: Revue avec comité de lecture

Articles

	Albrecher H., Azcue P. ; Muler N. (in press). Optimal ratcheting of dividends in insurance. SIAM Journal on Control and Optimization.

	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). Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. Extremes.

	Albrecher H., Bladt Martin ; Bladt Mogens (in press). Multivariate Matrix Mittag-Leffler distributions. Ann. Inst. Statist. Math.

	Albrecher H., Chen B., Vatamidou E. ; Zwart B. (in press). Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. Journal of Applied Probability.

	Bladt M., Albrecher H. ; Beirlant J. (in press). Combined tail estimation using censored data and expert information. Scandinavian Actuarial Journal.

	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.

	Guevara-Alarcon W., Albrecher H. ; Chowdhury P. (2020). On marine liability portfolio modeling. ASTIN Bulletin, 50, 61-93.

	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.

	Raaijmakers Y., Albrecher H. ; Boxma O. (2019). The single server queue with mixing dependencies. Methodology and Computing in Applied Probability, 21, 1023–1044.

	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.

	Albrecher H., Azcue P. ; Muler N. (2017). Optimal dividend strategies for two collaborating insurance companies. Advances in Applied Probability, 49, 515-548.

	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. , 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.

	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.

	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.

	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.

	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.

	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.

	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.

	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.

	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., 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.

	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.

	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., 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.

	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.

	Albrecher H., Badescu A. ; Landriault D. (2008). On the dual risk model with tax payments. Insurance: Mathematics & Economics, 42, 1086-1094.

	Albrecher H., Mayer P. ; Schoutens W. (2008). General lower bounds for arithmetic Asian option prices. Applied Mathematical Finance, 15, 123-149.

	Albrecher H., Renaud J. ; Zhou X. (2008). A Levy insurance risk process with tax. Journal of Applied Probability, 45, 363-375.

	Albrecher H. , Teugels J. L. (2008). On Excess-of-Loss Reinsurance. Theory of Probability and Mathematical Statistics, 7-22.

	Albrecher H. , Thonhauser S. (2008). Optimal dividend strategies for a risk process under force of interest. Insurance: Mathematics and Economics, 43, 134-149.

	Kindermann S., Mayer P., Albrecher H. ; Engl H. (2008). Identification of the local speed function in a Levy model for option pricing. Journal of Integral Equations and Applications, 20, 161-200.

	Albrecher H. (2007). The next step : collateralized debt obligations for catastrophe risks. WILMOTT, 6, 16-18.

	Albrecher H., Drmota M., Goldstern M., Grabner P. ; Winkler R. (2007). Robert F.Tichy: 50 years - The unreasonable effectiveness of a number theorist. Uniform Distribution Theory, 2, 151-160.

	Albrecher H. , Hartinger J. (2007). A risk model with multilayer dividend strategy. North American Actuarial Journal, 11, 43-64.

	Albrecher H. , Hartinger J. (2007). Reply to discussions on "A risk model with multilayer dividend strategy". North American Actuarial Journal, 11, 141-142.

	Albrecher H., Hartinger J. ; Thonhauser S. (2007). On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model. ASTIN Bulletin, 37, 203-233.

	Albrecher H. , Hipp C. (2007). Lundberg's risk process with tax. Blätter der DGVFM, 28, 13-28.

	Albrecher H., Mayer P., Schoutens W. ; Tistaert J. (2007). The little Heston trap. WILMOTT, 83-92.

	Albrecher H. , Teugels J. L. (2007). Asymptotic Analysis of a Measure of Variation. Theory of Probability and Mathematical Statistics, 74, 1-10.

	Albrecher H. , Thonhauser S. (2007). Discussion of ''On the Merger of Two Companies'' by H. Gerber and E. Shiu. North American Actuarial Journal, 11, 157-159.

	Thonhauser S. , Albrecher H. (2007). Dividend maximization under consideration of the time value of ruin. Insurance: Mathematics and Economics, 41, 163-184.

	Albrecher H. , Asmussen S. (2006). Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Scandinavian Actuarial Journal, 86-110.

	Albrecher H., Asmussen S. ; Kortschak D. (2006). Tail asymptotics for the sum of two heavy-tailed dependent risks. Extremes, 9, 107-130.

	Albrecher H., Burkard R. E. ; Cela E. (2006). An asymptotical study of combinatorial optimization problems by means of statistical mechanics. Journal of Computational and Applied Mathematics, 186, 148-162.

	Albrecher H. , Hartinger J. (2006). On the non-optimality of horizontal barrier strategies in the Sparre Andersen model. Hermis J. Comp. Math. Appl., 7, 109-122.

	Albrecher H. , Teugels J. L. (2006). Exponential behavior in the presence of dependence in risk theory. Journal of Applied Probability, 43, 257-273.

	Albrecher H. , Thonhauser S. (2006). Discussion of ''On Optimal Dividend Strategies in the Compound Poisson Model'' by H. Gerber and E. Shiu. North American Actuarial Journal, 10, 68-71.

	Albrecher H. (2005). Discussion of ''The Time Value of Ruin in a Sparre Andersen Model'' by H. Gerber and E. Shiu. North American Actuarial Journal, 9, 71-73.

	Albrecher H. (2005). A note on the asymptotic behaviour of bottleneck problems. Operations Research Letters, 33, 183-186.

	Albrecher H. (2005). Some Extensions of the Classical Ruin Model in Risk Theory. Grazer Mathematische Berichte, 348, 1-14.

	Albrecher H. , Boxma O. (2005). On the discounted penalty function in a Markov-dependent risk model. Insurance: Mathematics and Economics, 37, 650-672.

	Albrecher H., Claramunt M. ; Marmol M. (2005). On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times. Insurance: Mathematics and Economics, 37, 324-334.

	Albrecher H., Dhaene J., Goovaerts M. ; Schoutens W. (2005). Static hedging of Asian options under Levy models. Journal of Derivatives, 12, 63-72.

	Albrecher H., Hartinger J. ; Tichy R. (2005). On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier. Scandinavian Actuarial Journal, 103-126.

	Albrecher H. (2004). Discussion of ''Optimal Dividends: Analysis with Brownian Motion'' by A. C. Cebrián, H. Gerber and E. Shiu. North American Actuarial Journal, 8, 111-113.

	Albrecher H. , Boxma O. (2004). A ruin model with dependence between claim sizes and claim intervals. Insurance: Mathematics and Economics, 35, 245-254.

Expériences professionnelles

• 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

• 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

• Editor, Insurance: Mathematics & Economics, since 2010


• Co-Editor-in-Chief, EAA Book Series, Springer, since 2012


• Co-Editor, European Actuarial Journal, since 2011


• 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, Mathematical Methods of Operations Research, 2007-2011


• Editor, Bulletin of the Swiss Association of Actuaries, 2009-2010


• Associate Editor, Blaetter der DGVFM, 2007-2010


• Associate Editor, Insurance: Mathematics & Economics 2008-2009

• Project Leader "Mathematical Analysis of Insurance Risk Processes II", supported
  by the Swiss National Science Foundation, 2012-2015
  


• Project Leader "Mathematical Analysis of Insurance Risk Processes", supported
  by the Swiss National Science Foundation, 2009-2012
  


• Co-Investigator "Impact2C", EU-FP7 Project, since 2011
  


• 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