Hansjörg Albrecher

According to our database, Hansjörg Albrecher authored at least 19 papers between 2002 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2022

Optimal Ratcheting of Dividends in a Brownian Risk Model.

Hansjörg Albrecher, Pablo Azcue, Nora Muler

SIAM J. Financial Math., 2022

On the Profitability of Selfish Blockchain Mining Under Consideration of Ruin.

Hansjörg Albrecher, Pierre-Olivier Goffard

Oper. Res., 2022

2021

Blockchain mining in pools: Analyzing the trade-off between profitability and ruin.

Hansjörg Albrecher, Dina Finger, Pierre-Olivier Goffard

CoRR, 2021

2020

Optimal Ratcheting of Dividends in Insurance.

Hansjörg Albrecher, Pablo Azcue, Nora Muler

SIAM J. Control. Optim., 2020

Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes.

Hansjörg Albrecher, Bohan Chen, Eleni Vatamidou, Bert Zwart

J. Appl. Probab., 2020

2019

Inhomogeneous phase-type distributions and heavy tails.

Hansjörg Albrecher, Mogens Bladt

J. Appl. Probab., 2019

2017

On effects of asymmetric information on non-life insurance prices under competition.

Hansjörg Albrecher, Daily-Amir Dalit

Int. J. Data Anal. Tech. Strateg., 2017

2014

On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models.

Hansjörg Albrecher, Onno J. Boxma, Jevgenijs Ivanovs

J. Appl. Probab., 2014

Exact boundaries in sequential testing for phase-type distributions.

Hansjörg Albrecher, Peiman Asadi, Jevgenijs Ivanovs

J. Appl. Probab., 2014

2013

Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums.

Hansjörg Albrecher, Corina Constantinescu, Zbigniew Palmowski, Georg Regensburger, Markus Rosenkranz

SIAM J. Appl. Math., 2013

Competition among non-life insurers under solvency constraints: A game-theoretic approach.

Christophe Dutang, Hansjörg Albrecher, Stéphane Loisel

Eur. J. Oper. Res., 2013

2011

Ruin theory with excess of loss reinsurance and reinstatements.

Hansjörg Albrecher, Sandra Haas

Appl. Math. Comput., 2011

2010

On the efficient evaluation of ruin probabilities for completely monotone claim distributions.

Hansjörg Albrecher, Florin Avram, Dominik Kortschak

J. Comput. Appl. Math., 2010

A Numerical Approach to Ruin Models with Excess of Loss Reinsurance and Reinstatements.

Hansjörg Albrecher, Sandra Haas

Proceedings of the 19th International Conference on Computational Statistics, 2010

2005

A note on the asymptotic behaviour of bottleneck problems.

Hansjörg Albrecher

Oper. Res. Lett., 2005

2004

QMC techniques for CAT bond pricing.

Hansjörg Albrecher, Jürgen Hartinger, Robert F. Tichy

Monte Carlo Methods Appl., 2004

2003

Simulation methods in ruin models with non-linear dividend barriers.

Hansjörg Albrecher, Reinhold Kainhofer, Robert F. Tichy

Math. Comput. Simul., 2003

2002

Simulation of ruin probabilities for risk processes of Markovian type.

Hansjörg Albrecher, Josef Kantor

Monte Carlo Methods Appl., 2002

Risk Theory with a nonlinear Dividend Barrier.

Hansjörg Albrecher, Reinhold Kainhofer

Computing, 2002