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Ruin probabilities and aggregate claims distributions for shot noise Cox processes

Albrecher, Hansjörg (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003093888

On the cost-of-capital rate under incomplete market valuation

Albrecher, Hansjörg; Eisele, Karl-Theodor; Steffensen, … - In: The journal of risk & insurance 89 (2022) 4, pp. 1139-1158

Persistent link: https://www.econbiz.de/10013465899

Optimal dividend bands revisited : a gradient-based method and evolutionary algorithms

Albrecher, Hansjörg; Garcia Flores, Brandon - In: Scandinavian actuarial journal 2023 (2023) 8, pp. 788-810

Persistent link: https://www.econbiz.de/10014383971

On the profitability of selfish blockchain mining under consideration of ruin

Albrecher, Hansjörg; Goffard, Pierre-Olivier - In: Operations research 70 (2022) 1, pp. 179-200

Persistent link: https://www.econbiz.de/10012820652

Semi-static hedging strategies for exotic options

Albrecher, Hansjörg; Mayer, Philipp - In: Alternative investments and strategies : credit, …, (pp. 345-373). 2010

Persistent link: https://www.econbiz.de/10008655197

Special issue: Gerber-Shiu functions

Albrecher, Hansjörg (contributor) - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 3-134

Persistent link: https://www.econbiz.de/10003953202

An algebraic operator approach to the analysis of Gerber-Shiu functions

Albrecher, Hansjörg; Constantinescu, Corina; Pirsic, … - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 42-51

Persistent link: https://www.econbiz.de/10003953297

A risk model with an observer in a Markov environment

Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Risks : open access journal 1 (2013) 3, pp. 148-161

We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees the process as negative, where the observation rate may...

Persistent link: https://www.econbiz.de/10010338338

Implied liquidity : model sensitivity

Albrecher, Hansjörg; Guillaume, Florence; Schoutens, Wim - In: Journal of empirical finance 23 (2013), pp. 48-67

Persistent link: https://www.econbiz.de/10010221783

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

Dutang, Christophe; Albrecher, Hansjörg; Loisel, Stéphane - In: European journal of operational research : EJOR 231 (2013) 3, pp. 702-711

Persistent link: https://www.econbiz.de/10009787356