Former Member

Prof. Dr. Hansjörg Albrecher

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Peer Reviewed Journal Publication
  • Albrecher, Hansjoerg; Constantinescu, Corina; Garrido, Jose; University of Lausanne, Switzerland; Johann Radon Institute for Computational and Applied Mathematics, Austria et al. [..] (2009) Editorial for the special issue on Gerber-Shiu functions. Insurance: Mathematics and Economics, Special issue in Gerber-Shiu functions .
  • Albrecher, Hansjoerg; Constantinescu, Corina; Pirsic, Gottlieb; Regensburger, Georg; Rosenkranz, Markus (2009) An algebraic operator approach to the analysis of Gerber–Shiu functions. Insurance: Mathematics and Economics .
  • Albrecher, H. (2008) Reinsurance. Encyclopedia of Quantitive Finance.
  • H. Albrecher, S.A. Ladoucette, J.L. Teugels (2008) Asymptotics of the sample coefficient of variation and the sample dispersion.
  • H. Albrecher, D. Kortschak (2008) Asymptotic results for the sum of dependent non-identically distributed random variables.
  • H. Albrecher, J.L. Teugels (2008) On Excess-of-Loss Reinsurance. Theory of Probability and Mathematical Statistics, Bd. 79, S. 5-20.
  • H. Albrecher, S. Borst, O. Boxma, J. Resing (2008) The tax identity in risk theory - a simple proof and an extension. Insurance: Mathematics & Economics.
  • H. Albrecher, K. Scheicher, J.L. Teugels (2008) A combinatorial identity for a problem in asymptotic statistics. Applicable Analysis and Discrete Mathematics.
  • H. Albrecher, D. Kortschak (2008) On ruin probability and aggregate claim representations for Pareto claim size distributions.
  • H. Albrecher, C. Hipp, D. Kortschak (2008) Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. Scandinavian Acturarial Journal.
  • S. Kindermann, P. Mayer, H. Albrecher, H. Engl (2008) Identification of the local speed function in a Levy model for option pricing. Journal of Integral Equations and Applications, Bd. 20, S. 161-200.
  • J. Trufin, H. Albrecher, M. Denuit (2008) Ruin problems in the presence of underwriting cycles. submitted.
  • H. Albrecher, A. Badescu, D. Landriault (2008) On the dual risk model with taxation. Insurance: Mathematics & Economics, Bd. 42 (3), S. 1086-1094.
  • H. Albrecher, J. Renaud, X. Zhou (2008) A Levy insurance risk process with tax. Journal of Applied Probability, Bd. 45 (2), S. 363-375.
  • (2008) Optimal dividend strategies for a risk process under force of interest. Insurance: Mathematics & Economics, Bd. 43, S. 134-149.
  • H. Albrecher, P. Mayer, W. Schoutens (2008) General lower bounds for arithmetic Asian option prices. Applied Mathematical Finance, Bd. 15, S. 123-149.
  • H. Albrecher, J. Trufin, M. Denuit (2008) Properties of a risk measure derived from ruin theory.
  • Albrecher, H. (2007) The next step: CDO´s for catastrophe risks. WILMOTT.
  • H. Albrecher, J. Hartinger (2007) Author´s Reply to Discussions of the Paper. North American Actuarial Journal, Bd. 11(4).
  • H. Albrecher, J. Hartinger, S. Thonhauser (2007) Exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model. Astin Bulletin.
  • H. Albrecher, J. Hartinger (2007) A risk model with multi-layer divident strategy. North American Actuarial Journal, Bd. 11 (2), S. 43-64.
  • H. Albrecher, C. Hipp (2007) Lundberg´s risk process with tax. Blätter der DGVFM, Bd. 28 (1), S. 13-28.
  • H. Albrecher, S. Thonauser (2007) Discussion of ``On the Merger of Two Companies''.
  • H. Albrecher, S. Asmussen, D. Kortschak (2006) Tail asymptotics for the sum of two heavy-tailed dependent risks. Extremes, Bd. 9, S. 107-130.
  • H. Albrecher, R. Burkard, E. Cela (2006) An asymptotical study of combinatorial optimization problems by means of statistical mechanics. Journal of Computational and Applied Mathematics, Bd. 186 (1), S. 148-162.
  • H. Albrecher, S. Thonhauser (2006) Discussion of "Optimal Dividends in the Compound Poisson Model". North American Actuarial Journal, Bd. 10(3), S. 68-71.
  • H. Albrecher, S. Thonhauser (2006) Discussion of ``On the Merger of Two Companies''. North American Actuarial Journal, Bd. 11(2), S. 157-159.
  • H. Albrecher, J. Teugels (2006) Exponential behavior in the presence of dependence in risk theory. Journal of Applied Probability, Bd. 43(1), S. 257-273.
  • H. Albrecher, J. Teugels (2006) Asymptotic Analysis of a Measure of Variation. Theory of Probability and Mathematical Statistics, Bd. 74, S. 1-9.
  • H. Albrecher, S. Asmussen (2006) Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Scandinavian Actuarial Journal, Bd. (2), S. 86-110.
  • H. Albrecher, P. Mayer, W. Schoutens, J. Tistaert (2006) The little Heston trap. WILMOTT, Bd. (1), S. 83-92.
  • S. Thonhauser, H. Albrecher (2006) Dividend maximization under consideration of the time value of ruin. Insurance: Mathematics & Economics, Bd. 41, S. 163-184.
  • H. Albrecher, J. Hartinger (2006) On the non-optimality of horizontal barrier strategies in the Sparre Andersen model. Hermis J. Comp. Math. Appl., Bd. 7, S. 1-14.
  • Albrecher, H. (2005) Discussion of 'The Time Value of Ruin in a Sparre Andersen Model'. North American Actuarial Journal, Bd. 9(2), S. 71-74.
  • Albrecher, H. (2005) Some Extensions of the Classical Ruin Model in Risk Theory. Grazer Math. Ber., Bd. 348, S. 1-14.
  • Albrecher, H. (2005) A note on the asymptotic behaviour of bottleneck problems. Operations Research Letters, Bd. 33(2), S. 183-186.
  • Albrecher, H.; Claramunt, M.; Marmol, M. (2005) On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times. Insurance: Mathematics & Economics, Bd. 37(2), S. 324-334.
  • Albrecher, H.; Hartinger, J.; Tichy, R. (2005) On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier. Scandinavian Actuarial Journal, Bd. (2), S. 103-126.
  • Albrecher, H.; Boxma, O. (2005) On the discounted penalty function in a Markov-dependent risk model. Insurance: Mathematics & Economics, Bd. 37(3), S. 650-672.
  • Albrecher, H.; Dhaene, J.; Goovaerts, M.; Schoutens, W. (2005) Static hedging of Asian options under Levy models. Journal of Derivatives, Bd. 12 (3), S. 63-72.

