![[logo_unil.png]](https://hecnet.unil.ch/medias/plone/lg14/logo_unil.png){kind=logo}
Hansjoerg Albrecher
Contact
|
Full Professor
Department of Actuarial Science Contact Hansjoerg.Albrecher@unil.ch Extranef, room 207 Tel 021.692.33.71 Postal address Université de Lausanne Quartier UNIL-Chamberonne Bâtiment Extranef 1015 Lausanne |
Teaching
|
master Probability and Stochastic Processes Related programme Master of Science (MSc) in Actuarial Science |
|
master Risk Theory Related programme Master of Science (MSc) in Actuarial Science |
Research
Research areas
InsuranceRisk Theory
Analysis of criteria for the stability and solvency of insurance companies
Mathematical Finance, in particular in relation with the evaluation of risk
Stochastic Simulation
Assistants
|
José Carlos Araujo Acuna
josecarlos.araujoacuna@unil.ch Tel: (021 692) 3342 Room: EXT107 full description |
|
Martin Bladt
martin.bladt@unil.ch full description |
|
|
Dina Finger
dina.finger@unil.ch full description |
|
Brandon Israel Garcia Flores
brndngf@gmail.com Room: EXT |
|
Publications
100 last publications
: Peer Reviewed
In Press
Albrecher H., Bladt M. ; Vatamidou E. (in press). Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails. Methodology and Computing in Applied Probability.  | |
| Albrecher H., Bladt Martin ; Bladt Mogens (in press). Multivariate Matrix Mittag-Leffler distributions. Ann. Inst. Statist. Math. | |
| Albrecher Hansjoerg, Bladt Martin ; Bladt Mogens (in press). Multivariate fractional phase-type distributions. Fractional Calculus and Applied Analysis. | |
| Albrecher Hansjoerg, Bladt Mogens ; Yslas Altamirano Jorge (in press). Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case. Scandinavian Journal of Statistics. | |
2020
| Albrecher H., Azcue P. ; Muler N. (2020). Optimal ratcheting of dividends in insurance. SIAM Journal on Control and Optimization, 58, 1822-1845. | |
| Albrecher H., Bladt Martin ; Bladt Mogens (2020). Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Extremes, 23, 425–450. | |
| Albrecher H., Chen B., Vatamidou E. ; Zwart B. (2020). Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. Journal of Applied Probability, 57, 513-530. | |
| Albrecher H., Kortschak D. ; Prettenthaler F. (2020). Spatial dependence modelling of flood risk using max-stable processes: The example of Austria. Water, 12, 1-26. | |
| Albrecher Hansjörg, Araujo-Acuna José Carlos ; Beirlant Jan (2020). Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data. North American Actuarial Journal, 1-28. | |
| Bladt M., Albrecher H. ; Beirlant J. (2020). Trimming and threshold selection in extremes. Extremes, 23, 629-665. | |
| Bladt M., Albrecher H. ; Beirlant J. (2020). Combined tail estimation using censored data and expert information. Scandinavian Actuarial Journal, 2020, 503-525. | |
| BLADT Martin, Albrecher Hansjörg (Dir.) (2020). Statistics of extremes, matrix distributions and applications in non-life insurance modeling. Université de Lausanne, Faculté des hautes études commerciales. | |
| Guevara-Alarcon W., Albrecher H. ; Chowdhury P. (2020). On marine liability portfolio modeling. ASTIN Bulletin, 50, 61-93. | |
2019
| Albrecher H., Bladt M., Kortschak D., Prettenthaler F. ; Swierczynski T. (2019). Flood occurrence change-point analysis in the paleoflood record from Lake Mondsee (NE Alps). Global and Planetary Change, 178, 65-76. | |
| Albrecher H., Bommier A., Filipovic D., Koch P., Loisel S. ; Schmeiser H. (2019). Insurance: Models, Digitalization, and Data Science. European Actuarial Journal, 9, 349-360. | |
