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The Department of Actuarial Science (DSA) was created in 1981 to foster research in actuarial science and to continue HEC’s long tradition in actuarial education dating back to 1919.

Research of the DSA’s members covers a wide spectrum and is published in high quality international scientific journals. Faculty carries out research in Risk Theory, Credibility Theory, pricing of insurance and reinsurance contracts, mortality and longevity modeling, solvency, loss reserving, asset-liability management of insurance companies and pension funds, and mathematical finance. Actuarial science being multidisciplinary, the DSA’s researchers are also doing research in probability and stochastic processes, extreme value theory, and Monte Carlo simulation methods, that are tools essential for the development of actuarial and financial theories and their implementations.

Publications


375 publications classées par: type de publication  -  année
N.B. Les publications n'apparaissent qu'à partir de l'engagement des auteurs à la Faculté des HEC.
Pour une liste complète de chaque auteur, veuillez consulter son site web personnel.


In Press

Albrecher H. (in press). Simple Identities for Randomized Observations in Risk Theory. The Mathematics and Statistics of Quantitative Risk Management, Oberwolfach Report.
Albrecher H., Azcue P. ; Muler N. (in press). Optimal Dividend Strategies for Two Collaborating Insurance Companies. Advances in Applied Probability. Revue avec comité de lecture
Albrecher H., Boxma O.J., Essifi R. ; Kuijstermans R. (in press). A queueing model with randomized depletion of inventory. Probability in Engineering and Information Sciences. Revue avec comité de lecture
Albrecher H. , Cani A. (in press). Risk theory with affine dividend payment strategies. Number Theory - Diophantine Problems, Uniform Distribution and Applications, Festschrift for Robert F. Tichy. Springer.
Albrecher H. , Daily-Amir D. (in press). On Effects of Asymmetric Information on Non-Life Insurance Prices under Competition. International Journal of Data Analysis Techniques and Strategies. Revue avec comité de lecture
Asimit V., Hashorva E. ; Kortschak D. (in press). Aggregation of randomly weighted large risks. IMA Journal of Management Mathematics. Revue avec comité de lecture
Avraam D., Arnold S., Vasieva O., de Magalhaes J. P. ; Vasiev B. (in press). On the heterogeneity of human population as reflected by the mortality dynamics. Aging. Revue avec comité de lecture
Bai L, Debicki K, Hashorva E ; Li L (in press). On Generalised Piterbarg Constants. Methodology and Computing in Applied Probability. Revue avec comité de lecture
Debicki K, Hashorva E, Ji L ; Ling C (in press). Comparison Inequalities for Order Statistics of Gaussian Arrays. Latin American Journal of Probability and Mathematical Statistics. Revue avec comité de lecture
Dȩbicki K, Hashorva E ; Liu P (in press). EXTREMES OF GAUSSIAN RANDOM FIELDS WITH REGULARLY VARYING DEPENDENCE STRUCTURE. Extremes. Revue avec comité de lecture
Debicki K, Liu P, Mandjes M ; Sierpińska-Tułacz I (in press). Lévy-driven GPS queues with heavy-tailed input. Queueing Systems. Revue avec comité de lecture
Hashorva E, Ratovomirija G ; Tamraz M (in press). Some New Dependence Models derived from Multivariate Collective Models in Insurance Applications. Scandinavian Actuarial Journal. Revue avec comité de lecture
Ivanovs J. (in press). Potential measures of one-sided Markov additive processes with reflecting and terminating barriers. Journal of Applied Probability. Revue avec comité de lecture
Ling C , Peng Z (in press). Extremes of order statistics of self-similar processes. Science China Mathematics. Revue avec comité de lecture
Müller K., Schmeiser H. ; Wagner J. (in press). Insurance Claims Fraud: Optimal Auditing Strategies in Insurance Companies. Variance. Revue avec comité de lecture
Prettenthaler F., Albrecher H., Asadi P. ; Koeberl J. (in press). On Flood Risk Pooling in Europe. Natural Hazards. Revue avec comité de lecture
S. Engelke , J. Ivanovs (in press). A Lévy-derived process seen from its supremum and max-stable processes. Electronic Journal of Probability. Revue avec comité de lecture

2017

Albrecher H. , Ivanovs J. (2017). Strikingly simple identities relating exit problems for Levy processes under continuous and Poisson observations. Stochastic Processes and Applications, 127, 643-656. Revue avec comité de lecture
Bai Long (2017). Extremes of α(t)-locally stationary Gaussian processes with non-constant variances. Journal of Mathematical Analysis and Applications, 446, 248-263. Revue avec comité de lecture
Bai Long , Luo Li (2017). Parisian ruin of the Brownian motion risk model with constant force of interest. Statistics & Probability Letters, 120, 34-44. Revue avec comité de lecture
Liu Peng, Zhang Chunsheng ; Ji Lanpeng (2017). A note on ruin problems in perturbed classical risk models. Statistics & Probability Letters, 120, 28-33. Revue avec comité de lecture
Liu Peng , Ji Lanpeng (2017). Extremes of locally stationary chi-square processes with trend. Stochastic Processes and their Applications, 127, 497-525. Revue avec comité de lecture
Peng Xiaofan , Luo Li (2017). Finite time Parisian ruin of an integrated Gaussian risk model. Statistics & Probability Letters, 124, 22-29. Revue avec comité de lecture

