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Hans-Ulrich Gerber
Coordonnées
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Professeur honoraire
Département de sciences actuarielles Contact Hans-Ulrich.Gerber@unil.ch Extranef, bureau 237 Tél 021.692.33.98 Fax 0216923435 Adresse postale Université de Lausanne Quartier UNIL-Chamberonne Bâtiment Extranef 1015 Lausanne |
Recherches
Axes de recherche
Théorie du risquePublications
100 dernières publications
: Revue avec comité de lecture
2019
Gerber H.U., Shiu E.S.W. ; Yang H. (2019). A constraint-free approach to optimal reinsurance. Scandinavian Actuarial Journal, 2019, 62-79.  | |
2015
| Gerber H.U., Shiu E.S.W. ; Yang H. (2015). Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Insurance: Mathematics and Economics, 64, 313-325. | |
| Kaas R., Gerber H., Goovaerts M., Shiu E. ; Albrecher H. (2015). The impact factor of IME (Editorial). Insurance: Mathematics and Economics, 62, 1-4. | |
2013
| Gerber H.U., Shiu E.S.W. ; Yang H. (2013). Valuing equity-linked death benefits in jump diffusion models. Insurance: Mathematics and Economics, 53, 615-623. | |
2012
| Gerber H.U., Shiu E.S.W. ; Yang H. (2012). The Omega model: from bankruptcy to occupation times in the red. European Actuarial Journal, 2, 259-272. | |
| Gerber H.U., Shiu E.S.W. ; Yang H. (2012). Valuing equity-linked death benefits and other contingent options: a discounted density approach. Insurance: Mathematics & Economics, 51, 73-92. | |
2011
| 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. | |
2010
| 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. | |
| Gerber H.U., Shiu E.S.W. ; Yang H. (2010). An elementary approach to discrete models of dividend strategies. Insurance: Mathematics and Economics, 46, 109-116. | |
| Gerber H.U. , Yang H. (2010). Obtaining the dividends-penalty identities by interpretation. Insurance: Mathematics and Economics, 47, 206-207. | |
2009
| 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. | |
| Gerber H.U., Shiu E.S.W. ; Yang H. (2009). Crossing Time of Annuities with Exponential Payment Rates. Bulletin of the Swiss Association of Actuaries, 96-100. | |
2008
| Avanzi B., Gerber M. (Dir.) (2008). On optimal dividend strategies : review and dual model. Université de Lausanne, Faculté des hautes études commerciales. | |
| Avanzi B. , Gerber H.U. (2008). Optimal dividends in the dual model with diffusion. Astin Bulletin, 38, 653-667. | |
| Avanzi Benjamin , Gerber Hans U. (2008). Optimal Dividends in the Dual Model with Diffusion. ASTIN Bulletin, 38, 653-667. | |
| Gerber H.U., Shiu E. S. W. ; Smith N. (2008). Methods to estimate the optimal dividend barrier and the probability of ruin. Insurance: Mathematics and Economics, 42, 243-254. | |
| Gerber H.U. , Smith N. (2008). Optimal dividends with incomplete information in the dual model. Insurance: Mathematics and Economics, 43, 227-233. | |
| Smith N., Gerber M. (Dir.) (2008). On optimal dividend strategies with deficit or incomplete information. Université de Lausanne, Faculté des hautes études commerciales. | |
2007
| Avanzi B., Gerber H.U. ; Shiu E.S.W. (2007). Optimal Dividends in the Dual Model. Insurance: Mathematics and Economics, 41, 111-123. | |
| Gerber H.U. , Yang H. (2007). Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment. North American Actuarial Journal, 11, 159-169. | |
| H.U. Gerber (2007). Life Insurance Mathematics. Springer Tokyo. | |
2006
| Cai J., Gerber H.U. ; Yang H. (2006). Optimal Dividends in an Ornstein-Uhlenbeck Type Model with Credit and Debit Interest. North American Actuarial Journal, 10, 94-108. | |
| Chan B., Gerber H.U. ; Shiu E.S.W. (2006). Discussion of Xiaowen Zhou's "On a Classical Risk Model with a Constant Dividend Barrier". North American Actuarial Journal, 10, 133-139. | |
| Gerber H. U. , Shiu E. S. W. (2006). On the Merger of Two Companies. North American Actuarial Journal, 10, 60-67. | |
| Gerber H. U. , Shiu E. S. W. (2006). On Optimal Dividend Strategies in the Compound Poisson Model. North American Actuarial Journal, 10, 76-93. | |
