FWF - Modelle für Versicherung - Mathematical Models for Insurance Risk

Research output

Research output per year 2006 2006 2007 2008 2009

• 21 Article
• 1 Poster

Research output per year

Research output per year

Search results

• 2009

  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 journal › Article › peer-review

• The tax identity in risk theory - a simple proof and an extension

  Albrecher, H., Borst, S., Boxma, O. & Resing, J., 2009, In: Insurance / Mathematics & economics. 44, 2, p. 304-306

  Research output: Contribution to journal › Article › peer-review
• 2008

  A Levy insurance risk process with tax

  Albrecher, H., Renaud, J. & Zhou, X., 2008, In: Journal of Applied Probability. 45, 2, p. 363-375

  Research output: Contribution to journal › Article › peer-review

• General lower bounds for arithmetic Asian option prices

  Albrecher, H., Mayer, P. A. & Schoutens, W., 2008, In: Applied Mathematical Finance. 15, 2, p. 123-149

  Research output: Contribution to journal › Article › peer-review

• Identification of the local speed function in a Levy model for option pricing

  Kindermann, S., Mayer, P. A., Albrecher, H. & Engl, H., 2008, In: Journal of Integral Equations and Applications. 20, 2, p. 161-200

  Research output: Contribution to journal › Article › peer-review

• On the dual risk model with taxation

  Albrecher, H., Badescu, A. & Landriault, D., 2008, In: Insurance / Mathematics & economics. 42, 3, p. 1086-1094

  Research output: Contribution to journal › Article › peer-review

• 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 journal › Article › peer-review
• 2007

  A risk model with multi-layer dividend strategy

  Albrecher, H. & Hartinger, J., 2007, In: North American Actuarial Journal. 11, 2, p. 43-64

  Research output: Contribution to journal › Article

• Asymptotic results for the sum of dependent non-identically distributed random variables

  Kortschak, D., 2007.

  Research output: Contribution to conference › Poster

• 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 journal › Article

• 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 journal › Article › peer-review

• Lundberg's risk process with tax

  Albrecher, H. & Hipp, C., 2007, In: Blätter der DGVFM. 28, 1, p. 13-28

  Research output: Contribution to journal › Article

• On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model

  Albrecher, H., Hartinger, J. & Thonhauser, S. M., 2007, In: ASTIN Bulletin. 37, 2, p. 203-233

  Research output: Contribution to journal › Article › peer-review

• Reply to Discussions on the Paper "A risk model with multi-layer dividend strategy"

  Albrecher, H. & Hartinger, J., 2007, In: North American Actuarial Journal. 11, 4, p. 141-142

  Research output: Contribution to journal › Article

• The little Heston trap

  Albrecher, H., Mayer, P. A., Schoutens, W. & Tistaert, J., 2007, In: Wilmott. 1, p. 83-92

  Research output: Contribution to journal › Article

• The next step: collateralized debt obligations for catastrophe risks

  Albrecher, H., 2007, In: Wilmott. 6, p. 16-18

  Research output: Contribution to journal › Article
• 2006

  Asymptotic Analysis of a Measure of Variation

  Albrecher, H. & Teugels, J. L., 2006, In: Theory of probability and mathematical statistics. 74, p. 1-9

  Research output: Contribution to journal › Article

• Discussion of ''Optimal Dividend Strategies in the Compound Poisson Model'' by H. Gerber and E. Shiu

  Albrecher, H. & Thonhauser, S. M., 2006, In: North American Actuarial Journal. 10, 3, p. 68-71

  Research output: Contribution to journal › Article

• Exponential behavior in the presence of dependence in risk theory

  Albrecher, H. & Teugels, J., 2006, In: Journal of Applied Probability. 43, 1, p. 257-273

  Research output: Contribution to journal › Article › peer-review

• On the non-optimality of horizontal barrier strategies in the Sparre Andersen model

  Albrecher, H. & Hartinger, J., 2006, In: HERMIS - International Journal of Computer Mathematics and its Applications. 7, p. 109-122

  Research output: Contribution to journal › Article

• Ruin probabilities and aggregate claims distributions for shot noise Cox processes

  Albrecher, H. & Asmussen, S., 2006, In: Scandinavian Actuarial Journal. 2, p. 86-110

  Research output: Contribution to journal › Article

• Tail asymptotics for the sum of two heavy-tailed dependent risks

  Albrecher, H., Asmussen, S. & Kortschak, D., 2006, In: Extremes. 9, 2, p. 107-130

  Research output: Contribution to journal › Article › peer-review