2016

Albin P, Hashorva E, Ji L ; Ling C (2016). Extremes and limit theorems for difference of chi-type processes. ESAIM: Probability and Statistics, 20, 349-366. Revue avec comité de lecture
Albrecher H. (2016, Jan). Asymmetric Information and Insurance. Cahiers de l'Institute Louis Bachélier, 20 (pp. 12-15). Revue avec comité de lecture
Albrecher H., Embrechts P., Filipovic D., Harrison G., Koch P., Loisel S. et al. (2016). Old-age provision: past, present, future. European Actuarial Journal, 6, 287-306. Revue avec comité de lecture
Albrecher H., Ivanovs J. ; Zhou X. (2016). Exit identities for Levy processes observed at Poisson arrival times. Bernoulli, 22, 1364-1382. Revue avec comité de lecture
Arbenz P. , Guevara-Alarcón W. (2016). Risk Measure Preserving Piecewise Linear Approximation of Empirical Distributions. European Actuarial Journal, 6, 113-148. Revue avec comité de lecture
Boado-Penas M.C. , Godinez-Olivares H. (2016). Longevity Risk in Notional Defined Contribution Pension Schemes: a Solution. The Geneva Papers on Risk and Insurance - Issues and Practice, 41, 24-52. Revue avec comité de lecture
Debicki K., Hashorva E. ; Ji L. (2016). Extremes of a class of non-homogeneous Gaussian random fields. Annals of Probability, 44, 984-1012. Revue avec comité de lecture
Debicki K., Hashorva E. ; Ji L. (2016). On Parisian ruin over a finite-time horizon. Science China Mathematics, 59, 557-572. Revue avec comité de lecture
Dębicki Krzysztof , Liu Peng (2016). Extremes of stationary Gaussian storage models. Extremes, 19, 273-302. Revue avec comité de lecture
Dombry C, Engelke E ; Oesting M (2016). Exact simulation of max-stable processes. Biometrika, 106, 317. Revue avec comité de lecture
Hashorva E. , Ji L. (2016). Extremes of alpha-t locally stationary Gaussian random fields. Transactions of the American Mathematical Society, 368, 1-26. Revue avec comité de lecture
Hashorva E. , Ling C. (2016). Maxima of skew elliptical triangular arrays. Communications in Statistics - Theory and Methods, 45, 3692-3705. Revue avec comité de lecture
Hashorva E., Peng Z. ; Weng Z. (2016). Higher-order expansions of distributions of maxima in a Hüsler-Reiss model. Methodology and Computing in Applied Probability, 18, 181-196. Revue avec comité de lecture
Laas D., Schmeiser H. ; Wagner J. (2016). Empirical Findings on Motor Insurance Pricing in Germany, Austria, and Switzerland. Geneva Papers on Risk and Insurance - Issues and Practice, 41, 398-431. Revue avec comité de lecture
Ling Chengxiu , Peng Zuoxiang (2016). Tail asymptotics of generalized deflated risks with insurance applications. Insurance: Mathematics and Economics, 71, 220-231. Revue avec comité de lecture
Ling Chengxiu , Tan Zhongquan (2016). On maxima of chi-processes over threshold dependent grids. Statistics, 50, 579-595. Revue avec comité de lecture
Liu P. , Ji L. (2016). Extremes of chi-square processes with trend. Probability and Mathematical Statistics, 36, 1-20. Revue avec comité de lecture
Mahlow N. , Wagner J. (2016). Process Landscape and Efficiency in Non-Life Insurance Claims Management: An Industry Benchmark. Journal of Risk Finance, 17, 218-244. Revue avec comité de lecture
Mahlow N. , Wagner J. (2016). Evolution of Strategic Levers in Insurance Claims Management: An Industry Survey. Risk Management and Insurance Review, 19, 197-223. Revue avec comité de lecture
Müller K., Schmeiser H. ; Wagner J. (2016). The Impact of Auditing Strategies on Insurers' Profitability. Journal of Risk Finance, 17, 46-79. Revue avec comité de lecture
Ratovomirija Gildas (2016). On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk. European Actuarial Journal, 6, 149-175. Revue avec comité de lecture
Schmeiser H. , Wagner J. (2016). What Transaction Costs are Acceptable in Life Insurance Products from the Policyholders' Viewpoint?. Journal of Risk Finance, 17, 277-294. Revue avec comité de lecture
Sherris M. (2016). International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis. ASTIN Bulletin: The Journal of the International Actuarial Association, 46, 9-38. Revue avec comité de lecture