| Albrecher H. , Cani A. (2019). On randomized reinsurance contracts. Insurance: Mathematics & Economics, 84, 67-78. | |
| Albrecher H. , Vatamidou E. (2019). Ruin probability approximations in Sparre Andersen models with completely monotone claims. Risks, 7, 104-117. | |
| Albrecher Hansjoerg , Bladt Mogens (2019). Inhomogeneous phase-type distributions and heavy tails. Journal of Applied Probability, 56, 1044-1064. | |
| Daily-Amir D., Albrecher H., Bladt M. ; Wagner J. (2019). On market share drivers in the Swiss mandatory health insurance sector. Risks, 7, 114. | |
| DAILY-AMIR Dalit, Albrecher Hansjörg (Dir.) (2019). MARKET SHARE ANALYSIS AND NON-COOPERATIVE GAME THEORY WITH APPLICATIONS IN SWISS HEALTH INSURANCE. Université de Lausanne, Faculté des hautes études commerciales. | |
| Guevara Alarcón William Miguel, Albrecher Hansjörg (Dir.) (2019). Data Compression Algorithms, Marine Liability Modeling, and Hierarchical Risk Aggregation in Reinsurance. Université de Lausanne, Faculté des hautes études commerciales. | |
| Raaijmakers Y., Albrecher H. ; Boxma O. (2019). The single server queue with mixing dependencies. Methodology and Computing in Applied Probability, 21, 1023–1044. | |
2018
| Albrecher H., Bauer D., Embrechts P., Filipović D., Koch-Medina P., Korn R. et al. (2018). Asset-liability management for long-term insurance business. European Actuarial Journal, 8, 9-25. | |
| Albrecher H., Bäuerle N. ; Bladt M. (2018). Dividends: From Refracting to Ratcheting. Insurance: Mathematics and Economics, 83, 47-58. | |
| Albrecher H. , Ivanovs J. (2018). Linking dividends and capital injections – a probabilistic approach. Scandinavian Actuarial Journal, 76-83. | |
| Cani Arian, Albrecher Hansjoerg (Dir.) (2018). REINSURANCE AND DIVIDEND PROBLEMS IN INSURANCE. Université de Lausanne, Faculté des hautes études commerciales. | |
2017
| Albrecher H., Azcue P. ; Muler N. (2017). Optimal dividend strategies for two collaborating insurance companies. Advances in Applied Probability, 49, 515-548. | |
| Albrecher H., Beirlant J. ; Teugels J.L. (2017). Reinsurance : Actuarial and Statistical Aspects. John Wiley & Sons, Ltd, Chichester. | |
| Albrecher H., Boxma O.J., Essifi R. ; Kuijstermans R. (2017). A queueing model with randomized depletion of inventory. Probability in the Engineering and Informational Sciences, 31, 43-59. | |
| Albrecher H. , Cani A. (2017). Risk Theory with Affine Dividend Payment Strategies. Number Theory – Diophantine Problems, Uniform Distribution and Applications (pp. 25-60). Springer International Publishing. | |
| Albrecher H. , Daily-Amir D. (2017). On Effects of Asymmetric Information on Non-Life Insurance Prices under Competition. International Journal of Data Analysis Techniques and Strategies, 9, 287-299. | |
| Albrecher H. , Ivanovs J. (2017). Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Stochastic Processes and their Applications, 127, 643-656. | |
| Albrecher H. , Ivanovs J. (2017). On the joint distribution of tax payments and capital injections for a Lévy risk model. Probability and Mathematical Statistics, 37, 219-227. | |
| Prettenthaler F., Albrecher H., Asadi P. ; Köberl J. (2017). On flood risk pooling in Europe. Natural Hazards, 88, 1-20. | |
2016
| Albrecher H. (2016, Jan). Simple Identities for Randomized Observations in Risk Theory. The Mathematics and Statistics of Quantitative Risk Management, Oberwolfach Report (pp. 11-13). | |
| Albrecher H. (2016, Jan). Asymmetric Information and Insurance. Cahiers de l'Institut Louis Bachélier, 20 (pp. 12-15). | |
