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Fitting nonstationary cox processes : an application to fire insurance data

Albrecher, Hansjörg; Araujo Acuna, José Carlos; … - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 2, pp. 135-162

Persistent link: https://www.econbiz.de/10012549748

Ruin probabilities and aggregate claims distributions for shot noise Cox processes

Albrecher, Hansjörg (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003093888

Optimal dividend bands revisited : a gradient-based method and evolutionary algorithms

Albrecher, Hansjörg; Garcia Flores, Brandon - In: Scandinavian actuarial journal 2023 (2023) 8, pp. 788-810

Persistent link: https://www.econbiz.de/10014383971

Joint asymptotic distributions of smallest and largest insurance claims

Albrecher, Hansjörg; Robert, Christian Yann; Teugels, … - In: Risks : open access journal 2 (2014) 3, pp. 289-314

Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...

Persistent link: https://www.econbiz.de/10010400269

Pricing of Parisian options for a jump-diffusion model with two-sided jumps

Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen - In: Applied mathematical finance 19 (2012) 1/2, pp. 97-129

Persistent link: https://www.econbiz.de/10009561239

Linking dividends and capital injections : a probabilistic approach

Albrecher, Hansjörg; Ivanovs, Jevgenijs - In: Scandinavian actuarial journal (2018) 1, pp. 76-83

Persistent link: https://www.econbiz.de/10011880818

A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process

Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; … - In: Insurance / Mathematics & economics 103 (2022), pp. 96-118

Persistent link: https://www.econbiz.de/10013198330

A tractable class of multivariate phase-type distributions for loss modeling

Bladt, Martin - In: North American actuarial journal : NAAJ ; leading the … 27 (2023) 4, pp. 710-730

Persistent link: https://www.econbiz.de/10014444114

Strongly convergent homogeneous approximations to inhomogeneous Markov jump processes and applications

Bladt, Martin; Peralta, Oscar - In: Mathematics of operations research 50 (2025) 1, pp. 334-355

Persistent link: https://www.econbiz.de/10015211698