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General Lower Bounds for Arithmetic Asian Option Prices
Albrecher, H.; Mayer, P.A.; Schoutens, W. - In: Applied mathematical finance 15 (2008) 1-2, pp. 123-150
Persistent link: https://www.econbiz.de/10008221134
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General Lower Bounds for Arithmetic Asian Option Prices
Albrecher, H.; Mayer, P.A.; Schoutens, W. - In: Applied mathematical finance 15 (2008) 2, pp. 123-150
Persistent link: https://www.econbiz.de/10008221162
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Properties of a Risk Measure Derived from Ruin Theory
Trufin, Julien; Albrecher, Hansjoerg; Denuit, Michel M - In: The Geneva risk and insurance review 36 (2011) 2, pp. 174-189
Persistent link: https://www.econbiz.de/10009804625
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Implied liquidity: Model sensitivity
Albrecher, Hansjoerg; Guillaume, Florence; Schoutens, Wim - In: Journal of empirical finance 23 (2013), pp. 48-67
Persistent link: https://www.econbiz.de/10010165910
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On the discounted penalty function in a Markov-dependent risk model
Albrecher, Hansjörg; Boxma, Onno J. - In: Insurance / Mathematics & economics 37 (2005) 3, pp. 650-672
Persistent link: https://www.econbiz.de/10006874103
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On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times
Albrecher, Hansjörg; Claramunt, M.Mercè; Mármol, Maite - In: Insurance / Mathematics & economics 37 (2005) 2, pp. 324-334
Persistent link: https://www.econbiz.de/10006874799
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A ruin model with dependence between claim sizes and claim intervals
Albrecher, Hansjörg; Boxma, Onno J. - In: Insurance / Mathematics & economics 35 (2004) 2, pp. 245-254
Persistent link: https://www.econbiz.de/10006879178
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On a gamma series expansion for the time-dependent probability of collective ruin
Albrecher, Hansjörg; Teugels, Jozef L.; Tichy, Robert F. - In: Insurance / Mathematics & economics 29 (2001) 3, pp. 345-356
Persistent link: https://www.econbiz.de/10006898591
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A note on the asymptotic behaviour of bottleneck problems
Albrecher, Hansjörg - In: Operations research letters 33 (2005) 2, pp. 183-186
Persistent link: https://www.econbiz.de/10006810087
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On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
Albrecher, Hansjörg; Hartinger, Jürgen; Tichy, Robert - In: Scandinavian actuarial journal : Actuarial Society of … 105 (2005) 2, pp. 103-126
Persistent link: https://www.econbiz.de/10005922188