| Albrecher H., Embrechts P., Filipovic D., Harrison G., Koch P., Loisel S. et al. (2016). Old-age provision: past, present, future. European Actuarial Journal, 6, 287-306. | |
| Albrecher H., Ivanovs J. ; Zhou X. (2016). Exit identities for Levy processes observed at Poisson arrival times. Bernoulli, 22, 1364-1382. | |
| Asadi P., ALBRECHER H. (Dir.) (2016). Extremes on river networks and flood loss modeling. Université de Lausanne, Faculté des hautes études commerciales. | |
2015
| Albrecher H. , Daily-Amir D. (2015, Jan). On competitive non-life insurance pricing under incomplete information. Current Topics on Risk Analysis: ICRA 6 and Risk 2015 Conference (pp. 41-48). | |
| Albrecher H. , Lautscham V. (2015). Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement. Anales del Instituto de Actuarios Espanoles, 1-30. | |
| Kaas R., Gerber H., Goovaerts M., Shiu E. ; Albrecher H. (2015). The impact factor of IME (Editorial). Insurance: Mathematics and Economics, 62, 1-4. | |
2014
| Albrecher H., Asadi P. ; Ivanovs J. (2014). Exact boundaries in sequential testing for phase-type distributions. Journal of Applied Probability, 51A, 347-358. | |
| Albrecher H., Avram F., Constantinescu C. ; Ivanovs J. (2014). The tax identity for Markov additive risk processes. Methodology and Computing in Applied Probability, 16, 245-258. | |
| Albrecher H., Boxma O.J. ; Ivanovs J. (2014). On simple ruin expressions in dependent Sparre Andersen risk models. Journal of Applied Probability, 51, 293-296. | |
| Albrecher H. , Ivanovs J. (2014). Power identities for Lévy risk models under taxation and capital injections. Stochastic Systems, 4, 157-172. | |
| Albrecher H., Robert C.Y. ; Teugels J.L. (2014). Joint asymptotic distributions of smallest and largest insurance claims. Risks, 2, 289-314. | |
2013
| Albrecher H., Binder A., Lautscham V. ; Mayer P. (2013). Introduction to Quantitative Methods for Financial Markets. Birkhaeuser, Basel. | |
| Albrecher H., Cheung E.C.K. ; Thonhauser S. (2013). Randomized observation times for the compound Poisson risk model: The discounted penalty function. Scandinavian Actuarial Journal, 424-452. | |
| Albrecher H., Constantinescu C., Palmowski Z., Regensburger M. ; Rosenkranz M. (2013). Exact and asymptotic results for insurance risk models with surplus-dependent premiums. SIAM Journal of Applied Mathematics, 73, 47-66. | |
| Albrecher H., Guillaume F. ; Schoutens W. (2013). Implied liquidity: model sensitivity. Journal of Empirical Finance, 23, 48-67. | |
| Albrecher H. , Ivanovs J. (2013). A risk model with an observer in a Markov environment. Risks, 1, 148-161. | |
| Albrecher H. , Lautscham V. (2013). From ruin to bankruptcy for compound Poisson surplus processes. ASTIN Bulletin, 43, 213-243. | |
| Dacorogna M., Albrecher H., Moller M. ; Sahiti S. (2013). Equalization Reserves for Natural Catastrophes and Shareholder Value: a Simulation Study. European Actuarial Journal, 3, 1-21. | |
| Dutang C., Albrecher H. ; Loisel S. (2013). Competition among non-life insurers under solvency constraints: a game-theoretic approach. European Journal of Operational Research, 231, 702-711. | |
| Lautscham V., Albrecher H. (Dir.) (2013). Solvency modelling in insurance : quantitative aspects and simulation techniques. Université de Lausanne, Faculté des hautes études commerciales. | |
2012
| (2012). Sturmschäden: Modellierung der versicherten Schäden in Österreich (8). Verlag der Österreichischen Akademie der Wissenschaften, Wien. | |
