Hansjörg Albrecher

Priv.-Doz. Dipl.-Ing. Dr.techn. Prof.

19942013
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Dividend Mathematics
Insurance Engineering & Materials Science
Compound Poisson Mathematics
Risk Theory Mathematics
Compound Poisson Process Mathematics
Shareholders Engineering & Materials Science
Transaction Costs Mathematics
Discrete-time Mathematics

Research Output 1998 2013

Randomized observation periods for the compound Poisson risk model: the discounted penalty function

Albrecher, H., Cheung, E. C. K. & Thonhauser, S., 1 Nov 2013, In : Scandinavian Actuarial Journal. 6, p. 424-452 29 p.

Research output: Contribution to journalArticleResearchpeer-review

Compound Poisson
Penalty Function
Risk Theory
Approximation Scheme
Continuous Time

Optimal dividend-payout in random discrete time

Albrecher, H., Thonhauser, S. & Bäuerle, N., 1 Jan 2011, In : Statistics & Risk Modeling. 28, 3, p. 251-276 26 p.

Research output: Contribution to journalArticleResearchpeer-review

Shareholders
Dividend
Insurance
Discrete-time
Renewal Process

Optimal dividend strategies for a compound poisson process under transaction costs and power utility

Thonhauser, S. & Albrecher, H., 1 Jan 2011, In : Stochastic Models. 27, 1, p. 120-140 21 p.

Research output: Contribution to journalArticleResearchpeer-review

Compound Poisson Process
Transaction Costs
Dividend
Insurance
Impulse Control

Randomized observation periods for the compound Poisson risk model: Dividends

Albrecher, H., Cheung, E. C. K. & Thonhauser, S., 1 Dec 2011, In : ASTIN Bulletin. 41, 2, p. 645-672 28 p.

Research output: Contribution to journalArticleResearchpeer-review

Risk model
Compound Poisson
Dividends
Ruin
Compound Poisson process

Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables

Kortschak, D. & Albrecher, H., 2009, In : Methodology and computing in applied probability. 11, 3, p. 279-306

Research output: Contribution to journalArticleResearchpeer-review

Activities 1997 2008

  • 45 Talk at conference or symposium
  • 21 Talk at workshop, seminar or course
  • 6 Invited talk
  • 1 Public lecture or debate

Invited Lecture Series

Hansjörg Albrecher (Speaker)
28 Apr 200830 Apr 2008

Activity: Talk or presentationTalk at conference or symposiumScience to science

Int. Workshop on Evaluating and Covering Extreme Risks, University of Paris-Dauphine

Hansjörg Albrecher (Keynote speaker)
10 Jun 2008

Activity: Talk or presentationTalk at workshop, seminar or courseScience to science

Int. Cologne Workshop on Actuarial Mathematics

Hansjörg Albrecher (Keynote speaker)
10 Mar 200812 Mar 2008

Activity: Talk or presentationTalk at workshop, seminar or courseScience to science

ISA Seminaire

Hansjörg Albrecher (Speaker)
26 Jan 2008

Activity: Talk or presentationTalk at conference or symposiumScience to science

Stochastisches Kolloquium

Hansjörg Albrecher (Speaker)
13 Mar 2008

Activity: Talk or presentationTalk at conference or symposiumScience to science

Prizes

Förderungspreis für Wissenschaft und Forschung

Hansjörg Albrecher (Recipient), 7 Dec 2007

Prize: Prizes / Medals / Awards

Gauss-Preis

Hansjörg Albrecher (Recipient), 27 Apr 2005

Prize: Prizes / Medals / Awards

Projects 1994 2009

FWF - Modelle für Versicherung - Mathematical Models for Insurance Risk

Mayer, P., Thonhauser, S. M., Kortschak, D. & Albrecher, H.

1/01/0630/09/09

Project: Research project

Fractal Geometry

Thuswaldner, J., Grabner, P., Cristea, L., Teufl, E. & Albrecher, H.

1/01/9831/01/05

Project: Research project

Special Research Area (SFB) "Optimization and Control"

Pleschiutschnig, C., Klinz, B., Pferschy, U., Guta Wordofa, B., Rudolf, R., Heuberger, C., Saurer, C., Gassner, E., Richter, K. R., Aurenhammer, F., Wöginger, G. J., Dragoti-Cela, E., Aichholzer, O., Albrecher, H., Scharfetter, H., Hatzl, J., Magele, C., Rothe, G., Tenfelde-Podehl, D., Brandstätter, B., Bachhiesl, P., Burkard, R., Beale, I., Fortuna, T., Hutten, H., Kenyon, A., Dollani, H., Dudas, T. & Meyer, C.

1/08/9431/12/03

Project: Research project