Hansjoerg Albrecher

Publications | Phd and Masters theses

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133 publications

In press | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1998 |
 
On market share drivers in the Swiss mandatory health insurance sector
Daily-Amir D., Albrecher H. , Bladt M., Wagner J. Risks. Peer-reviewed.
On marine liability portfolio modeling
Guevara-Alarcon W., Albrecher H., Chowdhury P. ASTIN Bulletin. Peer-reviewed.
 
The single server queue with mixing dependencies
Raaijmakers Y., Albrecher H., Boxma O. Methodology and Computing in Applied Probability. Peer-reviewed.
 
Flood occurrence change-point analysis in the paleoflood record from Lake Mondsee (NE Alps)
Albrecher H., Bladt M., Kortschak D., Prettenthaler F., Swierczynski T., 2019. Global and Planetary Change, 178 pp. 65-76. Peer-reviewed.
Inhomogeneous phase-type distributions and heavy tails
Albrecher Hansjoerg, Bladt Mogens, 2019. Journal of Applied Probability, 56 (4). Peer-reviewed.
Insurance: Models, Digitalization, and Data Science
Albrecher H., Bommier A., Filipovic D., Koch P., Loisel S., Schmeiser H., 2019. European Actuarial Journal, 9 (2) pp. 349-360. Peer-reviewed.
On randomized reinsurance contracts
Albrecher H., Cani A., 2019. Insurance: Mathematics & Economics, 84 pp. 67-78. Peer-reviewed.
Ruin probability approximations in Sparre Andersen models with completely monotone claims
Albrecher H., Vatamidou E., 2019. Risks, 7 (4) pp. 104-117. Peer-reviewed.
Asset-liability management for long-term insurance business
Albrecher H., Bauer D., Embrechts P., Filipović D., Koch-Medina P., Korn R., Loisel S., Pelsser A., Schiller F., Schmeiser H. et al., 2018/06. European Actuarial Journal, 8 (1) pp. 9-25. Peer-reviewed.
 
Dividends: From Refracting to Ratcheting
Albrecher H., Bäuerle N., Bladt M., 2018. Insurance: Mathematics and Economics, 83 pp. 47-58. Peer-reviewed.
Linking dividends and capital injections – a probabilistic approach
Albrecher H., Ivanovs J., 2018. Scandinavian Actuarial Journal 1 pp. 76-83. Peer-reviewed.
 
Reinsurance : Actuarial and Statistical Aspects
Albrecher H., Beirlant J., Teugels J.L., 2017/09/20., John Wiley & Sons, Ltd.
On flood risk pooling in Europe
Prettenthaler F., Albrecher H., Asadi P., Köberl J., 2017/08. Natural Hazards, 88 (1) pp. 1-20. Peer-reviewed.
Optimal dividend strategies for two collaborating insurance companies
Albrecher H., Azcue P., Muler N., 2017/06. Advances in Applied Probability, 49 (02) pp. 515-548. Peer-reviewed.
A queueing model with randomized depletion of inventory
Albrecher H., Boxma O.J., Essifi R., Kuijstermans R., 2017. Probability in the Engineering and Informational Sciences, 31 (1) pp. 43-59. Peer-reviewed.
 
On Effects of Asymmetric Information on Non-Life Insurance Prices under Competition
Albrecher H., Daily-Amir D., 2017. International Journal of Data Analysis Techniques and Strategies, 9 (4) pp. 287-299. Peer-reviewed.
On the joint distribution of tax payments and capital injections for a Lévy risk model
Albrecher H., Ivanovs J., 2017. Probability and Mathematical Statistics, 37 (2) pp. 219-227. Peer-reviewed.
Risk Theory with Affine Dividend Payment Strategies
Albrecher H., Cani A., 2017. pp. 25-60 dans Elsholtz C., Grabner P. (eds.) Number Theory – Diophantine Problems, Uniform Distribution and Applications, Springer International Publishing.
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
Albrecher H., Ivanovs J., 2017. Stochastic Processes and their Applications, 127 (2) pp. 643-656. Peer-reviewed.
Exit identities for Levy processes observed at Poisson arrival times
Albrecher H., Ivanovs J., Zhou X., 2016/08. Bernoulli, 22 (3) pp. 1364-1382. Peer-reviewed.
 