| Albrecher H. (2012, Jan). A relaxed ruin condition in insurance. The Mathematics and Statistics of Quantitative Risk Management, Oberwolfach Report 7 (pp. 11). | |
| Albrecher H., Asmussen S. ; Kortschak D. (2012). Tail asymptotics for dependent subexponential differences. Siberian Mathematical Journal, 53, 965-983. | |
| Albrecher H., Constantinescu C. ; Thomann E. (2012). Asymptotic results for renewal risk models with risky investments. Stochastic Processes And Their Applications, 122, 3767-3789. | |
| Albrecher H., Kortschak D. ; Zhou X. (2012). Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Applied Mathematical Finance, 19, 97-129. | |
| Albrecher H. , Thonhauser S. (2012). On optimal dividend strategies in insurance with a random time horizon. Stochastic processes, finance and control. Festschrift for Robert Elliott. (Vol. 1, pp. 157-180). World Scientific, Singapore . | |
| Haas S., Albrecher H. (Dir.) (2012). Optimal reinsurance forms and solvency. Université de Lausanne, Faculté des hautes études commerciales. | |
| Prettenthaler F., Albrecher H., Köberl J. ; Kortschak D. (2012). Risk and insurability of storm damages to residential buildings in Austria. The Geneva Papers on Risk and Insurance - Issues and Practice, 37, 340-364. | |
2011
| Albrecher H., Baeuerle N. ; Thonhauser S. (2011). Optimal dividend payout in random discrete time. Statistics and Risk Modeling, 28, 251-276. | |
| Albrecher H., Borst S., Boxma O. ; Resing J. (2011). Ruin excursions, the G/G/Infinity queue and tax payments in renewal risk models. Journal of Applied Probability, 48A, 3-14. | |
| Albrecher H., Cheung E. C. K. ; Thonhauser S. (2011). Randomized observation periods for the compound Poisson risk model: Dividends. ASTIN Bulletin, 41, 645-672. | |
| Albrecher H., Constantinescu C. ; Loisel S. (2011). Explicit ruin formulas for models with dependence among risks. Insurance: Mathematics & Economics, 48, 265-270. | |
| Albrecher H., Gerber H. ; Shiu E. (2011). The optimal dividend barrier in the Gamma-Omega model. European Actuarial Journal, 1, 43-55. | |
| Albrecher H. , Gerber H. U. (2011). A note on moments of dividends. Acta Mathematica Applicatae Sinica, 27, 353-354. | |
| Albrecher H. , Haas S. (2011). Ruin Theory with Excess of Loss Reinsurance and Reinstatements. Applied Mathematics and Computation, 217, 8031-8043. | |
| Thonhauser S. , Albrecher H. (2011). Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility. Stochastic Models, 27, 120-140. | |
| Trufin J., Albrecher H. ; Denuit M. (2011). Properties of a risk measure derived from ruin theory. The Geneva Risk and Insurance Review, 36, 174-188. | |
| Trufin J., Albrecher H. ; Denuit M. (2011). Ruin problems under IBNR Dynamics. Applied Stochastic Models in Business and Industry, 27, 619-632. | |
2010
| Albrecher H. (2010). Reinsurance. Encyclopedia of Quantitative Finance (pp. 1539-1543). Wiley, Chichester. | |
| Albrecher H., Avram F. ; Kortschak D. (2010). On the efficient evaluation of ruin probabilities for completely monotone claim size distributions. Journal of Computational and Applied Mathematics, 233, 2724-2736. | |
| Albrecher H., Constantinescu C. ; Garrido J. (2010). Editorial on the Special Issue on Gerber-Shiu Functions. Insurance: Mathematics & Economics, 46, 1-2. | |
| Albrecher H., Constantinescu C., Pirsic G., Regensburger G. ; Rosenkranz M. (2010). An algebraic operator approach to the analysis of Gerber-Shiu functions. Insurance: Mathematics & Economics, 46, 42-51. | |