Conference Contribution: Publication in Proceedings
  • H. Albrecher, C. Macci (2008) Large deviation bounds for ruin probability estimators in some risk models with dependence. (4th Int. Workshop on Applied Probability); Compiegne.
  • Albrecher, H.; Asmussen, S.; Rojas-Nandayapa, L. (2005) On the tail behavior of heavy-tailed dependent sums., Proceedings of the Workshop on New Mathematical Methods in Risk Theory, Florence.

Contribution in Collection
  • H. Albrecher, S. Ladoucette, W. Schoutens (2006) A generic one-factor Levy model for pricing synthetic CDOs., Advances in Mathematical Finance; Boston: Birkhaeuser.
  • Albrecher, H.; Schoutens, W. (2005) Static hedging of Asian options under stochastic volatility models using Fast Fourier transform., Exotic Options and Advanced Levy Models: Wiley.

Editorship
  • (2007) Dividend maximization under consideration of the time value of ruin.

Research Report
  • H. Albrecher, S. Thonhauser (2008) Optimal dividend strategies for a risk process under force of interest. Bericht-Nr. 20-2007; Johann Radon Institute for Computational and Applied Mathematics:.
  • Albrecher, Hansjoerg; Constantinescu, Corina; Pirsic, Gottlieb; Regensburger, Georg; Rosenkranz, Markus (2008) An Algebraic Approach to the Analysis of Gerber-Shiu Functions. Bericht-Nr. 2008-33; Johann Radon Institute for Computational and Applied Mathematics: Linz.