110 citations · 143 across the 9 of their papers we have counts for
12 papers
On effects of present-bias on carbon emission patterns towards a net zero target
Hansjörg Albrecher, Jinxia Zhu
This paper explores the optimal policy for using an allocated carbon emission budget over time with the objective to maximize profit, by explicitly taking into account present-bias…
Optimal reinsurance from an optimal transport perspective
Beatrice Acciaio, Hansjörg Albrecher, Brandon García Flores
We use the randomization idea and proof techniques from optimal transport to study optimal reinsurance problems. We start by providing conditions for a class of problems that allow…
Optimal dividends revisited: a gradient-based method and evolutionary algorithms
Hansjörg Albrecher, Brandon García Flores
We reconsider the study of optimal dividend strategies in the Cramér-Lundberg risk model. It is well-known that the solution of the classical dividend problem is in general a band…
Informed censoring: the parametric combination of data and expert information
Hansjörg Albrecher, Martin Bladt
The statistical censoring setup is extended to the situation when random measures can be assigned to the realization of datapoints, leading to a new way of incorporating expert inf…
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin
Hansjoerg Albrecher, Dina Finger, Pierre-Olivier Goffard
The resource-consuming mining of blocks on a blockchain equipped with a proof of work consensus protocol bears the risk of ruin, namely when the operational costs for the mining ex…
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
Hansjörg Albrecher, Martin Bladt, Eleni Vatamidou
We consider the classical Cramér-Lundberg risk model with claim sizes that are mixtures of phase-type and subexponential variables. Exploiting a specific geometric compound represe…
Multivariate fractional phase--type distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt
We extend the Kulkarni class of multivariate phase--type distributions in a natural time--fractional way to construct a new class of multivariate distributions with heavy-tailed Mi…
Combined Tail Estimation Using Censored Data and Expert Information
Martin Bladt, Hansjoerg Albrecher, Jan Beirlant
We study tail estimation in Pareto-like settings for datasets with a high percentage of randomly right-censored data, and where some expert information on the tail index is availab…
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
Hansjörg Albrecher, Bohan Chen, Eleni Vatamidou +1
We investigate the probability that an insurance portfolio gets ruined within a finite time period under the assumption that the r largest claims are (partly) reinsured. We show th…
Inhomogeneous phase--type distributions and heavy tails
Hansjörg Albrecher, Mogens Bladt
We extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descrip…
Exit identities for Lévy processes observed at Poisson arrival times
Hansjörg Albrecher, Jevgenijs Ivanovs, Xiaowen Zhou
For a spectrally one-sided Lévy process, we extend various two-sided exit identities to the situation when the process is only observed at arrival epochs of an independent Poisson…
Exact and asymptotic results for insurance risk models with surplus-dependent premiums
Hansjörg Albrecher, Corina Constantinescu, Zbigniew Palmowski +2
In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the pre…