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Hansjörg Albrecher

Hansjörg Albrecher

D-Index & Metrics

Mathematics

D-Index
39
Citations
5524
World Ranking
2234
National Ranking
37

Overview

Hansjörg Albrecher is affiliated with the University of Lausanne in Switzerland and has made contributions spanning several interrelated fields, including Economics, Econometrics and Finance, Decision Sciences, and Mathematics. Their research mainly addresses topics in Probability and Risk Models, Statistical Distribution Estimation and Applications, and Financial Risk and Volatility Modeling, alongside work in Insurance, Mortality, Demography, and Risk Management.

Their academic output includes frequent publications in notable venues such as arXiv (Cornell University), Insurance Mathematics and Economics, Methodology And Computing In Applied Probability, Scandinavian Actuarial Journal, and Extremes.

Hansjörg Albrecher has co-authored extensively with several researchers. Frequent collaborators include Martin Bladt, Mogens Bladt, Pierre-Olivier Goffard, Pablo Azcue, and Jan Beirlant.

Recent publications exemplify the scope of their research interests and include the following:

  • On the Profitability of Selfish Blockchain Mining Under Consideration of Ruin (2021, Operations Research)
  • Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data (2020, North American Actuarial Journal)
  • TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS (2021, Astin Bulletin)
  • Blockchain mining in pools: Analyzing the trade-off between profitability and ruin (2022, Insurance Mathematics and Economics)
  • Multivariate matrix Mittag-Leffler distributions (2020, Annals of the Institute of Statistical Mathematics)

Key subfields of study associated with Hansjörg Albrecher's work include Management Science and Operations Research, Finance, Statistics and Probability, Demography, and Economics and Econometrics.

Best Publications

  • The little Heston trap

    Hansjörg Albrecher;Philipp Arnold Mayer;Wim Schoutens;Jurgen Tistaert

  • Optimality Results for Dividend Problems in Insurance

    Hansjörg Albrecher;Stefan Thonhauser

  • Exponential behavior in the presence of dependence in risk theory

    Hansjörg Albrecher;Jef L. Teugels

  • A ruin model with dependence between claim sizes and claim intervals

    Hansjörg Albrecher;Onno J. Boxma

  • Reinsurance: Actuarial and Statistical Aspects

    Hansjörg Albrecher;Jan Beirlant;Jozef L. Teugels

  • On the discounted penalty function in a Markov-dependent risk model

    Hansjörg Albrecher;Hansjörg Albrecher;Onno J. Boxma

  • Randomized observation periods for the compound Poisson risk model: Dividends

    Hansjörg Albrecher;Eric C.K. Cheung;Stefan Thonhauser

  • Explicit ruin formulas for models with dependence among risks

    Hansjoerg Albrecher;Corina Constantinescu;Stéphane Loisel

  • A Generic One-Factor Lévy Model for Pricing Synthetic CDOs

    Hansjörg Albrecher;Sophie A. Ladoucette;Wim Schoutens

  • Lundberg’s risk process with tax

    Hansjörg Albrecher;Christian Hipp

  • On the dual risk model with tax payments

    Hansjörg Albrecher;Andrei Badescu;David Landriault

  • The optimal dividend barrier in the Gamma–Omega model

    Hansjörg Albrecher;Hans U. Gerber;Elias S. W. Shiu

  • Exit identities for L'evy processes observed at Poisson arrival times

    Hansjoerg Albrecher;Jevgenijs Ivanovs;Xiaowen Zhou

  • Risk theory with a nonlinear dividend barrier

    H. Albrecher;R. Kainhofer

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

    Hansjörg Albrecher;Eric C.K. Cheung;Stefan Thonhauser

  • On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times

    Hansjörg Albrecher;Hansjörg Albrecher;M.Mercè Claramunt;Maite Mármol

  • Dividend maximization under consideration of the time value of ruin

    Stefan Michael Thonhauser;Hansjörg Albrecher;Hansjörg Albrecher

  • A Lévy insurance risk process with tax

    Hansjörg Albrecher;Jean-François Renaud;Xiaowen Zhou

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

    Hansjörg Albrecher

  • Static Hedging of Asian Options under Lévy Models

    Hansjörg Albrecher;Jan Dhaene;Marc Goovaerts;Wim Schoutens

  • Multilevel quasi-Monte Carlo path simulation

    Hansjörg Albrecher;Wolfgang J. Runggaldier;Walter Schachermayer

Frequent Co-Authors

Jan Beirlant
Jan Beirlant KU Leuven
Søren Asmussen
Søren Asmussen Aarhus University
Onno Boxma
Onno Boxma Eindhoven University of Technology
Hans U. Gerber
Hans U. Gerber University of Lausanne
Damir Filipović
Damir Filipović École Polytechnique Fédérale de Lausanne
Wim Schoutens
Wim Schoutens KU Leuven
Sem Borst
Sem Borst Eindhoven University of Technology
Paul Embrechts
Paul Embrechts ETH Zurich
Michel Denuit
Michel Denuit Université Catholique de Louvain

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