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Hansjoerg Albrecher
Coordonnées
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Professeur ordinaire
Département de sciences actuarielles Contact Hansjoerg.Albrecher@unil.ch Extranef, bureau 207 Tél 021.692.33.71 Adresse postale Université de Lausanne Quartier UNIL-Chamberonne Bâtiment Extranef 1015 Lausanne |
Enseignements
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master Probability and Stochastic Processes Formation concernée Maîtrise universitaire ès Sciences en sciences actuarielles |
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master Risk Theory Formations concernées Maîtrise universitaire ès Sciences en sciences actuarielles Maîtrise universitaire ès Sciences en sciences actuarielles |
Recherches
Axes de recherche
AssuranceThéorie du risque
Analyse des critères de stabilité et de solvabilité des institutions d'assurances
Mathématiques de la finance, essentiellement en relation avec l'évaluation des risques
Simulation stochastique
Assistants
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José Carlos Araujo Acuna
josecarlos.araujoacuna@unil.ch Tél: (021 692) 3342 Bureau: EXT107 page personnelle |
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Martin Bladt
martin.bladt@unil.ch page personnelle |
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Dina Finger
dina.finger@unil.ch page personnelle |
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Brandon Israel Garcia Flores
brndngf@gmail.com Bureau: EXT |
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Publications
100 dernières publications
: Revue avec comité de lecture
In Press
Albrecher H., Araujo Acuna J. ; Beirlant J. (in press). Tempered Pareto-type modelling using Weibull distributions. ASTIN Bulletin.  | |
| 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 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 Hansjoerg, Bladt Martin ; Bladt Mogens (2020). Multivariate fractional phase-type distributions. Fractional Calculus and Applied Analysis, 23, 1431-1451. | |
| 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). Combined tail estimation using censored data and expert information. Scandinavian Actuarial Journal, 2020, 503-525. | |
| Bladt M., Albrecher H. ; Beirlant J. (2020). Trimming and threshold selection in extremes. Extremes, 23, 629-665. | |
| 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). Ruin problems under IBNR Dynamics. Applied Stochastic Models in Business and Industry, 27, 619-632. | |
| 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. | |
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. | |
Curriculum
Compétences
Actuarial Mathematics
Mathematical Finance
Stochastic Simulation
Applied Probability
Expériences professionnelles
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)
Autres activités
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
Prix et distinctions scientifiques
Prix Hachemeister de la Casualty 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
