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ORCIDHansjörg Albrecher
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2020 – today
- 2022
[j17]Hansjörg Albrecher
, Pierre-Olivier Goffard:
On the Profitability of Selfish Blockchain Mining Under Consideration of Ruin. Oper. Res. 70(1): 179-200 (2022)- [j16]Hansjörg Albrecher, Pablo Azcue, Nora Muler:
Optimal Ratcheting of Dividends in a Brownian Risk Model. SIAM J. Financial Math. 13(3): 657-701 (2022) - 2021
- [i2]Hansjörg Albrecher, Dina Finger, Pierre-Olivier Goffard:
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin. CoRR abs/2109.03085 (2021) - 2020
- [j15]Hansjörg Albrecher, Bohan Chen, Eleni Vatamidou, Bert Zwart:
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. J. Appl. Probab. 57(2): 513-530 (2020) - [j14]Hansjörg Albrecher, Pablo Azcue, Nora Muler:
Optimal Ratcheting of Dividends in Insurance. SIAM J. Control. Optim. 58(4): 1822-1845 (2020) - [i1]Hansjörg Albrecher, Pierre-Olivier Goffard:
On the profitability of selfish blockchain mining under consideration of ruin. CoRR abs/2010.12577 (2020)
2010 – 2019
- 2019
- [j13]Hansjörg Albrecher, Mogens Bladt:
Inhomogeneous phase-type distributions and heavy tails. J. Appl. Probab. 56(4): 1044-1064 (2019) - 2017
- [j12]Hansjörg Albrecher, Daily-Amir Dalit:
On effects of asymmetric information on non-life insurance prices under competition. Int. J. Data Anal. Tech. Strateg. 9(4): 287-299 (2017) - 2014
- [j11]Hansjörg Albrecher, Onno J. Boxma, Jevgenijs Ivanovs:
On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models. J. Appl. Probab. 51(1): 293-296 (2014) - [j10]Hansjörg Albrecher, Peiman Asadi, Jevgenijs Ivanovs:
Exact boundaries in sequential testing for phase-type distributions. J. Appl. Probab. 51(A): 347-358 (2014) - 2013
- [j9]Christophe Dutang, Hansjörg Albrecher, Stéphane Loisel:
Competition among non-life insurers under solvency constraints: A game-theoretic approach. Eur. J. Oper. Res. 231(3): 702-711 (2013) - [j8]Hansjörg Albrecher, Corina Constantinescu, Zbigniew Palmowski, Georg Regensburger, Markus Rosenkranz:
Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums. SIAM J. Appl. Math. 73(1): 47-66 (2013) - 2011
- [j7]Hansjörg Albrecher, Sandra Haas:
Ruin theory with excess of loss reinsurance and reinstatements. Appl. Math. Comput. 217(20): 8031-8043 (2011) - 2010
- [j6]Hansjörg Albrecher, Florin Avram, Dominik Kortschak:
On the efficient evaluation of ruin probabilities for completely monotone claim distributions. J. Comput. Appl. Math. 233(10): 2724-2736 (2010) - [c1]Hansjörg Albrecher, Sandra Haas:
A Numerical Approach to Ruin Models with Excess of Loss Reinsurance and Reinstatements. COMPSTAT 2010: 135-144
2000 – 2009
- 2005
- [j5]Hansjörg Albrecher:
A note on the asymptotic behaviour of bottleneck problems. Oper. Res. Lett. 33(2): 183-186 (2005) - 2004
- [j4]Hansjörg Albrecher, Jürgen Hartinger, Robert F. Tichy:
QMC techniques for CAT bond pricing. Monte Carlo Methods Appl. 10(3-4): 197-211 (2004) - 2003
- [j3]Hansjörg Albrecher, Reinhold Kainhofer, Robert F. Tichy:
Simulation methods in ruin models with non-linear dividend barriers. Math. Comput. Simul. 62(3-6): 277-287 (2003) - 2002
- [j2]Hansjörg Albrecher, Reinhold Kainhofer:
Risk Theory with a nonlinear Dividend Barrier. Computing 68(4): 289-311 (2002) - [j1]Hansjörg Albrecher, Josef Kantor:
Simulation of ruin probabilities for risk processes of Markovian type. Monte Carlo Methods Appl. 8(2): 111-128 (2002)
Coauthor Index
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