Asymmetric Information and Insurance
Albrecher H., 2016. pp. 12-15 dans Cahiers de l'Institut Louis Bachélier. Peer-reviewed.
Old-age provision: past, present, future
Albrecher H., Embrechts P., Filipovic D., Harrison G., Koch P., Loisel S., Vanini P., Wagner J., 2016. European Actuarial Journal, 6 (2) pp. 287-306. Peer-reviewed.
 
Simple Identities for Randomized Observations in Risk Theory
Albrecher H., 2016. pp. 11-13 dans The Mathematics and Statistics of Quantitative Risk Management, Oberwolfach Report.
 
The impact factor of IME (Editorial)
Kaas R., Gerber H., Goovaerts M., Shiu E., Albrecher H., 2015/05. Insurance: Mathematics and Economics, 62 pp. 1-4. Peer-reviewed.
Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement
Albrecher H., Lautscham V., 2015. Anales del Instituto de Actuarios Espanoles 21 pp. 1-30. Peer-reviewed.
 
On competitive non-life insurance pricing under incomplete information
Albrecher H., Daily-Amir D., 2015. pp. 41-48 dans Guillen M. (eds.) Current Topics on Risk Analysis: ICRA 6 and Risk 2015 Conference. Peer-reviewed.
On simple ruin expressions in dependent Sparre Andersen risk models
Albrecher H., Boxma O.J., Ivanovs J., 2014/03. Journal of Applied Probability, 51 (1) pp. 293-296. Peer-reviewed.
Exact boundaries in sequential testing for phase-type distributions
Albrecher H., Asadi P., Ivanovs J., 2014. Journal of Applied Probability, 51A pp. 347-358. Peer-reviewed.
Joint asymptotic distributions of smallest and largest insurance claims
Albrecher H., Robert C.Y., Teugels J.L., 2014. Risks, 2 (3) pp. 289-314. Peer-reviewed.
Power identities for Lévy risk models under taxation and capital injections
Albrecher H., Ivanovs J., 2014. Stochastic Systems, 4 (1) pp. 157-172. Peer-reviewed.
The tax identity for Markov additive risk processes
Albrecher H., Avram F., Constantinescu C., Ivanovs J., 2014. Methodology and Computing in Applied Probability, 16 (1) pp. 245-258. Peer-reviewed.
Competition among non-life insurers under solvency constraints: a game-theoretic approach
Dutang C., Albrecher H., Loisel S., 2013/12. European Journal of Operational Research, 231 (3) pp. 702-711. Peer-reviewed.
A risk model with an observer in a Markov environment
Albrecher H., Ivanovs J., 2013/11. Risks, 1 (3) pp. 148-161. Peer-reviewed.
Randomized observation times for the compound Poisson risk model: The discounted penalty function
Albrecher H., Cheung E.C.K., Thonhauser S., 2013/11. Scandinavian Actuarial Journal 6 pp. 424-452. Peer-reviewed.
Implied liquidity: model sensitivity
Albrecher H., Guillaume F., Schoutens W., 2013/09. Journal of Empirical Finance, 23 pp. 48-67. Peer-reviewed.
Equalization Reserves for Natural Catastrophes and Shareholder Value: a Simulation Study
Dacorogna M., Albrecher H., Moller M., Sahiti S., 2013/07. European Actuarial Journal, 3 (1) pp. 1-21. Peer-reviewed.
From ruin to bankruptcy for compound Poisson surplus processes
Albrecher H., Lautscham V., 2013/05. ASTIN Bulletin, 43 (2) pp. 213-243. Peer-reviewed.
Exact and asymptotic results for insurance risk models with surplus-dependent premiums
Albrecher H., Constantinescu C., Palmowski Z., Regensburger M., Rosenkranz M., 2013. SIAM Journal of Applied Mathematics, 73 (1) pp. 47-66. Peer-reviewed.
 
