Hansjörg Albrecher

Publication Activity (10 Years)

Years Active: 2002-2022
Publications (10 Years): 8

Top Topics

Top Venues

J. Appl. Probab.

SIAM J. Financial Math.

Publications

Hansjörg Albrecher, Pablo Azcue, Nora Muler
Optimal Ratcheting of Dividends in a Brownian Risk Model. SIAM J. Financial Math. 13 (3) (2022)
Hansjörg Albrecher, Pierre-Olivier Goffard
On the Profitability of Selfish Blockchain Mining Under Consideration of Ruin. Oper. Res. 70 (1) (2022)
Hansjörg Albrecher, Dina Finger, Pierre-Olivier Goffard
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin. CoRR (2021)
Hansjörg Albrecher, Bohan Chen, Eleni Vatamidou, Bert Zwart
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. J. Appl. Probab. 57 (2) (2020)
Hansjörg Albrecher, Pierre-Olivier Goffard
On the profitability of selfish blockchain mining under consideration of ruin. CoRR (2020)
Hansjörg Albrecher, Pablo Azcue, Nora Muler
Optimal Ratcheting of Dividends in Insurance. SIAM J. Control. Optim. 58 (4) (2020)
Hansjörg Albrecher, Mogens Bladt
Inhomogeneous phase-type distributions and heavy tails. J. Appl. Probab. 56 (4) (2019)
Hansjörg Albrecher, Daily-Amir Dalit
On effects of asymmetric information on non-life insurance prices under competition. Int. J. Data Anal. Tech. Strateg. 9 (4) (2017)
Hansjörg Albrecher, Onno J. Boxma, Jevgenijs Ivanovs
On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models. J. Appl. Probab. 51 (1) (2014)
Hansjörg Albrecher, Peiman Asadi, Jevgenijs Ivanovs
Exact boundaries in sequential testing for phase-type distributions. J. Appl. Probab. 51 (A) (2014)
Christophe Dutang, Hansjörg Albrecher, Stéphane Loisel
Competition among non-life insurers under solvency constraints: A game-theoretic approach. Eur. J. Oper. Res. 231 (3) (2013)
Hansjörg Albrecher, Corina Constantinescu, Zbigniew Palmowski, Georg Regensburger, Markus Rosenkranz
Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums. SIAM J. Appl. Math. 73 (1) (2013)
Hansjörg Albrecher, Sandra Haas
Ruin theory with excess of loss reinsurance and reinstatements. Appl. Math. Comput. 217 (20) (2011)
Hansjörg Albrecher, Sandra Haas
A Numerical Approach to Ruin Models with Excess of Loss Reinsurance and Reinstatements. COMPSTAT (2010)
Hansjörg Albrecher, Florin Avram, Dominik Kortschak
On the efficient evaluation of ruin probabilities for completely monotone claim distributions. J. Comput. Appl. Math. 233 (10) (2010)
Hansjörg Albrecher
A note on the asymptotic behaviour of bottleneck problems. Oper. Res. Lett. 33 (2) (2005)
Hansjörg Albrecher, Jürgen Hartinger, Robert F. Tichy
QMC techniques for CAT bond pricing. Monte Carlo Methods Appl. 10 (3-4) (2004)
Hansjörg Albrecher, Reinhold Kainhofer, Robert F. Tichy
Simulation methods in ruin models with non-linear dividend barriers. Math. Comput. Simul. 62 (3-6) (2003)
Hansjörg Albrecher, Reinhold Kainhofer
Risk Theory with a nonlinear Dividend Barrier. Computing 68 (4) (2002)
Hansjörg Albrecher, Josef Kantor
Simulation of ruin probabilities for risk processes of Markovian type. Monte Carlo Methods Appl. 8 (2) (2002)