| Gerber H. U., Shiu E. S. W. ; Smith N. (2006). Maximizing Dividends without Bankruptcy. Astin Bulletin, 36, 5-23. | |
| Gerber H.U., Lin X.S. ; Yang H. (2006). A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier. Astin Bulletin, 36, 489-503. | |
| Gerber H.U. , Shiu E.S.W. (2006). On Optimal Dividends: From Reflection to Refraction. Journal of Computational and Applied Mathematics, 186, 4-22. | |
2005
| Gerber H. U. , Shiu E. S. W. (2005). The Time Value of ruin in a Sparre Andersen Model. North American Actuarial Journal, 9, 49-84. | |
2004
| Gerber H. U. , Shiu E. S. W. (2004). Optimal Dividends : Analysis with Brownian Motion. North American Actuarial Journal, 8, 1-20. | |
2003
| Gerber H. U., Leung B. P. K. ; Shiu E. S. W. (2003). Indicator Function and Hattendorff Theorem. North American Actuarial Journal, 7, 38-47. | |
| Gerber H. U. , Shiu E. S. W. (2003). Geometric Brownian Motion Models for Assets and Liabilities : From Pension Funding to Optimal Dividends. North American Actuarial Journal, 7, 37-56. | |
| Gerber H. U. , Shiu E. S. W. (2003). Pricing Lookback Options and Dynamic Guarantees. North American Actuarial Journal, 7, 48-67. | |
| Gerber H. U. , Shiu E. S. W. (2003). Pricing Perpetual Fund Protection with Withdrawal Option. North American Actuarial Journal, 7, 60-92. | |
| Gerber H. U. , Shiu E. S. W. (2003). Discussion of "Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process". North American Actuarial Journal, 7, 117-119 and 96-101. | |
| Gerber H. U. , Shiu E. S. W. (2003). Economic Ideas of Bruno De Finetti in the Wiener Process Model. Metodi Statistici per la Finanza e le Assicurazioni (pp. 75-95). Frosini B.V. | |
2001
| Deprez. O. , Furrer C. ; Gerber H.U. (2001). Performanceweitergabe bei einer Mindestverzinsung. Bulletin of the Swiss Association of Actuaries, 2001, 109-121. | |
2000
| Cheng S., Gerber H.U. ; Shiu E.S.W. (2000). Discounted probabilities of ruin in the compound binomial model. Insurance: Mathematics and Economics, 26, 239-250. | |
| Gerber H.U. , Pafumi G. (2000). Pricing dynamic investment fund protection. North American Actuarial Journal, 4, 28-41. | |
| Gerber H.U. , Shiu E.S.W. (2000). Investing for retirement: optimal capital growth and dynamic asset allocation. North American Actuarial Journal, 4, 42-62. | |
1999
| Gerber H.U. , Shiu E.S.W. (1999). From ruin theory to pricing reset guarantees and perpetual put options. Insurance: Mathematics and Economics, 24, 3-14. | |
1998
| Gerber Hans U. , Pafumi Gérard (1998). Stop-loss a tempo continuo e protezione dinamica di un fondo d’investimento. Decisions in Economics and Finance, 21, 125-146. | |
| Gerber H.U. , Landry B. (1998). On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Insurance: Mathematics and Economics, 22, 263-276. | |
| Gerber H.U. , Pafumi G. (1998). Stop-loss a tempo continuo e protezione dinamica di un fondo d'investimento. Rivista di matematica per le scienze economiche e sociali, 21, 125-146. | |
| Gerber H.U. , Pafumi G. (1998). Utility functions: from risk theory to finance. North American Actuarial Journal, 2, 74-100. | |
| Gerber H.U. , Shiu E.S.W. (1998). On the time value of ruin. North American Actuarial Journal, 2, 48-78. | |
| Gerber H.U. , Shiu E.S.W. (1998). Pricing perpetual options for jump processes. North American Actuarial Journal, 2, 101-112. | |
1997
| Bowers N. L., Gerber H. U., James C. H., Donald A. J. ; Cecil J. N. (1997). Actuarial Mathematics, second edition. Society of Actuaries. | |
| Gerber H.U , Shiu E.S.W. (1997). Le prix d'une option américaine perpétuelle pour des processus à sauts. Bulletin Français d'Actuariat, 1, 83-91. | |
| Gerber H.U. , Exercises Contributed by Cox S.H. (1997). Life Insurance Mathematics, third edition. Springer-Verlag, Berlin-Heidelberg and Swiss Association of Actuaries, Zürich. | |
| Gerber H.U. , Landry B. (1997). Skewness and stock option prices. North American Actuarial Journal, 1, 50-65. | |
| Gerber H.U. , Shiu E.S.W. (1997). On optimal investment strategies. Rivista di matematica per le scienze economiche e sociali, 20, 133-151. | |