Introduction to Quantitative Methods for Financial Markets
Albrecher H., Binder A., Lautscham V., Mayer P., 2013. 191, Birkhaeuser.
Asymptotic results for renewal risk models with risky investments
Albrecher H., Constantinescu C., Thomann E., 2012/11. Stochastic Processes And Their Applications, 122 (11) pp. 3767-3789. Peer-reviewed.
Tail asymptotics for dependent subexponential differences
Albrecher H., Asmussen S., Kortschak D., 2012/11. Siberian Mathematical Journal, 53 (6) pp. 965-983. Peer-reviewed.
 
Risk and insurability of storm damages to residential buildings in Austria
Prettenthaler F., Albrecher H., Köberl J., Kortschak D., 2012/04. The Geneva Papers on Risk and Insurance - Issues and Practice, 37 (2) pp. 340-364. Peer-reviewed.
 
A relaxed ruin condition in insurance
Albrecher H., 2012. p. 11 dans The Mathematics and Statistics of Quantitative Risk Management, Oberwolfach Report 7.
On optimal dividend strategies in insurance with a random time horizon
Albrecher H., Thonhauser S., 2012. pp. 157-180 dans Stochastic processes, finance and control. Festschrift for Robert Elliott., World Scientific.
 
Pricing of Parisian options for a jump-diffusion model with two-sided jumps
Albrecher H., Kortschak D., Zhou X., 2012. Applied Mathematical Finance, 19 (2) pp. 97-129. Peer-reviewed.
 
Sturmschäden: Modellierung der versicherten Schäden in Österreich
Prettenthaler F., Albrecher H. (eds.), 2012. Studien zum Klimawandel in Österreich, 8, Verlag der Österreichischen Akademie der Wissenschaften.
A note on moments of dividends
Albrecher H., Gerber H. U., 2011. Acta Mathematica Applicatae Sinica, 27 (3) pp. 353-354. Peer-reviewed.
Explicit ruin formulas for models with dependence among risks
Albrecher H., Constantinescu C., Loisel S., 2011. Insurance: Mathematics & Economics, 48 (2) pp. 265-270. Peer-reviewed.
Optimal dividend payout in random discrete time
Albrecher H., Baeuerle N., Thonhauser S., 2011. Statistics and Risk Modeling, 28 (3) pp. 251-276. Peer-reviewed.
Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility
Thonhauser S., Albrecher H., 2011. Stochastic Models, 27 (1) pp. 120-140. Peer-reviewed.
Properties of a risk measure derived from ruin theory
Trufin J., Albrecher H., Denuit M., 2011. The Geneva Risk and Insurance Review, 36 (2) pp. 174-188. Peer-reviewed.
Randomized observation periods for the compound Poisson risk model: Dividends
Albrecher H., Cheung E. C. K., Thonhauser S., 2011. ASTIN Bulletin, 41 (2) pp. 645-672. Peer-reviewed.
Ruin excursions, the G/G/Infinity queue and tax payments in renewal risk models
Albrecher H., Borst S., Boxma O., Resing J., 2011. Journal of Applied Probability, 48A pp. 3-14. Peer-reviewed.
Ruin problems under IBNR Dynamics
Trufin J., Albrecher H., Denuit M., 2011. Applied Stochastic Models in Business and Industry, 27 (6) pp. 619-632. Peer-reviewed.
Ruin Theory with Excess of Loss Reinsurance and Reinstatements
Albrecher H., Haas S., 2011. Applied Mathematics and Computation, 217 (20) pp. 8031-8043. Peer-reviewed.
The optimal dividend barrier in the Gamma-Omega model
Albrecher H., Gerber H., Shiu E., 2011. European Actuarial Journal, 1 (1) pp. 43-55. Peer-reviewed.
A direct approach to the discounted penalty function
Albrecher H., Gerber H.U., Yang H., 2010. North American Actuarial Journal, 14 (4) pp. 420-434. Peer-reviewed.
 
