.ch
Franz PrettenthalerDirektor, Joanneum Research - LIFEVerified email at joanneum.at
Eric C.K. CheungUniversity of New South WalesVerified email at unsw.edu.au
Julien TrufinProfessor of actuarial science at ULBVerified email at ulb.ac.be
Damir FilipovicEPFL, Swiss Finance InstituteVerified email at epfl.ch
Jacques ResingEindhoven University of technologyVerified email at tue.nl

Albrecher Hansjörg

Professor of Actuarial Science, Faculty of Business and Economics (HEC), University of Lausanne

Verified email at unil.ch - Homepage

Actuarial Mathematics Applied Probability Actuarial Science Insurance Mathematics Risk Theory


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Ruin probabilities S Asmussen, H Albrecher World Scientific Publishing Company Incorporated, 2010	3075	2010
The little Heston trap H Albrecher, P Mayer, W Schoutens, J Tistaert WILMOTT 6, 83-92, 2007	391	2007
Reinsurance: Actuarial and Statistical Aspects H Albrecher, J Beirlant, J Teugels John Wiley & Sons, 2017	287	2017
A ruin model with dependence between claim sizes and claim intervals H Albrecher, OJ Boxma Insurance: Mathematics and Economics 35 (2), 245-254, 2004	241	2004
Optimality results for dividend problems in insurance H Albrecher, S Thonhauser Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie …, 2009	238	2009
Exponential behavior in the presence of dependence in risk theory H Albrecher, JL Teugels Journal of Applied Probability 43 (1), 257-273, 2006	235	2006
On the discounted penalty function in a Markov-dependent risk model H Albrecher, OJ Boxma Insurance: Mathematics and Economics 37 (3), 650-672, 2005	154	2005
Randomized observation periods for the compound Poisson risk model: Dividends H Albrecher, ECK Cheung, S Thonhauser Astin Bulletin 41 (2), 645-672, 2011	144	2011
Explicit ruin formulas for models with dependence among risks H Albrecher, C Constantinescu, S Loisel Insurance: Mathematics and Economics 48 (2), 265-270, 2011	138	2011
A generic one-factor Lévy model for pricing synthetic CDOs H Albrecher, S Ladoucette, W Schoutens Advances in mathematical finance, 259-277, 2007	129*	2007
Lundberg’s risk process with tax H Albrecher, C Hipp Blätter der DGVFM 28 (1), 13-28, 2007	121	2007
Dividend maximization under consideration of the time value of ruin S Thonhauser, H Albrecher Insurance: Mathematics and Economics 41 (1), 163-184, 2007	115	2007
Exit identities for Levy processes observed at Poisson arrival times H Albrecher, J Ivanovs, X Zhou Bernoulli 22 (3), 1364-1382, 2016	114	2016
On the dual risk model with tax payments H Albrecher, A Badescu, D Landriault Insurance: Mathematics and Economics 42 (3), 1086-1094, 2008	112	2008
On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang (n) interclaim times H Albrecher, MM Claramunt, M Marmol Insurance: Mathematics and Economics 37 (2), 324-334, 2005	112	2005
A Lévy insurance risk process with tax H Albrecher, JF Renaud, X Zhou Journal of Applied Probability 45 (2), 363-375, 2008	111	2008
Tail asymptotics for the sum of two heavy-tailed dependent risks H Albrecher, S Asmussen, D Kortschak Extremes 9 (2), 107-130, 2006	109	2006
Ruin probabilities and aggregrate claims distributions for shot noise Cox processes H Albrecher, S Asmussen Scandinavian Actuarial Journal 2006 (2), 86-110, 2006	108	2006
Risk theory with a nonlinear dividend barrier H Albrecher, R Kainhofer Computing 68 (4), 289-311, 2002	108	2002
Randomized observation periods for the compound Poisson risk model: the discounted penalty function H Albrecher, ECK Cheung, S Thonhauser Scandinavian Actuarial Journal, 424-452, 2013	107	2013

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