Albrecher, Hansjoerg
- Optimal ratcheting of dividends in a Brownian risk model
2020/12/19 by Albrecher, Hansjoerg, Azcue, Pablo, Muler, Nora · 4 citations
#49L25 #91G05 #93E20 #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR)
- Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
2020/06/23 by Albrecher, Hansjoerg, Bladt, Mogens, Yslas, Jorge · 3 citations
#62F10 #62N01 #62P05 #FOS: Mathematics #Primary: 60E05 Secondary: 60J22 #Statistics Theory (math.ST)
- Optimal Dividend Strategies for Two Collaborating Insurance Companies
2015/05/15 by Albrecher, Hansjoerg, Azcue, Pablo, Muler, Nora · 1 citation
#FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM)
- Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
2015/07/14 by Albrecher, Hansjoerg, Ivanovs, Jevgenijs · 1 citation
#FOS: Mathematics #Primary 60G51 #Probability (math.PR) #Secondary 91B30
- Mortality modeling and regression with matrix distributions
2020/11/06 by Hansjörg Albrecher, Martin Bladt, Albrecher, Hansjoerg +5 · 2 citations
Decision Sciences · Health Professions · Social Sciences · #FOS: Computer and information sciences #FOS: Mathematics #Global Health Care Issues #Insurance, Mortality, Demography, Risk Management #Methodology (stat.ME) #Statistics Theory (math.ST) #demographic modeling and climate adaptation
- Optimal dividend strategies for a catastrophe insurer
2023/11/09 by Albrecher, Hansjoerg, Azcue, Pablo, Muler, Nora · 1 citation
#FOS: Economics and business #FOS: Mathematics #Portfolio Management (q-fin.PM) #Probability (math.PR)
- Matrix Mittag--Leffler distributions and modeling heavy-tailed risks
2019/06/12 by Albrecher, Hansjoerg, Bladt, Martin, Bladt, Mogens · 1 citation
#FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)
- Combined Tail Estimation Using Censored Data and Expert Information
2019/08/09 by Bladt, Martin, Albrecher, Hansjoerg, Beirlant, Jan · 2 citations
#Applications (stat.AP) #FOS: Computer and information sciences #Methodology (stat.ME)
- Multivariate Matrix Mittag--Leffler distributions
2020/03/23 by Albrecher, Hansjoerg, Bladt, Martin, Bladt, Mogens · 1 citation
#FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)
- Multivariate fractional phase--type distributions
2020/03/24 by Albrecher, Hansjoerg, Bladt, Martin, Bladt, Mogens · 1 citation
#FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)
- Space-grid approximations of hybrid stochastic differential equations and first passage properties
2022/11/03 by Hansjörg Albrecher, Albrecher, Hansjoerg, Oscar Peralta +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #FOS: Mathematics #Probability (math.PR) #Simulation Techniques and Applications #Stochastic processes and financial applications #demographic modeling and climate adaptation