A numerical approach to ruin models with excess of loss reinsurance and reinstatements
Albrecher H., Haas S., 2010. pp. 135-144 dans Proceedings of COMPSTAT 2010. Peer-reviewed, Physica-Verlag HD.
An algebraic operator approach to the analysis of Gerber-Shiu functions
Albrecher H., Constantinescu C., Pirsic G., Regensburger G., Rosenkranz M., 2010. Insurance: Mathematics & Economics, 46 (1) pp. 42-51. Peer-reviewed.
An asymptotic expansion for the tail of compound sums of Burr distributed random variables
Kortschak D., Albrecher H., 2010. Statistics and Probability Letters, 80 (7-8) pp. 612-620. Peer-reviewed.
Asymptotics of the Sample Coefficient of Variation and the Sample Dispersion
Albrecher H., Ladoucette S., Teugels J., 2010. Journal of Statistical Planning and Inference, 140 (2) pp. 358-368. Peer-reviewed.
 
Editorial on the Special Issue on Gerber-Shiu Functions
Albrecher H., Constantinescu C., Garrido J., 2010. Insurance: Mathematics & Economics, 46 (1) pp. 1-2.
Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
Albrecher H., Hipp C., Kortschak D., 2010. Scandinavian Actuarial Journal 2 pp. 105-135. Peer-reviewed.
On the efficient evaluation of ruin probabilities for completely monotone claim size distributions
Albrecher H., Avram F., Kortschak D., 2010. Journal of Computational and Applied Mathematics, 233 (10) pp. 2724-2736. Peer-reviewed.
 
Reinsurance
Albrecher H., 2010. pp. 1539-1543 dans Encyclopedia of Quantitative Finance, Wiley.
 
Reply to discussions on "A direct approach to the discounted penalty function"
Albrecher H., Gerber H., Yang H., 2010. North American Actuarial Journal, 14 (4) pp. 445-447. Peer-reviewed.
 
Ruin probabilities
Asmussen S. , Albrecher H., 2010., Second Edition Advanced Series on Statistical Science & Applied Probability, 14 602, World Scientific.
 
Semi-static hedging strategies for exotic options
Albrecher H., Mayer P., 2010. pp. 345-373 dans Kiesel R., Scherer M., Zagst R. (eds.) Alternative Investments and Strategies chap. 14, World Scientific.
 
A combinatorial identity for a problem in asymptotic statistics
Albrecher H., Scheicher K., Teugels J. L., 2009. Applicable Analysis and Discrete Mathematics, 3 (1) pp. 64-68. Peer-reviewed.
 
Advanced Financial Modelling
Albrecher H., Runggaldier W., Schachermayer W. (eds.), 2009. Radon Series of Computational and Applied Mathematics 453, de Gruyter.
 
Anreiztheoretische Analyse des NATKAT-Modells für Österreich
Prettenthaler F., Albrecher H., Kortschak D., 2009. pp. 105-114 dans Hochwasser und dessen Versicherung in Österreich, Verlag der Österreichischen Akademie der Wissenschaften.
Asymptotic results for the sum of dependent non-identically distributed random variables
Kortschak D., Albrecher H., 2009. Methodology and Computing in Applied Probability, 11 (3) pp. 279-306. Peer-reviewed.
 
Einführung in die Finanzmathematik
Albrecher H., Binder A., Mayer P., 2009. Mathematik Kompakt 166, Birkhäuser.
 
Hochwasser und dessen Versicherung in Österreich
Prettenthaler F., Albrecher H. (eds.), 2009. Studien zum Klimawandel in Österreich 127, Verlag der Österreichischen Akademie der Wissenschaften.
 
