110 citations · 143 across the 9 of their papers we have counts for
5 papers · 1 filter
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…
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…