2015

Alai D.H. , Sherris M. (2015). Modelling Cause-of-Death Mortality and the Impact of Cause-Elimination. Annals of Actuarial Science, 9, 167-186. Revue avec comité de lecture
Albrecher H. , Daily-Amir D. (2015, Jan). On competitive non-life insurance pricing under incomplete information. Current Topics on Risk Analysis: ICRA 6 and Risk 2015 Conference (pp. 41-48). Revue avec comité de lecture
Albrecher H. , Lautscham V. (2015). Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement. Anales del Instituto de Actuarios Espanoles, 21, 1-30. Revue avec comité de lecture
Avraam D., de Magalhaes J. P., Arnold S. ; Vasiev B. (2015). Mathematical study of mortality dynamics in heterogeneous population composed of subpopulations following the exponential law. Stochastic Modeling Techniques and Data Analysis International Conference Book Series, 1, 159-171. Revue avec comité de lecture
C. Ling , Z. Peng (2015). Tail dependence for two skew slash distributions. Statistics and Its Interfaces, 8, 63-69.
Das B., Engelke S. ; Hashorva E. (2015). Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process. Stochastic Processes and their Applications, 125, 780-796. Revue avec comité de lecture
Debicki K., Hashorva E. ; Ji L. (2015). Parisian ruin of self-similar Gaussian risk processes. Journal Applied Probability, 52, 688-702. Revue avec comité de lecture
Dȩbicki K., Hashorva E. ; Ji L. (2015). Gaussian risk models with financial constraints. Scandinavian Actuarial Journal, 2015, 469-481. Revue avec comité de lecture
Dȩbicki K., Hashorva E., Ji L. ; Ling C. (2015). Extremes of order statistics of stationary processes. TEST, 24, 229-248. Revue avec comité de lecture
Dȩbicki K., Hashorva E., Ji L. ; Tabiś K. (2015). Extremes of vector-valued Gaussian processes: Exact asymptotics. Stochastic Processes and their Applications, 125, 4039-4065. Revue avec comité de lecture
Debicki K., Hashorva E. ; Soja-Kukieła N. (2015). Extremes of homogeneous Gaussian random fields. Journal of Applied Probability, 52, 55-67. Revue avec comité de lecture
Engelke S , Kabluchko Z (2015). Max-stable processes and stationary systems of Lévy particles. Stochastic Processes and their Applications, 125, 4272-4299. Revue avec comité de lecture
Farkas J. , Hashorva E. (2015). Tail approximation for reinsurance portfolios of Gaussian-like risks. Scandinavian Actuarial Journal, 2015, 319-331. Revue avec comité de lecture
Gerber H.U., Shiu E.S.W. ; Yang H. (2015). Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Insurance: Mathematics and Economics, 64, 313-325. Revue avec comité de lecture
Hashorva E. (2015). Extremes of aggregated Dirichlet risks. Journal of Multivariate Analysis, 133, 334-345. Revue avec comité de lecture
Hashorva E. , Ji L. (2015). Piterbarg theorems for chi-processes with trend. Extremes, 18, 37-64. Revue avec comité de lecture
Hashorva E., Korshunov D. ; Piterbarg V.I. (2015). Asymptotic expansion of Gaussian chaos via probabilistic approach. Extremes, 18, 315-347. Revue avec comité de lecture
Hashorva E. , Li J. (2015). Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks. Stochastic Models, 31, 1-19. Revue avec comité de lecture
Hashorva E., Lifshits M. ; Seleznjev O. (2015). Approximation of a random process with variable smoothness. Festschrift in honor of Paul Deheuvels (pp. 189-208). Springer International Publishing.
Hashorva E., Mishura Y. ; Seleznjev O. (2015). Boundary non-crossing probabilities for fractional Brownian motion with trend. Stochastics An International Journal of Probability and Stochastic Processes, 87, 946-965. Revue avec comité de lecture
Hashorva E., Peng L. ; Weng Z. (2015). Maxima of a triangular array of multivariate Gaussian sequence. Statistics & Probability Letters, 103, 62-72. Revue avec comité de lecture
Hashorva E. , Ratovomirija G. (2015). On samanov mixed erlang risks in insurance applications. ASTIN Bulletin, 45, 175-205. Revue avec comité de lecture
Hashorva E. , Tan Z. (2015). Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids. Statistics, 49, 338-360. Revue avec comité de lecture
Hashorva E. , Weng Z. (2015). Limit Laws for Maxima of Contracted Stationary Gaussian Sequences. Communications in Statistics - Theory and Methods, 44, 4641-4650. Revue avec comité de lecture
Kaas R., Gerber H., Goovaerts M., Shiu E. ; Albrecher H. (2015). The impact factor of IME (Editorial). Insurance: Mathematics and Economics, 62, 1-4. Revue avec comité de lecture
Korshunov D.A., Piterbarg V.I. ; Hashorva E. (2015). On the asymptotic Laplace method and its application to random chaos. Mathematical Notes, 97, 878-891. Revue avec comité de lecture
Liu P., Hashorva E. ; Ji L. (2015). On the gamma-reflected processes with fBm input. Lithuanian Mathematical Journal, 55, 402-414. Revue avec comité de lecture
Mahlow N., Maier S., Müller P., Schmidt J. ; Wagner J. (2015). Trends im Schadenmanagement 2015 - Digitalisierung, Betrugsbekämpfung, Dienstleistermanagement. HEC Lausanne & INNOVALUE Management Advisors.
Mau S., Pletikosa Cvijikj I. ; Wagner J. (2015, Jan). From Research to Purchase: An Empirical Analysis of Research-Shopping Behavior in the Insurance Sector. Zeitschrift für die gesamte Versicherungswissenschaft, Sonderheft zur Jahrestagung 2015, 104 (pp. 573-593). Revue avec comité de lecture
P Asadi, A.C. Davison ; S. Engelke (2015). Extremes on river networks. The Annals of Applied Statistics, 9, 2023-2050. Revue avec comité de lecture
Sherris M. (2015). Causes-of-Death Mortality: What Do We Know on their Dependence?. North American Actuarial Journal, 19, 116-128. Revue avec comité de lecture
Wagner J. (2015). Gestion du risque. Université de Lausanne.
Wagner J. (2015). L'avenir de l'assurance vie : une mort lente. HEC Lausanne, Département de Sciences Actuarielles.