| Gerber H.U. , Shiu E.S.W. (1997). The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Insurance: Mathematics and Economics, 21, 129-137. | |
1996
| Gerber H.U. (1996). Life Insurance Mathematics. Drustvo matematikov, fisikov in astronomov Slovenije. | |
1995
| Embrechts P., Gerber H.U., Gisler A., Kohler M.T., Luthy H., Streit P. ; Tobler H. (1995, Jan). Ausbildung und Anerkennung der Versicherungsmathematiker. Transactions of the 25th International Congress of Actuaries (pp. 165-180). | |
| Gerber H.U. (1995). A Teacher's Remark on Exact Credibility. Astin Bulletin, 25, 189-192. | |
| Gerber H.U., Michaud F ; Shiu E.S.W. (1995, Jan). Pricing Russian Options with the Compound Poisson Process. Transactions of the 25th International Congress of Actuaries, 3 (pp. 243-263). | |
| Gerber H.U. , Shiu E.S.W. (1995, Jan). Actuarial Approach to Option Pricing. Proceedings of the 5th AFIR International Colloquium, 1 (pp. 43-96). | |
1994
| Gerber Hans U. , Shiu Elias S.W. (1994). Martingale Approach to Pricing Perpetual American Options. ASTIN Bulletin, 24, 195-220. | |
| Gerber H. U. , Shiu E.S.W. (1994). From Perpetual Strangles to Russian Options. Insurance: Mathematics and Economics, 15, 121-126. | |
| Gerber H.U. (1994). Martingales and tail probabilities. Astin Bulletin, 24, 145-146. | |
| Gerber H.U. , Kaas R. (1994). Some Alternatives for the Individual Model. Insurance: Mathematics and Economics, 15, 127-132. | |
| Gerber H.U. , Shiu E.S.W. (1994). Martingale Approach to Pricing Perpetual American Options. Astin Bulletin, 24, 195-220. | |
| Gerber H.U. , Shiu E.S.W. (1994). Pricing Financial Contracts with Indexed Homogeneous Payoff. Bulletin of the Swiss Association of Actuaries, 94, 143-166. | |
| Gerber H.U. , Shiu E.S.W. (1994). Option pricing by Esscher transforms. Transactions of the Society of Actuaries, 46. | |
1993
| Dufresne F. , Gerber H.U. (1993). The Probability of Ruin for the Inverse Gaussian and Related Processes. Insurance: Mathematics and Economics, 12, 9-22. | |
| Dufresne F. , Gerber H.U. (1993). The Probability of Ruin for the Inverse Gaussian and Related Processes. Insurance: Mathematics and Economics, 12, 9-22. | |
| Gerber H. U. (1993). Ruin theory beyond chapter 12. Actuarial Research Clearing House, 1-4. | |
| Gerber H. U. , Shiu E. S. W. (1993). Option Pricing by Esscher Transforms. Proceedings of the 24th Astin Colloquium, Cambridge, 2, 305-344. | |
| Gerber H. U. , Shiu E. S. W. (1993). Discussion of the paper "Valuing American options in a Path Simulation Model" by J.A. Tilley. Transactions of the Society of, 44, 524-534. | |
1992
| Gerber H. U. (1992). From the generalized gamma to the generalized negative binomial distribution. Insurance: Mathematics and Economics, 10, 303-309. | |
| Gerber H. U. (1992). A survey of some results of classical ruin theory. Geld, Banken und Versicherungen, VVW Karlsruhe, 43-52. | |
| Gerber H. U. (1992). On the probability of ruin for infinitely divisible claim amount. Insurance: Mathematics and Economics, 11, 163-166. | |
1991
| Dufresne F. , Gerber H. U. (1991). Risk theory for the compound Poisson process that is perturbed by diffusion. Insurance: Mathematics and Economics, 10. | |
| Dufresne F. , Gerber H. U. (1991). Rational ruin problems - a note for the teacher. Insurance: Mathematics and Economics, 10, 21-29. | |
| Dufresne F., Gerber H. U. ; Shiu E. S. W. (1991). Risk theory with the gamma process. ASTIN Bulletin, 21, 177-192. | |
| Dufresne F. , Gerber H.U. (1991). Rational ruin problems - A note for the teacher. Insurance: Mathematics and Economics, 10, 21-29. | |
| Dufresne F. , Gerber H.U. (1991). Risk theory for the compound Poisson process that is perturbed by diffusion. Insurance: Mathematics and Economics, 10, 51-59. | |
| Dufresne F., Gerber H.U. ; Shiu E.S.W. (1991). Risk theory with the gamma process. ASTIN Bulletin, 21, 177-192. | |
| Dufresne François, Gerber Hans U. ; Shiu Elias S. W. (1991). Risk Theory with the Gamma Process. ASTIN Bulletin, 21, 177-192. | |
1990
| Gerber H.U. (1990). From the comvolution of uniform distributions to the probability of ruin. Bulletin of the Swiss Association of Actuaries, 283-292. | |