| Albrecher H., Gerber H. ; Yang H. (2010). Reply to discussions on "A direct approach to the discounted penalty function". North American Actuarial Journal, 14, 445-447. | |
| Albrecher H., Gerber H.U. ; Yang H. (2010). A direct approach to the discounted penalty function. North American Actuarial Journal, 14, 420-434. | |
| Albrecher H. , Haas S. (2010, Jan). A numerical approach to ruin models with excess of loss reinsurance and reinstatements. Proceedings of COMPSTAT 2010 (pp. 135-144). Physica-Verlag HD. | |
| Albrecher H., Hipp C. ; Kortschak D. (2010). Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. Scandinavian Actuarial Journal, 105-135. | |
| Albrecher H., Ladoucette S. ; Teugels J. (2010). Asymptotics of the Sample Coefficient of Variation and the Sample Dispersion. Journal of Statistical Planning and Inference, 140, 358-368. | |
| Albrecher H. , Mayer P. (2010). Semi-static hedging strategies for exotic options. Alternative Investments and Strategies (pp. 345-373). World Scientific, Singapore. | |
| Asmussen S. , Albrecher H. (2010). Ruin probabilities (14). World Scientific, New Jersey. | |
| Kortschak D. , Albrecher H. (2010). An asymptotic expansion for the tail of compound sums of Burr distributed random variables. Statistics and Probability Letters, 80, 612-620. | |
2009
| (2009). Hochwasser und dessen Versicherung in Österreich. Verlag der Österreichischen Akademie der Wissenschaften, Wien. | |
| (2009). Advanced Financial Modelling. de Gruyter, Berlin. | |
| Albrecher H., Binder A. ; Mayer P. (2009). Einführung in die Finanzmathematik. Birkhäuser, Basel. | |
| Albrecher H., Borst S., Boxma O. ; Resing J. (2009). The tax identity in risk theory - a simple proof and an extension. Insurance: Mathematics and Economics, 44, 304-306. | |
| Albrecher H. , Gerber H.U. (2009). On the non-optimality of proportional reinsurance according to the dividend criterion. Bulletin of the Swiss Association of Actuaries, 94-95. | |
| Albrecher H. , Kortschak D. (2009). On ruin probability and aggregate claim representations for Pareto claim size distributions. Insurance: Mathematics and Economics, 45, 362-373. | |
| Albrecher H. , Kortschak D. (2009). Quantitativer Nachvollzug des NATKAT-Modells fuer Oesterreich. Hochwasser und dessen Versicherung in Österreich (pp. 77-90). Verlag der Österreichischen Akademie der Wissenschaften, Wien. | |
| Albrecher H., Scheicher K. ; Teugels J. L. (2009). A combinatorial identity for a problem in asymptotic statistics. Applicable Analysis and Discrete Mathematics, 3, 64-68. | |
| Albrecher H. , Thonhauser S. (2009). Optimality Results for Dividend Problems in Insurance. RACSAM - Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas, 103, 295-320. | |
| Kortschak D. , Albrecher H. (2009). Asymptotic results for the sum of dependent non-identically distributed random variables. Methodology and Computing in Applied Probability, 11, 279-306. | |
| Prettenthaler F., Albrecher H. ; Kortschak D. (2009). Anreiztheoretische Analyse des NATKAT-Modells für Österreich. Hochwasser und dessen Versicherung in Österreich (pp. 105-114). Verlag der Österreichischen Akademie der Wissenschaften, Wien. | |
| Trufin J., Albrecher H. ; Denuit M. (2009). Impact of underwriting cycles on the solvency of an insurance company. North American Actuarial Journal, 13, 385-403. | |
2008
| Albrecher H., Badescu A. ; Landriault D. (2008). On the dual risk model with tax payments. Insurance: Mathematics & Economics, 42, 1086-1094. | |
| Albrecher H. , Kortschak D. (2008, Jan). Asymptotic expansion of the ruin probability for Pareto claim size distributions. Proceedings of the Fourth Int. Workshop on Applied Probability, Compagniegne. | |