2014

Albrecher H., Asadi P. ; Ivanovs J. (2014). Exact boundaries in sequential testing for phase-type distributions. Journal of Applied Probability, 51A, 347-358. Revue avec comité de lecture
Albrecher H., Avram F., Constantinescu C. ; Ivanovs J. (2014). The tax identity for Markov additive risk processes. Methodology and Computing in Applied Probability, 16, 245-258. Revue avec comité de lecture
Albrecher H., Boxma O.J. ; Ivanovs J. (2014). On simple ruin expressions in dependent Sparre Andersen risk models. Journal of Applied Probability, 51, 293-296. Revue avec comité de lecture
Albrecher H. , Ivanovs J. (2014). Power identities for Lévy risk models under taxation and capital injections. Stochastic Systems, 4, 157-172. Revue avec comité de lecture
Albrecher H., Robert C.Y. ; Teugels J.L. (2014). Joint asymptotic distributions of smallest and largest insurance claims. Risks, 2, 289-314. Revue avec comité de lecture
Avraam D., Jones D. ; Vasiev B. (2014). Time-evolution of age-dependent mortality patterns in mathematical model of heterogeneous human population. Experimental Gerontology, 60, 18-30. Revue avec comité de lecture
Dębicki K., Hashorva E. ; Ji L. (2014). Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals. Extremes, 17, 411-429. Revue avec comité de lecture
Debicki K., Hashorva E. ; Ji L. (2014). Gaussian approximation of perturbed chi-square risks. Statistics and Its Interface, 7, 363-373. Revue avec comité de lecture
Debicki K., Hashorva E., Ji L. ; Tan Z. (2014). Finite-time ruin probability of aggregate Gaussian processes. Markov Processes and Related Fields, 20, 435-450. Revue avec comité de lecture
Dȩbicki K., Hashorva E., Ji L. ; Tabiś K. (2014). On the probability of conjunctions of stationary Gaussian processes. Statistics & Probability Letters, 88, 141-148. Revue avec comité de lecture
Embrechts P., Hashorva E. ; Mikosch T. (2014). Aggregation of log-linear risks. Journal of Applied Probability, 51A, 203-212. Revue avec comité de lecture
Hashorva E. , Ji L. (2014). Approximation of passage times of gamma-reflected processes with fBm input. Journal of Applied Probability, 51, 713-726. Revue avec comité de lecture
Hashorva E. , Li J. (2014). Asymptotics for a discrete-time risk model with the emphasis on financial risk. Probability in the Engineering and Informational Sciences, 28, 573-588. Revue avec comité de lecture
Hashorva E., Nadarajah S. ; Pogany TK. (2014). Extremes of perturbed bivariate Rayleigh risks. Revstat Statistical Journal, 12, 157-168. Revue avec comité de lecture
Hashorva E. , Weng Z. (2014). Berman's inequality under random scaling. Statistics and Its Interface, 7, 339-349. Revue avec comité de lecture
Hashorva E. , Ji L. (2014). Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process. Communications in Statistics - Theory and Methods, 43, 2540–2548. Revue avec comité de lecture
Hashorva E. , Ji L. (2014). Extremes and First Passage Times of Correlated Fractional Brownian Motions. Stochastic Models, 30, 272-299. Revue avec comité de lecture
Hashorva E. , Ji L. (2014). Random shifting and scaling of insurance risks. Risks, 2, 277-288. Revue avec comité de lecture
Hashorva E. , Kortschak D. (2014). Tail asymptotics of random sum and maximum of log-normal risks. Statistics & Probability Letters, 87, 167-174. Revue avec comité de lecture
Hashorva E., Ling C. ; Peng Z. (2014). Tail asymptotic expansions for L-statistics. Science China Mathematics, 57, 1993-2012. Revue avec comité de lecture
Hashorva E., Ling C. ; Peng Z. (2014). Second-order tail asymptotics of deflated risks. Insurance: Mathematics and Economics, 56, 88-101. Revue avec comité de lecture
Hashorva E., Ling C. ; Peng Z. (2014). Modeling of censored bivariate extremal events. Journal of the Korean Statistical Society, 43, 323-338. Revue avec comité de lecture
Hashorva E. , Mishura Y. (2014). Boundary Non-Crossings of Additive Wiener Fields. Lithuanian Math. J., 54, 277-289. Revue avec comité de lecture
Hashorva E., Peng Z. ; Weng Z. (2014). Limit properties of exceedances point processes of scaled stationary Gaussian sequences. Probability and Mathematical Statistics, 34, 45-59. Revue avec comité de lecture
Hashorva E. , Weng Z. (2014). Tail asymptotic of Weibull-type risks. Statistics, 48, 1155-1165. Revue avec comité de lecture
Hashorva E. , Weng Z. (2014). Maxima and minima of complete and incomplete stationary sequences. Stochastics An International Journal of Probability and Stochastic Processes, 86, 707-720. Revue avec comité de lecture
Ji L., Hashorva E. (Dir.) (2014). Ruin and related quantities in some advanced insurance risk models. Université de Lausanne, Faculté des hautes études commerciales.
Ji L. , Zhang C. (2014). A duality result for the generalized Erlang risk model. Risks, 2, 456–466. Revue avec comité de lecture
Kortschak D. , Hashorva E. (2014). Second Order Asymptotics of Aggregated Log-Elliptical Risk. Methodology and Computing in Applied Probability, 16, 969-985. Revue avec comité de lecture
Laas D., Schmeiser H. ; Wagner J. (2014). Pricing: Kampf geht weiter?. Schweizer Versicherung, No. 7, 54-55.
Mahlow N. , Wagner J. (2014). Entwicklungen im Schadenmanagement: Strategische Themenfelder und Prozessmodell-Benchmark. I.VW Management-Information, No. 3, 29-32.
Neuenschwander D. (2014). A new Proof for the Lévy Construction of Second Kind for Stable Laws. Journal of Mathematical Sciences, 200, 473-475. Revue avec comité de lecture
Neuenschwander D. (2014). On Multivariate Power Series of Random Variables Satisfying Some Hierarchy Conditions. Journal of Mathematical Sciences, 200, 476-479. Revue avec comité de lecture
Neuenschwander D. (2014). On Chung's Law of Large Numbers on Simply Connected Step 2-Nilpotent Lie Groups. Journal of Mathematical Sciences, 196, 75-77. Revue avec comité de lecture
Schmeiser H., Störmer T. ; Wagner J. (2014). Possible market implications of unisex insurance pricing. Asia Insurance Review.
Schmeiser H., Störmer T. ; Wagner J. (2014). Possible Market Implications of Unisex Insurance Pricing. Geneva Association, Insurance Economics Newsletter, 2-4.
Sherris M. (2014). Causes-of-Death Mortality: What Do We Know on their Dependence?. Monograph of the Living to 100 Symposium. Revue avec comité de lecture
Tan Z. , Hashorva E. (2014). On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes. Journal of Mathematical Analysis and Applications, 409, 299-314. Revue avec comité de lecture
Tan Z. , Hashorva E. (2014). On Piterbarg Max-Discretisation Theorem for Standardised Maximum of Stationary Gaussian Processes. Methodology and Computing in Applied Probability, 16, 169-185. Revue avec comité de lecture
Wagner J. (2014). Insurance Economics. University of Lausanne.
Wagner J. (2014). Asset and Liability Management for Actuaries. University of Lausanne.