| Gerber H.U. (1990). When does the surplus reach a given target?. Insurance: Mathematics and Economics, 9, 115-119. | |
| Gerber H.U. (1990). Great expectations - Advanced problem 6576. American Mathematical Monthly, 97, 930-932. | |
1989
| Dufresne F. , Gerber H.U. (1989). Three methods to calculate the probability of ruin. ASTIN Bulletin, 19, 71-90. | |
| Dufresne F. Gerber H.U. (1989). Three methods to calculate the probability of ruin. ASTIN Bulletin, 19, 71-90. | |
1988
| Dufresne F. , Gerber H.U. (1988). The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Insurance: Mathematics and Economics, 7, 193-199. | |
| Dufresne F. , Gerber H.U. (1988). The probability and severity of ruin for combinations of exponential claim amount distribution and their translations. Insurance: Mathematics and Economics, 7, 75-80. | |
| Dufresne F. , Gerber H.U. (1988). The probability and severity of ruin for combinations of exponential claim amount distributions and their translations. Insurance: Mathematics and Economics, 7, 75-80. | |
| Dufresne F. Gerber H.U. (1988). The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Insurance: Mathematics and Economics, 7, 193-199. | |
| Gerber H.U. (1988). Bewertung des Risikos einer Pensionskasse. Münchner Blätter der Versicherungsmathematik, 1-26. | |
| Gerber H.U. (1988). Mathematical fun with the compound binomial process. Astin Bulletin, 18, 161-168. | |
| Gerber H.U. (1988). Mathematical fun with ruin theory. Insurance: Mathematics and Economics, 7, 15-23. | |
| Gerber H.U. Shiu E.S.W. (1988). Non-uniqueness of option prices. Insurance: Mathematics and Economics, 7, 67-69. | |
1987
| Gerber Hans U., Goovaerts Marc J. ; Kaas Rob (1987). On the Probability and Severity of Ruin. ASTIN Bulletin, 17, 151-163. | |
| Gerber H.U. (1987). Some moment inequalities and their applications. Transactions of the Society of Actuaries, 38, 75-104. | |
| Gerber H.U. (1987, Jan). Actuarial applications of utility functions. Actuarial Science. Reidel. | |
| Gerber H.U. Goovaerts M.J. Kaas R. (1987). On the probability and severity of ruin. Astin Bulletin, 17, 151-163. | |
| Gerber H.U. Valderrama Ospina A. (1987). A simple proof of Feller's characterization of the compound Poisson distribution. Insurance: Mathematics and Economics, 6, 63-64. | |
Curriculum
Formations
Professeur à l'Université de LausanneDepuis 1981
Professeur à l'Université du Michigan
1970-1971, 1972-1981
Professeur Assistant Invité à l'Université de Rochester
1969-1970
Doctorat en Mathématiques, ETH Zurich
1969
Expériences professionnelles
Swiss Life1971-1972
Autres activités
Membre associé de la Society of Actuaries1974
Actuaire ASA de l'Association Suisse des Actuaires
Insurance: Mathematics and Economics
Rédacteur
North American Actuarial Journal
Rédacteur Associé
Association Royale des Actuaires Belges <br> Istituto Italiano degli Attuari <br> Union Strasbourgeoise des Actuaires
Membre correspondant
Prix et distinctions scientifiques
Docteur Honoris Causa (University of Waterloo, Canada)Année : 2013
Honorary Professor at the University of Hong Kong
2011-2017
Année : 2011
Docteur Honoris Causa (Université Claude Bernard, Lyon 1)
Année : 2010
Insurance: Mathematics and Economics Award
Année : 2006
Membre d'honneur de l'Association suisse des actuaires
Année : 2005
Distinguished Visiting Professor at the University of Hong Kong
2005-2011
Année : 2005
Prix Halmstad (avec E. Shiu)
Année : 2002
Docteur Honoris Causa (Université Catholique de Leuven)
Année : 2001
Prix annuel de la Society of Actuaries (avec G. Pafumi)
Année : 2001
Prix Halmstad (avec E. Shiu)
Année : 2000
Prix annuel de la Society of Actuaries (avec G. Pafumi)
Année : 1999
Honorary Editor, Actuarial Communications (Journal of Actuarial Committee, Shanghai Insurance Institute)
Année : 1999
Edward A. Lew award (avec E. Shiu)
Année : 1999
Prix annuel de la Society of Actuaries (avec E. Shiu)
Année : 1996
Prix Halmstad (avec E. Shiu)
Année : 1996
Prix du Centenaire de l'Association Actuarielle Internationale
Année : 1995
First Warren Professor of Actuarial Science at the University of Manitoba
Année : 1989
