4 citations · 6 across the 9 of their papers we have counts for
3 papers · 1 filter
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…