Curriculum
Competences
Actuarial Mathematics
Mathematical Finance
Stochastic Simulation
Applied Probability
Work experience
Academic Positions- Professor of Actuarial Mathematics, University of Lausanne, since 2009
- Faculty Member, Swiss Finance Institute, since 2011
- Professor of Insurance Mathematics, University of Linz, 2007-2009
- Deputy Director of the Radon Institute for Computational and Applied Mathematics, Austrian Academy of Sciences, Linz, 2007-2009
- Group Leader "Financial Mathematics" at the Radon Institute for Computational and Applied Mathematics, Austrian Academy of Sciences, Linz, 2005-2009
- Associate Professor at Graz University of Technology, 2005-2007
- Visiting Associate Professor at the University of Aarhus, 2005
- Assistant Professor at Graz University of Technology, 2001-2005
- Postdoctoral Research Fellow, Katholieke Universiteit Leuven, 2003-2004
- Visiting Scholar, International Institute of Applied Systems Analysis, Laxenburg, 1998
Education
- Habilitation (Venia Docendi) in Applied Mathematics, Graz University of Technology, 2005
- Ph.D. in Technical Mathematics, Graz University of Technology, 2001
- Studies of Technical Mathematics and Astronomy at Graz University of Technology, University of Limerick (Ireland) and Johns-Hopkins University Baltimore (Maryland, USA)
Other activities
Editorial Responsibilities- Editor-in-Chief, European Actuarial Journal, since 2019
- Editor-in-Chief, Springer Actuarial Series, since 2012
- Co-Editor, Statistics & Risk Modeling, since 2011
- Associate Editor, Journal of Applied Probability, since 2009
- Associate Editor, Advances in Applied Probability, since 2009
- Member of the Editorial Board, Radon Series for Computational and Applied Mathematics, deGruyter Berlin, since 2006
- Associate Editor, Insurance: Mathematics & Economics, 2008-2009 and since 2019
- Editor, Insurance: Mathematics & Economics, 2010-2018
- Co-Editor, European Actuarial Journal, 2011-2018
- Associate Editor, Mathematical Methods of Operations Research, 2007-2011
- Editor, Bulletin of the Swiss Association of Actuaries, 2009-2010
- Associate Editor, Blaetter der DGVFM, 2007-2010
Research Projects
- Project Leader "Risk Modelling with Matrix Distributions", supported
by the Swiss National Science Foundation, 2020-2023 - Project Leader "High precision approximations in risk theory with heavy tails", supported
by the Swiss National Science Foundation, 2017-2019 - Co-Investigator "Impact 2C", EU-FP7 Grant, 2011-2015
- Project Leader "Mathematical Analysis of Insurance Risk Processes II", supported
by the Swiss National Science Foundation, 2012-2016 - Project Leader "Mathematical Analysis of Insurance Risk Processes", supported
by the Swiss National Science Foundation, 2009-2012 - Project Leader ''Mathematical Models for Insurance Risk'' supported by the Austrian Science Fund, 2006-2009
- Research Associate, "Economics of Weather and Climate Risks I", supported by the Jubilee Fund of the Austrian National Bank, 2008-2009
Academic honors
Hachemeister Prize of the Casual Actuarial Society (CAS)Année : 2013
Récipiendaire : Hansjoerg Albrecher
Elected Member of the International Statistical Institute
Année : 2011
Récipiendaire : Hansjoerg Albrecher
Förderungspreis für Wissenschaft und Forschung des Landes Steiermark
Année : 2007
Récipiendaire : Hansjoerg Albrecher
Gauss-Prize of the German Association for Actuarial and Financial Mathematics
Année : 2005
Récipiendaire : Hansjoerg Albrecher