2013

Albrecher H., Binder A., Lautscham V. ; Mayer P. (2013). Introduction to Quantitative Methods for Financial Markets. Birkhaeuser, Basel.
Albrecher H., Cheung E.C.K. ; Thonhauser S. (2013). Randomized observation times for the compound Poisson risk model: The discounted penalty function. Scandinavian Actuarial Journal, 424-452. Revue avec comité de lecture
Albrecher H., Constantinescu C., Palmowski Z., Regensburger M. ; Rosenkranz M. (2013). Exact and asymptotic results for insurance risk models with surplus-dependent premiums. SIAM Journal of Applied Mathematics, 73, 47-66. Revue avec comité de lecture
Albrecher H., Guillaume F. ; Schoutens W. (2013). Implied liquidity: model sensitivity. Journal of Empirical Finance, 23, 48-67. Revue avec comité de lecture
Albrecher H. , Ivanovs J. (2013). A risk model with an observer in a Markov environment. Risks, 1, 148-161. Revue avec comité de lecture
Albrecher H. , Lautscham V. (2013). From ruin to bankruptcy for compound Poisson surplus processes. ASTIN Bulletin, 43, 213-243. Revue avec comité de lecture
Balakrishnan N. , Hashorva E. (2013). Scale Mixtures of Kotz-Dirichlet Distributions. Journal of Multivariate Analysis, 113, 48-58. Revue avec comité de lecture
Boxma O. , Ivanovs J. (2013). Two coupled Lévy queues with independent input. Stochastic Systems, 3, 574-590. Revue avec comité de lecture
Dacorogna M., Albrecher H., Moller M. ; Sahiti S. (2013). Equalization Reserves for Natural Catastrophes and Shareholder Value: a Simulation Study. European Actuarial Journal, 3, 1-21. Revue avec comité de lecture
Durand O. , Gaille S. (2013). Switzerland: Current Retirement System and Future Prospects. Life and Pensions Newsletter of the Geneva Association, 52.
Dutang C., Albrecher H. ; Loisel S. (2013). Competition among non-life insurers under solvency constraints: a game-theoretic approach. European Journal of Operational Research, 231, 702-711. Revue avec comité de lecture
Gerber H.U., Shiu E.S.W. ; Yang H. (2013). Valuing equity-linked death benefits in jump diffusion models. Insurance: Mathematics and Economics, 53, 615-623. Revue avec comité de lecture
Hashorva E. (2013). Minima and maxima of elliptical triangular arrays and spherical processes. Bernoulli, 19, 886–904. Revue avec comité de lecture
Hashorva E. (2013). On beta-product convolutions. Scandinavian Actuarial Journal, 69–83. Revue avec comité de lecture
Hashorva E. (2013). Exact tail asymptotics of aggregated parametrised risk. Journal of Mathematical Analysis and Applications, 400, 187-199. Revue avec comité de lecture
Hashorva E., Ji L. ; Piterbarg V. I. (2013). On the supremum of gamma-reflected processes with fractional Brownian motion as input. Stochastic Processes and their Applications, 123, 4111-4127. Revue avec comité de lecture
Hashorva E. , Li J. (2013). ECOMOR and LCR reinsurance with gamma-like claims. Insurance: Mathematics and Economics, 53, 206-215. Revue avec comité de lecture
Hashorva E., Macci C. ; Pacchiarotti B. (2013). Large deviations for proportions of observations which fall in random sets determined by order statistics. Methodology and Computing in Applied Probability, 15, 875-896. Revue avec comité de lecture
Hashorva E., Peng Z. ; Weng Z. (2013). On Piterbarg theorem for the maxima of stationary Gaussian sequences. Lithuanian Mathematical Journal, 53, 280-292. Revue avec comité de lecture
Hashorva E. , Tan Z. (2013). Large deviations of Shepp statistics for fractional Brownian motion. Statistics & Probability Letters, 83, 2242-2247. Revue avec comité de lecture
Hashorva E. , Weng Z. (2013). Limit laws for extremes of dependent stationary Gaussian arrays. Statistics & Probability Letters, 83, 320-330. Revue avec comité de lecture
Ivanovs J. (2013). A note on killing with applications in risk theory. Insurance: Mathematics and Economics, 52, 29-34. Revue avec comité de lecture
Ivanovs J. , Kella O. (2013). Another look into decomposition results. Queueing Systems, 75, 19-28. Revue avec comité de lecture
Korshunov D.A., Piterbarg V.I. ; Hashorva E. (2013). On Extremal Behavior of Gaussian Chaos. Doklady Mathematics, 88, 566–568. Revue avec comité de lecture
Kortschak D. , Hashorva E. (2013). Efficient simulation of tail probabilities for sums of log-elliptical risks. Journal of Computational and Applied Mathematics, 247, 53-67. Revue avec comité de lecture
Merz M., Wüthrich M.V. ; Hashorva E. (2013). Dependence modelling in multivariate claims run-off triangles. Annals of Actuarial Science, 7, 3-25. Revue avec comité de lecture
Sherris M. (2013). Forecasting Mortality Trends allowing for Cause-of-Death Mortality Dependence. North American Actuarial Journal, 17, 273-282. Revue avec comité de lecture
Tan Z. , Hashorva E. (2013). Exact asymptotics and limit theorems for supremum of stationary chi-processes over a random interval. Stochastic Processes and their Applications, 123, 2983-2998. Revue avec comité de lecture
Tan Z. , Hashorva E. (2013). Limit theorems for extremes of strongly dependent cyclo-stationary χ-processes. Extremes, 16, 241-254. Revue avec comité de lecture
Tan Z. , Hashorva E. (2013). Exact tail asymptotics of the supremum of strongly dependent gaussian processes over a random interval. Lithuanian Mathematical Journal, 53, 91–102. Revue avec comité de lecture
Yang Y. , Hashorva E. (2013). Extremes and products of multivariate AC-product risks. Insurance: Mathematics and Economics, 52, 312-319. Revue avec comité de lecture

2012

(2012). Forecasting Mortality: When Academia Meets Practice. European Actuarial Journal, 2, 49-76. Revue avec comité de lecture
(2012). Sturmschäden: Modellierung der versicherten Schäden in Österreich (8). Verlag der Österreichischen Akademie der Wissenschaften, Wien.
Albrecher H. (2012, Jan). A relaxed ruin condition in insurance. The Mathematics and Statistics of Quantitative Risk Management, Oberwolfach Report 7 (pp. 11).
Albrecher H., Asmussen S. ; Kortschak D. (2012). Tail asymptotics for dependent subexponential differences. Siberian Mathematical Journal, 53, 965-983. Revue avec comité de lecture
Albrecher H., Constantinescu C. ; Thomann E. (2012). Asymptotic results for renewal risk models with risky investments. Stochastic Processes And Their Applications, 122, 3767-3789. Revue avec comité de lecture
Albrecher H., Kortschak D. ; Zhou X. (2012). Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Applied Mathematical Finance, 19, 97-129. Revue avec comité de lecture
Albrecher H. , Thonhauser S. (2012). On optimal dividend strategies in insurance with a random time horizon. Stochastic processes, finance and control. Festschrift for Robert Elliott. (pp. 157-180). World Scientific.
Gerber H.U., Shiu E.S.W. ; Yang H. (2012). The Omega model: from bankruptcy to occupation times in the red. European Actuarial Journal, 2, 259-272. Revue avec comité de lecture
Gerber H.U., Shiu E.S.W. ; Yang H. (2012). Valuing equity-linked death benefits and other contingent options: a discounted density approach. Insurance: Mathematics & Economics, 51, 73-92. Revue avec comité de lecture
Hashorva E. (2012). Exact tail asymptotics in bivariate scale mixture models. Extremes, 15, 109-128. Revue avec comité de lecture
Hashorva E. , Jaworski P. (2012). Gaussian approximation of conditional elliptical copulas. Journal of Multivariate Analysis, 111, 397-407. Revue avec comité de lecture
Hashorva E., Ji L. ; Tan Z. (2012). On the infinite sums of deflated Gaussian products. Electronic Communications in Probability, 17, 1-8. Revue avec comité de lecture
Hashorva E., Kabluchko Z. ; Wübker A. (2012). Extremes of independent chi-square random vectors. Extremes, 15, 35-42. Revue avec comité de lecture
Hashorva E. , Stepanov A. (2012). Limit theorems for the spacings of weak records. Metrika, 75, 163-180. Revue avec comité de lecture
Ji L , Zhang C (2012). Analysis of the multiple roots of the Lundberg fundamental equation in the PH(n) risk model. Applied Stochastic Models in Business and Industry, 28, 73-90. Revue avec comité de lecture
Kortschak Dominik (2012). Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks. Extremes, 15, 353-388. Revue avec comité de lecture
Kume A. , Hashorva E. (2012). Calculation of Bayes premium for conditional elliptical risks. Insurance: Mathematics and Economics, 51, 632–635. Revue avec comité de lecture
Ling Chengxiu, Peng Zuoxiang ; Nadarajah Saralees (2012). Location invariant Weiss-Hill estimator. Extremes, 15, 197-230. Revue avec comité de lecture
Peng Z , Tong J & Weng Z (2012). Joint limit distributions of exceedances point processes and partial sums of Gaussian vector sequence. Acta Mathematica Sinica, English Series, 28, 1647-1662. Revue avec comité de lecture
Prettenthaler F., Albrecher H., Köberl J. ; Kortschak D. (2012). Risk and insurability of storm damages to residential buildings in Austria. The Geneva Papers on Risk and Insurance - Issues and Practice, 37, 340-364. Revue avec comité de lecture
Silva M., Chabwine J. N., Lhermitte B., Buss G., Maeder P. ; Du Pasquier R. A. (2012, Jan). Progressive multifocal leukoencephalopathy in a patient with transitory lymphopenia. 16th Congress of the European-Federation-of-Neurological-Societies (EFNS), 19 (pp. 748).
Tan Z., Hashova E. ; Peng Z. (2012). Asymptotics of maxima of strongly dependent Gaussian processes. Journal of Applied Probability, 49, 1106–1118. Revue avec comité de lecture
Weng Z , Peng Z & Nadarajah S (2012). The almost sure limit theorem for the maxima and minima of strongly dependent Gaussian vector sequences. Extremes, 15, 389-406. Revue avec comité de lecture

