4 citations · 6 across the 9 of their papers we have counts for
15 papers
Trimmed extreme value estimators for censored heavy-tailed data
Martin Bladt, Hansjoerg Albrecher, Jan Beirlant
We consider estimation of the extreme value index and extreme quantiles for heavy-tailed data that are right-censored. We study a general procedure of removing low importance obser…
Continuous scaled phase-type distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt +1
Products between phase-type distributed random variables and any independent, positive and continuous random variable are studied. Their asymptotic properties are established, and…
Optimal ratcheting of dividends in a Brownian risk model
Hansjoerg Albrecher, Pablo Azcue, Nora Muler
We study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting, i.e. the dividend rate…
On the profitability of selfish blockchain mining under consideration of ruin
Hansjoerg Albrecher, Pierre-Olivier Goffard
Mining blocks on a blockchain equipped with a proof of work consensus protocol is well-known to be resource-consuming. A miner bears the operational cost, mainly electricity consum…
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
Hansjoerg Albrecher, Mogens Bladt, Jorge Yslas
The class of inhomogeneous phase-type distributions (IPH) was recently introduced in Albrecher and Bladt (2019) as an extension of the classical phase-type (PH) distributions. Like…
Tempered Pareto-type modelling using Weibull distributions
Jose Carlos Araujo Acuna, Hansjoerg Albrecher, Jan Beirlant
In various applications of heavy-tail modelling, the assumed Pareto behavior is tempered ultimately in the range of the largest data. In insurance applications, claim payments are…
Multivariate Matrix Mittag--Leffler distributions
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt
We extend the construction principle of multivariate phase-type distributions to establish an analytically tractable class of heavy-tailed multivariate random variables whose margi…
Optimal ratcheting of dividends in insurance
Hansjoerg Albrecher, Pablo Azcue, Nora Muler
We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decrea…
Matrix Mittag--Leffler distributions and modeling heavy-tailed risks
Hansjoerg Albrecher, Martin Bladt, Mogens Bladt
In this paper we define the class of matrix Mittag-Leffler distributions and study some of its properties. We show that it can be interpreted as a particular case of an inhomogeneo…
Threshold selection and trimming in extremes
Martin Bladt, Hansjoerg Albrecher, Jan Beirlant
We consider removing lower order statistics from the classical Hill estimator in extreme value statistics, and compensating for it by rescaling the remaining terms. Trajectories of…
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
Hansjoerg Albrecher, Jevgenijs Ivanovs
We consider exit problems for general Lévy processes, where the first passage over a threshold is detected either immediately or at an epoch of an independent homogeneous Poisson p…
Optimal Dividend Strategies for Two Collaborating Insurance Companies
Hansjoerg Albrecher, Pablo Azcue, Nora Muler
We consider a two-dimensional optimal dividend problem in the context of two insurance companies with compound Poisson surplus processes, who collaborate by paying each other's def…
Joint asymptotic distributions of smallest and largest insurance claims
Hansjoerg Albrecher, Christian Robert, Jef Teugels
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…
A risk model with an observer in a Markov environment
Hansjoerg Albrecher, Jevgenijs Ivanovs
We consider a spectrally-negative Markov additive process as a model of a risk process in random environment. Following recent interest in alternative ruin concepts, we assume that…
Power identities for Lévy risk models under taxation and capital injections
Hansjoerg Albrecher, Jevgenijs Ivanovs
In this paper we study a spectrally negative Lévy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can…