Hansjörg Albrecher

21 papers Journal 20Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
Hashpower allocation in Pay-per-Share blockchain mining pools.
CoRR
Pierre-Olivier Goffard, Hansjörg Albrecher, Jean-Pierre Fouque
2022 J jnl
On the Profitability of Selfish Blockchain Mining Under Consideration of Ruin.
Oper. Res.
Hansjörg Albrecher, Pierre-Olivier Goffard
2022 J jnl
Optimal Ratcheting of Dividends in a Brownian Risk Model.
SIAM J. Financial Math.
Hansjörg Albrecher, Pablo Azcue, Nora Muler
2021 J jnl
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin.
CoRR
Hansjörg Albrecher, Dina Finger, Pierre-Olivier Goffard
2020 J jnl
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes.
J. Appl. Probab.
Hansjörg Albrecher, Bohan Chen, Eleni Vatamidou, Bert Zwart
2020 J jnl
On the profitability of selfish blockchain mining under consideration of ruin.
CoRR
Hansjörg Albrecher, Pierre-Olivier Goffard
2020 J jnl
Optimal Ratcheting of Dividends in Insurance.
SIAM J. Control. Optim.
Hansjörg Albrecher, Pablo Azcue, Nora Muler
2019 J jnl
Inhomogeneous phase-type distributions and heavy tails.
J. Appl. Probab.
Hansjörg Albrecher, Mogens Bladt
2017 J jnl
On effects of asymmetric information on non-life insurance prices under competition.
Int. J. Data Anal. Tech. Strateg.
Hansjörg Albrecher, Daily-Amir Dalit
2014 J jnl
Exact boundaries in sequential testing for phase-type distributions.
J. Appl. Probab.
Hansjörg Albrecher, Peiman Asadi, Jevgenijs Ivanovs
2014 J jnl
On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models.
J. Appl. Probab.
Hansjörg Albrecher, Onno J. Boxma, Jevgenijs Ivanovs
2013 J jnl
Competition among non-life insurers under solvency constraints: A game-theoretic approach.
Eur. J. Oper. Res.
Christophe Dutang, Hansjörg Albrecher, Stéphane Loisel
2013 J jnl
Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums.
SIAM J. Appl. Math.
Hansjörg Albrecher, Corina Constantinescu, Zbigniew Palmowski, Georg Regensburger, Markus Rosenkranz
2011 J jnl
Ruin theory with excess of loss reinsurance and reinstatements.
Appl. Math. Comput.
Hansjörg Albrecher, Sandra Haas
2010 — conf
A Numerical Approach to Ruin Models with Excess of Loss Reinsurance and Reinstatements.
COMPSTAT
Hansjörg Albrecher, Sandra Haas
2010 J jnl
On the efficient evaluation of ruin probabilities for completely monotone claim distributions.
J. Comput. Appl. Math.
Hansjörg Albrecher, Florin Avram, Dominik Kortschak
2005 J jnl
A note on the asymptotic behaviour of bottleneck problems.
Oper. Res. Lett.
Hansjörg Albrecher
2004 J jnl
QMC techniques for CAT bond pricing.
Monte Carlo Methods Appl.
Hansjörg Albrecher, Jürgen Hartinger, Robert F. Tichy
2003 J jnl
Simulation methods in ruin models with non-linear dividend barriers.
Math. Comput. Simul.
Hansjörg Albrecher, Reinhold Kainhofer, Robert F. Tichy
2002 J jnl
Risk Theory with a nonlinear Dividend Barrier.
Computing
Hansjörg Albrecher, Reinhold Kainhofer
2002 J jnl
Simulation of ruin probabilities for risk processes of Markovian type.
Monte Carlo Methods Appl.
Hansjörg Albrecher, Josef Kantor