2011

Albrecher H., Baeuerle N. ; Thonhauser S. (2011). Optimal dividend payout in random discrete time. Statistics and Risk Modeling, 28, 251-276. Revue avec comité de lecture
Albrecher H., Borst S., Boxma O. ; Resing J. (2011). Ruin excursions, the G/G/Infinity queue and tax payments in renewal risk models. Journal of Applied Probability, 48A, 3-14. Revue avec comité de lecture
Albrecher H., Cheung E.C.K. ; Thonhauser S. (2011). Randomized observation times for the compound Poisson risk model: Dividends. ASTIN Bulletin, 41, 645-672. Revue avec comité de lecture
Albrecher H., Constantinescu C. ; Loisel S. (2011). Explicit ruin formulas for models with dependence among risks. Insurance: Mathematics & Economics, 48, 265-270. Revue avec comité de lecture
Albrecher H. , Gerber H. (2011). A note on moments of dividends. Acta Mathematica Applicatae Sinica, 27, 353-354. Revue avec comité de lecture
Albrecher H., Gerber H. ; Shiu E. (2011). The optimal dividend barrier in the Gamma-Omega model. European Actuarial Journal, 1, 43-55. Revue avec comité de lecture
Albrecher H. , Haas S. (2011). Ruin Theory with Excess of Loss Reinsurance and Reinstatements. Applied Mathematics and Computation, 217, 8031-8043. Revue avec comité de lecture
Balakrishnan N. , Hashorva E. (2011). On Kotz-Pearson Dirichlet distributions. J. Multivariate Anal., 102, 948-957. Revue avec comité de lecture
Constantinescu C., Hashorva E. ; Ji L. (2011). Archimedean copulas in finite and infinite dimensions - with application to ruin problems. Insurance: Mathematics & Economics, 49, 487-495. Revue avec comité de lecture
Hashorva E. (2011). A convolution identity for exchangeable risks. Albanian Journal of Mathematics, 5, 43-45. Revue avec comité de lecture
Hashorva E. (2011). Asymptotics of the convex hull of spherically symmetric samples. Discrete Applied Mathematics, 159, 201-211. Revue avec comité de lecture
Hashorva E. (2011). Comments on statistical models and methods for dependence in insurance data. J Korean Stat Soc, 40, 151-154. Revue avec comité de lecture
Sherris M. (2011). Modelling Mortality with Common Stochastic Long-Run Trends. The Geneva Papers on Risk and Insurance - Issues and Practice, 36, 595-621. Revue avec comité de lecture
Sun G., Zhang C. ; Ji L. (2011). The Gerber-shiu penalty functions for a perturbed risk model with two classes of risks and a threshold dividend strategy. Chinese Journal of Applied Probability and Statistics, 27, 543-560. Revue avec comité de lecture
Thonhauser S. , Albrecher H. (2011). Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility. Stochastic Models, 27, 120-140. Revue avec comité de lecture
Trufin J., Albrecher H. ; Denuit M. (2011). Ruin problems under IBNR Dynamics. Applied Stochastic Models in Business and Industry, 27, 619-632. Revue avec comité de lecture
Trufin J., Albrecher H. ; Denuit M. (2011). Properties of a risk measure derived from ruin theory. The Geneva Risk and Insurance Review, 36, 174-188. Revue avec comité de lecture

