110 citations · 143 across the 9 of their papers we have counts for
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stat.AP2019
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…
math.PR2019
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…