Impact of underwriting cycles on the solvency of an insurance company
Trufin J., Albrecher H., Denuit M., 2009. North American Actuarial Journal, 13 (3) pp. 385-403. Peer-reviewed.
On ruin probability and aggregate claim representations for Pareto claim size distributions
Albrecher H., Kortschak D., 2009. Insurance: Mathematics and Economics, 45 (3) pp. 362-373. Peer-reviewed.
On the non-optimality of proportional reinsurance according to the dividend criterion
Albrecher H., Gerber H.U., 2009. Bulletin of the Swiss Association of Actuaries 1 pp. 94-95. Peer-reviewed.
Optimality Results for Dividend Problems in Insurance
Albrecher H., Thonhauser S., 2009. RACSAM - Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas, 103 (2) pp. 295-320. Peer-reviewed.
 
Quantitativer Nachvollzug des NATKAT-Modells fuer Oesterreich
Albrecher H., Kortschak D., 2009. pp. 77-90 dans Hochwasser und dessen Versicherung in Österreich, Verlag der Österreichischen Akademie der Wissenschaften.
 
The tax identity in risk theory - a simple proof and an extension
Albrecher H., Borst S., Boxma O., Resing J., 2009. Insurance: Mathematics and Economics, 44 (2) pp. 304-306. Peer-reviewed.
A Levy insurance risk process with tax
Albrecher H., Renaud J., Zhou X., 2008. Journal of Applied Probability, 45 (2) pp. 363-375. Peer-reviewed.
 
Asymptotic expansion of the ruin probability for Pareto claim size distributions
Albrecher H., Kortschak D., 2008. dans Proceedings of the Fourth Int. Workshop on Applied Probability, Compagniegne. Peer-reviewed.
General lower bounds for arithmetic Asian option prices
Albrecher H., Mayer P., Schoutens W., 2008. Applied Mathematical Finance, 15 (2) pp. 123-149. Peer-reviewed.
Identification of the local speed function in a Levy model for option pricing
Kindermann S., Mayer P., Albrecher H., Engl H., 2008. Journal of Integral Equations and Applications, 20 (2) pp. 161-200. Peer-reviewed.
 
Large deviation bounds for ruin probability estimators in some risk models with dependence
Albrecher H., Macci C., 2008. dans Proceedings of the Fourth Int. Workshop on Applied Probability, Compiegne. Peer-reviewed.
 
On Excess-of-Loss Reinsurance
Albrecher H., Teugels J. L., 2008. Theory of Probability and Mathematical Statistics 79 pp. 7-22. Peer-reviewed.
 
On the dual risk model with tax payments
Albrecher H., Badescu A., Landriault D., 2008. Insurance: Mathematics & Economics, 42 (3) pp. 1086-1094. Peer-reviewed.
Optimal dividend strategies for a risk process under force of interest
Albrecher H., Thonhauser S., 2008. Insurance: Mathematics and Economics, 43 (1) pp. 134-149. Peer-reviewed.
A generic one-factor Levy model for pricing synthetic CDOs
Albrecher H., Ladoucette S. A., Schoutens W., 2007. pp. 259-278 dans Fu M., Jarrow R., Yen J., Elliott R. J. (eds.) Advances in Mathematical Finance, Birkhäuser.
A risk model with multilayer dividend strategy
Albrecher H., Hartinger J., 2007. North American Actuarial Journal, 11 (2) pp. 43-64. Peer-reviewed.
Asymptotic Analysis of a Measure of Variation
Albrecher H., Teugels J. L., 2007. Theory of Probability and Mathematical Statistics, 74 pp. 1-10. Peer-reviewed.
 
Discussion of ''On the Merger of Two Companies'' by H. Gerber and E. Shiu
Albrecher H., Thonhauser S., 2007. North American Actuarial Journal, 11 (2) pp. 157-159.
Dividend maximization under consideration of the time value of ruin
Thonhauser S., Albrecher H., 2007. Insurance: Mathematics and Economics, 41 (1) pp. 163-184. Peer-reviewed.
Lundberg's risk process with tax
Albrecher H., Hipp C., 2007. Blätter der DGVFM, 28 (1) pp. 13-28. Peer-reviewed.
On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model
Albrecher H., Hartinger J., Thonhauser S., 2007. ASTIN Bulletin, 37 (2) pp. 203-233. Peer-reviewed.
 
