Stefan Michael Thonhauser

Assoc.Prof. Dipl.-Ing. Dr.techn.

20052019
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Research Output 2006 2019

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2019

Approximation methods for piecewise deterministic Markov processes and their costs

Thonhauser, S. M., Leobacher, G., Kritzer, P. A. & Szölgyenyi, M., 2019, In : Scandinavian Actuarial Journal. 2019, 4, p. 308-335 28 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
Piecewise Deterministic Markov Process
Approximation Methods
Smoothing Techniques
Insurance
Costs

On a dividend problem with random funding

Strini, J. A. & Thonhauser, S., 13 Jun 2019, In : European Actuarial Journal.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
Dividend
Transaction Costs
Optimal Strategy
Ruin Theory
Risk Process

Optimal reinsurance for Gerber–Shiu functions in the Cramér–Lundberg model

Preischl, M. J. & Thonhauser, S., 2019, In : Insurance / Mathematics & economics. 87, 87, p. 82-91 10 p.

Research output: Contribution to journalArticleResearchpeer-review

Gerber-Shiu Function
Reinsurance
Optimal Stochastic Control
Ruin Probability
Control Function
2017

An optimal reinsurance problem in the Cramér–Lundberg model

Thonhauser, S. M. & Cani, A., 2017, In : Mathematical Methods of Operations Research. 85, 2, p. 179-205 24 p.

Research output: Contribution to journalArticleResearchpeer-review

2016

An extremal problem in uniform distribution theory

Thonhauser, S. M., Tichy, R., Iaco, M. R., Strauch, O. & Balaz, V., 2016, In : Uniform Distribution Theory.

Research output: Contribution to journalArticleResearchpeer-review

2015

Distribution functions, extremal limits and optimal transport

Iaco, M. R., Thonhauser, S. M. & Tichy, R., 2015, In : Indagationes mathematicae. 26, 5, p. 823-841

Research output: Contribution to journalArticleResearchpeer-review

On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion

Thonhauser, S. M., Leobacher, G. & Szölgyenyi, M., 2015, In : Electronic Communications in Probability. 20, p. 1-14

Research output: Contribution to journalArticleResearchpeer-review

2014

Bayesian dividend optimization and finite time ruin probabilities

Thonhauser, S. M., Leobacher, G. & Szölgyenyi, M., 2014, In : Stochastic Models. 30, 2, p. 216-249

Research output: Contribution to journalArticleResearchpeer-review

Optimal consumption under deterministic income

Thonhauser, S. M., Grandits, P. & Eisenberg, J., 2014, In : Journal of optimization theory and applications. 160, 1, p. 255-279

Research output: Contribution to journalArticleResearchpeer-review

2013

Optimal investment under transaction costs for an insurer

Thonhauser, S., 1 Dec 2013, In : European Actuarial Journal. 3, 2, p. 359-383 25 p.

Research output: Contribution to journalArticleResearchpeer-review

Optimal Investment
Transaction Costs
Impulse Control
Probability of Ruin
Geometric Brownian Motion

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
2011

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
Continuous time

Risk averse asymptotics in a Black-Scholes market on a finite time horizon

Grandits, P. & Thonhauser, S., 1 Aug 2011, In : Mathematical Methods of Operations Research. 74, 1, p. 21-40 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Black-Scholes
Horizon
Expected Utility
Optimal Investment
Risk Aversion
2009

Optimality results for dividend problems in insurance

Albrecher, H. & Thonhauser, S., 1 Dec 2009, In : Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales / Serie A, Matematicas. 103, 2, p. 295-320 26 p.

Research output: Contribution to journalArticleResearchpeer-review

Risk Theory
Dividend
Insurance
Optimality
Objective function
2008

Optimal dividend strategies for a risk process under force of interest

Albrecher, H. & Thonhauser, S., 2008, In : Insurance / Mathematics & economics. 43, 1, p. 134-149

Research output: Contribution to journalArticleResearchpeer-review

2007

Discussion of ''On the Merger of Two Companies'' by H. Gerber and E. Shiu

Albrecher, H. & Thonhauser, S. M., 2007, In : North American Actuarial Journal. 11, 2, p. 157-159

Research output: Contribution to journalArticleResearch

Dividend maximization under consideration of the time value of ruin

Thonhauser, S. M. & Albrecher, H., 2007, In : Insurance / Mathematics & economics. 41, p. 163-184

Research output: Contribution to journalArticleResearchpeer-review