2010

Albrecher H. (2010). Reinsurance. Encyclopedia of Quantitative Finance (pp. 1539-1543). Wiley, Chichester.
Albrecher H., Avram F. ; Kortschak D. (2010). On the efficient evaluation of ruin probabilities for completely monotone claim size distributions. Journal of Computational and Applied Mathematics, 233, 2724-2736. Revue avec comité de lecture
Albrecher H., Constantinescu C. ; Garrido J. (2010). Editorial on the Special Issue on Gerber-Shiu Functions. Insurance: Mathematics & Economics, 46, 1-2.
Albrecher H., Constantinescu C., Pirsic G., Regensburger G. ; Rosenkranz M. (2010). An algebraic operator approach to the analysis of Gerber-Shiu functions. Insurance: Mathematics & Economics, 46, 42-51. Revue avec comité de lecture
Albrecher H., Gerber H. ; Yang H. (2010). Reply to discussions on "A direct approach to the discounted penalty function". North American Actuarial Journal, 14, 445-447. Revue avec comité de lecture
Albrecher H., Gerber H.U. ; Yang H. (2010). A direct approach to the discounted penalty function. North American Actuarial Journal, 14, 420-434. Revue avec comité de lecture
Albrecher H. , Haas S. (2010, Jan). A numerical approach to ruin models with excess of loss reinsurance and reinstatements. Proceedings of COMPSTAT 2010, Springer (pp. 135-145). Revue avec comité de lecture
Albrecher H., Hipp C. ; Kortschak D. (2010). Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. Scandinavian Actuarial Journal, 110, 105-135. Revue avec comité de lecture
Albrecher H., Ladoucette S. ; Teugels J. (2010). Asymptotics of the Sample Coefficient of Variation and the Sample Dispersion. Journal of Statistical Planning and Inference, 140, 358-368. Revue avec comité de lecture
Albrecher H. , Mayer P. (2010). Semi-static hedging strategies for exotic options. Alternative Investments and Strategies (pp. 345-373). World Scientific, Singapore.
Gerber H.U., Shiu E.S.W. ; Yang H. (2010). An elementary approach to discrete models of dividend strategies. Insurance: Mathematics and Economics, 46, 109-116. Revue avec comité de lecture
Gerber H.U. , Yang H. (2010). Obtaining the dividends-penalty identities by interpretation. Insurance: Mathematics and Economics, 47, 206-207. Revue avec comité de lecture
Hartinger J. , Kortschak D. (2010). Quasi-Monte Carlo Techniques and Rare Event Sampling. Schweizerische Aktuarvereinigung. Mitteilungen, 56-70. Revue avec comité de lecture
Hashorva E. (2010). On the residual dependence index of elliptical distributions. Statistics & Probability Letters, 80, 1070-1078. Revue avec comité de lecture
Hashorva E. (2010). Asymptotics of the norm of elliptical random vectors. Journal of Multivariate Analysis, 101, 926-935. Revue avec comité de lecture
Hashorva E. (2010). Boundary Non-crossings of Brownian Pillow. Journal of Theoretical Probability, 23, 193-208. Revue avec comité de lecture
Hashorva E. , Pakes A.G. (2010). Tail asymptotics under beta random scaling. Journal of Mathematical Analysis and Applications, 372, 496-514. Revue avec comité de lecture
Hashorva E., Pakes A.G. ; Tang Q. (2010). Asymptotics of random contractions. Insurance: Mathematics and Economics, 47, 405-414. Revue avec comité de lecture
Ji L , Zhang C (2010). The Gerber-Shiu penalty functions for two classes of renewal risk processes. Journal of Computational and Applied Mathematics, 233, 2575-2589. Revue avec comité de lecture
Kortschak D. , Albrecher H. (2010). An asymptotic expansion for the tail of compound sums of Burr distributed random variables. Statistics and Probability Letters, 80, 612-620. Revue avec comité de lecture
S. Asmussen , H. Albrecher (2010). Ruin probabilities (14). World Scientific, New Jersey.

2009

(2009). Advanced Financial Modelling. de Gruyter, Berlin.
(2009). Hochwasser und dessen Versicherung in Österreich. Verlag der Österreichischen Akademie der Wissenschaften, Wien.
Albrecher H., Binder A. ; Mayer P. (2009). Einführung in die Finanzmathematik. Birkhäuser, Basel.
Albrecher H., Borst S., Boxma O. ; Resing J. (2009). The tax identity in risk theory : a simple proof and an extension. Insurance: Mathematics & Economics, 44, 304-306. Revue avec comité de lecture
Albrecher H. , Gerber H.U. (2009). On the non-optimality of proportional reinsurance according to the dividend criterion. Bulletin of the Swiss Association of Actuaries, 94-95. Revue avec comité de lecture
Albrecher H. , Kortschak D. (2009). On ruin probability and aggregate claim representations for Pareto claim size distributions. Insurance: Mathematics and Economics, 45, 362-373. Revue avec comité de lecture
Albrecher H. , Kortschak D. (2009). Quantitativer Nachvollzug des NATKAT-Modells fuer Oesterreich. Hochwasser und dessen Versicherung in Österreich (pp. 77-90). Verlag der Österreichischen Akademie der Wissenschaften, Wien.
Albrecher H., Scheicher K. ; Teugels J. L. (2009). A combinatorial identity for a problem in asymptotic statistics. Applicable Analysis and Discrete Mathematics, 3, 64-68. Revue avec comité de lecture
Albrecher H. , Thonhauser S. (2009). Optimality Results for Dividend Problems in Insurance. RACSAM Rev. R. Acad. Cien. Serie A. Mat., 103, 295-320. Revue avec comité de lecture
Gerber H.U., Shiu E.S.W. ; Yang H. (2009). Crossing Time of Annuities with Exponential Payment Rates. Bulletin of the Swiss Association of Actuaries, 96-100. Revue avec comité de lecture
Hartinger J. , Kortschak D. (2009). On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms. Blätter der DGVFM, 30, 363-377. Revue avec comité de lecture
Kortschak D. (2009). On mathematical tools for weather risks. Joanneum Research, Economics of Weather and Climate Risks Working Paper Series No. 9/2009.
Kortschak D. , Albrecher H. (2009). Asymptotic results for the sum of dependent non-identically distributed random variables. Methodology and Computing in Applied Probability, 11, 279-306. Revue avec comité de lecture
Kortschak D., Lautscham H., Pretttenthaler F. ; Habsburg-Lothringen C. (2009). Estimating Flood Risks for Austria, using a neighborhood relation approach. Joanneum Research, Economics of Weather and Climate Risks Working Paper Series No. 8/2009.
Neuenschwander D. (2009). Probabilities on Simply Connected Nilpotent Lie Groups: On the Doeblin-Gnedenko Conditions for the Domain of Attraction of Stable Laws. With an Appendix on a New Proof of Siebert's Convergence Theorem for Generating Distributions. International Journal of Pure and Applied Mathematics, 55, 187-199. Revue avec comité de lecture
Neuenschwander D. (2009). Retrieval of the Law of a Random Payment Stream by the Joint Law of its Final Value and the Interest Rate at some Fixed Time. International Journal of Pure and Applied Mathematics, 55, 173-186. Revue avec comité de lecture
Neuenschwander D. (2009). On Sufficient Statistics for Combined Models with Stochastic Volatility and Jumps: Some Complements. Far East Journal of Theoretical Statistics, 28, 117-131. Revue avec comité de lecture
Prettenthaler F., Albrecher H. ; Kortschak D. (2009). Anreiztheoretische Analyse des NATKAT-Modells für Österreich. Hochwasser und dessen Versicherung in Österreich (pp. 105-114). Verlag der Österreichischen Akademie der Wissenschaften, Wien.
Trufin J., Albrecher H. ; Denuit M. (2009). Impact of underwriting cycles on the solvency of an insurance company. North American Actuarial Journal, 13, 385-403. Revue avec comité de lecture