Reply to discussions on "A risk model with multilayer dividend strategy"
Albrecher H., Hartinger J., 2007. North American Actuarial Journal, 11 (4) pp. 141-142.
 
Robert F.Tichy: 50 years - The unreasonable effectiveness of a number theorist
Albrecher H., Drmota M., Goldstern M., Grabner P., Winkler R., 2007. Uniform Distribution Theory, 2 (1) pp. 151-160.
The little Heston trap
Albrecher H., Mayer P., Schoutens W., Tistaert J., 2007. WILMOTT 1 pp. 83-92. Peer-reviewed.
 
The next step : collateralized debt obligations for catastrophe risks
Albrecher H., 2007. WILMOTT, 6 pp. 16-18.
An asymptotical study of combinatorial optimization problems by means of statistical mechanics
Albrecher H., Burkard R. E., Cela E., 2006. Journal of Computational and Applied Mathematics, 186 (1) pp. 148-162. Peer-reviewed.
 
Discussion of ''On Optimal Dividend Strategies in the Compound Poisson Model'' by H. Gerber and E. Shiu
Albrecher H., Thonhauser S., 2006. North American Actuarial Journal, 10 (3) pp. 68-71. Peer-reviewed.
Exponential behavior in the presence of dependence in risk theory
Albrecher H., Teugels J. L., 2006. Journal of Applied Probability, 43 (1) pp. 257-273. Peer-reviewed.
On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
Albrecher H., Hartinger J., 2006. Hermis J. Comp. Math. Appl., 7 pp. 109-122. Peer-reviewed.
Ruin probabilities and aggregate claims distributions for shot noise Cox processes
Albrecher H., Asmussen S., 2006. Scandinavian Actuarial Journal 2 pp. 86-110. Peer-reviewed.
 
Simulation with comonotonic estimators
Albrecher H., Vyncke D., 2006. dans Proceedings of the 2nd Conference on Actuarial and Financial Mathematics.
Tail asymptotics for the sum of two heavy-tailed dependent risks
Albrecher H., Asmussen S., Kortschak D., 2006. Extremes, 9 (2) pp. 107-130. Peer-reviewed.
A note on the asymptotic behaviour of bottleneck problems
Albrecher H., 2005. Operations Research Letters, 33 (2) pp. 183-186. Peer-reviewed.
 
Discussion of ''The Time Value of Ruin in a Sparre Andersen Model'' by H. Gerber and E. Shiu
Albrecher H., 2005. North American Actuarial Journal, 9 (2) pp. 71-73. Peer-reviewed.
On the discounted penalty function in a Markov-dependent risk model
Albrecher H., Boxma O., 2005. Insurance: Mathematics and Economics, 37 (3) pp. 650-672. Peer-reviewed.
On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
Albrecher H., Hartinger J., Tichy R., 2005. Scandinavian Actuarial Journal 2 pp. 103-126. Peer-reviewed.
On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times
Albrecher H., Claramunt M., Marmol M., 2005. Insurance: Mathematics and Economics, 37 (2) pp. 324-334. Peer-reviewed.
 
On the tail behavior of heavy-tailed dependent sums
Albrecher H., Rojas-Nandayapa L., Asmussen S., 2005. dans Proceedings of the Int. Workshop on Risk Theory, Florence.
 
Some Extensions of the Classical Ruin Model in Risk Theory
Albrecher H., 2005. Grazer Mathematische Berichte, 348 pp. 1-14. Peer-reviewed.
Static hedging of Asian options under Levy models
Albrecher H., Dhaene J., Goovaerts M., Schoutens W., 2005. Journal of Derivatives, 12 (3) pp. 63-72. Peer-reviewed.
 
Static hedging of Asian options under stochastic volatility models using Fast Fourier transform
Albrecher H., Schoutens W., 2005. pp. 129-148 dans Kyprianou A., Schoutens W., Wilmott P. (eds.) Exotic Options and Advanced Levy Models, Wiley.
A ruin model with dependence between claim sizes and claim intervals
Albrecher H., Boxma O., 2004. Insurance: Mathematics and Economics, 35 (2) pp. 245-254. Peer-reviewed.
 
Discussion of ''Optimal Dividends: Analysis with Brownian Motion'' by A. C. Cebrián, H. Gerber and E. Shiu
Albrecher H., 2004. North American Actuarial Journal, 8 (2) pp. 111-113. Peer-reviewed.
 
Markov Models in Actuarial Science
Albrecher H., 2004. pp. 1094-1096 dans Encyclopedia of Actuarial Science, Wiley, Chichester.
 
On Asian option pricing for NIG Levy processes
Albrecher H., Predota M., 2004. Journal of Computational and Applied Mathematics, 172 (1) pp. 153-168. Peer-reviewed.
 
Operational Time
Albrecher H., 2004. pp. 1207-1208 dans Encyclopedia of Actuarial Science, Wiley, Chichester.
Quasi-Monte Carlo techniques for CAT bond pricing
Albrecher H., Hartinger J., Tichy R., 2004. Monte Carlo Methods and Applications, 10 (3-4) pp. 197-211. Peer-reviewed.
The Valuation of Asian Options for Market Models of Exponential Levy Type
Albrecher H., 2004. pp. 11-20 dans Proceedings of the 2nd Actuarial and Financial Mathematics Day. Peer-reviewed, Royal Flemish Academy of Belgium for Arts and Sciences, Brussels.
Multivariate approximation methods for the pricing of catastrophe-linked bonds
Albrecher H., Hartinger J., Tichy R., 2003. pp. 21-39 dans Modern Developments in Multivariate Approximation: 5th International Conference, Witten-Bommerholz (Germany), September 2002 , International Series of Numerical Mathematics. Peer-reviewed, Birkhäuser.
 
Simulation methods in ruin models with non-linear dividend barriers
Albrecher H., Kainhofer R., Tichy R., 2003. Math. Comput. Simulation, 62 (3-6) pp. 277-287. Peer-reviewed.
Bounds and approximations for discrete Asian options in a variance-gamma model
Albrecher H., Predota M., 2002. Grazer Mathematische Berichte, 345 pp. 35-57. Peer-reviewed.
Efficient simulation techniques for a generalized ruin model
Albrecher H., Kainhofer R., Tichy R., 2002. Grazer Mathematische Berichte, 345 pp. 79-110. Peer-reviewed.
Metric distribution results for sequences (qna)
Albrecher H., 2002. Mathematica Slovaca, 52 (2) pp. 195-206. Peer-reviewed.
Risk theory with a non-linear dividend barrier
Albrecher H., Kainhofer R., 2002. Computing, 68 (4) pp. 289-311. Peer-reviewed.
Simulation of ruin probabilities for risk processes of Markovian type
Albrecher H., Kantor J., 2002. Monte Carlo Methods and Applications, 8 (2) pp. 111-127. Peer-reviewed.
On a gamma series expansion for the time-dependent probability of collective ruin
Albrecher H., Teugels J., Tichy R., 2001. Insurance: Mathematics and Economics, 29 (3) pp. 345-355. Peer-reviewed.
Discrepancy of point sequences on fractal sets
Albrecher H., Matousek J., Tichy R., 2000. Publicationes Mathematicae Debrecen, 56 (3-4) pp. 233-249. Peer-reviewed.
Zur Konvergenz eines Lösungsverfahrens für ein Risikomodell mit gammaverteilten Schäden
Albrecher H., Tichy R., 2000. ASA Bulletin 2 pp. 115-127. Peer-reviewed.
 
Dependent Risks and Ruin Probabilities in Insurance
Albrecher H., 1998., IIASA IR-98-072.
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