2008

Avanzi B., Gerber M. (Dir.) (2008). On optimal dividend strategies : review and dual model. Université de Lausanne, Faculté des hautes études commerciales.
Avanzi B. , Gerber H.U. (2008). Optimal dividends in the dual model with diffusion. Astin Bulletin, 38, 653-667. Revue avec comité de lecture
Gerber H.U., Shiu E. S. W. ; Smith N. (2008). Methods to estimate the optimal dividend barrier and the probability of ruin. Insurance: Mathematics and Economics, 42, 243-254. Revue avec comité de lecture
Gerber H.U. , Smith N. (2008). Optimal dividends with incomplete information in the dual model. Insurance: Mathematics and Economics, 43, 227-233. Revue avec comité de lecture
Ling C., Peng Z. ; Nadarajah S. (2008). A location invariant moment-type estimator II. Theory of Probability and Mathematical Statistics, 177-189. Revue avec comité de lecture
Monter Espinosa M. R., Dubey A. (Dir.) (2008). Three essays on default risk. Université de Lausanne, Faculté des hautes études commerciales.
Neuenschwander D. (2008). Uniqueness of Embedding of Gaussian Probability Measures into a Continuous Convolution Semigroup on Simply Connected Nilpotent Lie Groups. Comptes Rendus Mathématique, 346, 887-892. Revue avec comité de lecture
Neuenschwander D. (2008). Retrieval of Black-Scholes and Generalized Erlang Models by Perturbed Observations at a Fixed Time. Insurance: Mathematics and Economics, 42, 453-458. Revue avec comité de lecture
Neuenschwander D. (2008). Solution to Advanced Problem 6576*. The American Mathematical Monthly, 115, 263-264. Revue avec comité de lecture
Neuenschwander D. (2008). Uniqueness of Embedding into a Gaussian Semigroup and a Poisson Semigroup with Determinate Jump Law on a Simply Connected Nilpotent Lie Group. Journal of Theoretical Probability, 21, 791-801. Revue avec comité de lecture
Smith N., Gerber M. (Dir.) (2008). On optimal dividend strategies with deficit or incomplete information. Université de Lausanne, Faculté des hautes études commerciales.
Viquerat S. , Dufresne F. (2008, Jan). How to get rid of round-off errors in recursive formulas. Insurance: Mathematics and Economics.

2007

Avanzi B., Gerber H.U. ; Shiu E.S.W. (2007). Optimal Dividends in the Dual Model. Insurance: Mathematics and Economics, 41, 111-123. Revue avec comité de lecture
Gerber H.U. , Yang H. (2007). Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment. North American Actuarial Journal, 11, 159-169. Revue avec comité de lecture
H.U. Gerber (2007). Life Insurance Mathematics. Springer Tokyo.
Stoica D., Dufresne F. (Dir.) (2007). Essays on the treatment of cash flows under stochastic interest rates. Université de Lausanne, Faculté des hautes études commerciales.

2006

Cai J., Gerber H.U. ; Yang H. (2006). Optimal Dividends in an Ornstein-Uhlenbeck Type Model with Credit and Debit Interest. North American Actuarial Journal, 10, 94-108. Revue avec comité de lecture
Chan B., Gerber H.U. ; Shiu E.S.W. (2006). Discussion of Xiaowen Zhou's "On a Classical Risk Model with a Constant Dividend Barrier". North American Actuarial Journal, 10, 133-139. Revue avec comité de lecture
Gerber H. U. , Shiu E. S. W. (2006). On the Merger of Two Companies. North American Actuarial Journal, 10, 60-67. Revue avec comité de lecture
Gerber H. U. , Shiu E. S. W. (2006). On Optimal Dividend Strategies in the Compound Poisson Model. North American Actuarial Journal, 10, 76-93. Revue avec comité de lecture
Gerber H. U., Shiu E. S. W. ; Smith N. (2006). Maximizing Dividends without Bankruptcy. Astin Bulletin, 36, 5-23. Revue avec comité de lecture
Gerber H.U., Lin X.S. ; Yang H. (2006). A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier. Astin Bulletin, 36, 489-503. Revue avec comité de lecture
Gerber H.U. , Shiu E.S.W. (2006). On Optimal Dividends: From Reflection to Refraction. Journal of Computational and Applied Mathematics, 186, 4-22. Revue avec comité de lecture

2005

Gerber H. U. , Shiu E. S. W. (2005). The Time Value of ruin in a Sparre Andersen Model. North American Actuarial Journal, 9, 49-84. Revue avec comité de lecture

2004

Gerber Hans U. , Shiu Elias S. W. (2004). Optimal Dividends: Analysis with Brownian Motion. . North American Actuarial Journal, 8, 1-20.
Gerber H , Shiu E (2004). Optimal Dividends : Analysis with Brownian Motion. North American Actuarial Journal, 8, 1-20.
Gerber H. U. , Shiu E. S. W. (2004). Optimal Dividends : Analysis with Brownian Motion. North American Actuarial Journal, 8, 1-20. Revue avec comité de lecture
Stoica D. , Dufresne F. (2004, Jan). Evaluating the distribution of the discounted value of cash flows. Insurance: Mathematics and Economics.

2003

Gerber H , Shiu E (2003). Pricing Perpetual Fund Protection with Withdrawal Option. North American Actuarial Journal, 7.
Gerber H , Shiu E (2003). Indicator Function and Hattendorff Theorem. North American Actuarial Journal, 7, 38-47.
Gerber H , Shiu E (2003). Geometric Brownian Motion Models for Assets and Liabilities : From Pension Funding to Optimal Dividends. North American Actuarial Journal, 7, 37-56.
Gerber H , Shui E (2003). Pricing Lookback Options and Dynamic Guarantess. North American Actuarial Journal, 7, 48-67.
Gerber H. U., Leung B. P. K. ; Shiu E. S. W. (2003). Indicator Function and Hattendorff Theorem. North American Actuarial Journal, 7, 38-47. Revue avec comité de lecture
Gerber H. U. , Shiu E. S. W. (2003). Geometric Brownian Motion Models for Assets and Liabilities : From Pension Funding to Optimal Dividends. North American Actuarial Journal, 7, 37-56. Revue avec comité de lecture
Gerber H. U. , Shiu E. S. W. (2003). Discussion of "Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process". North American Actuarial Journal, 7, 117-119 and 96-101. Revue avec comité de lecture
Gerber H. U. , Shiu E. S. W. (2003). Pricing Lookback Options and Dynamic Guarantees. North American Actuarial Journal, 7, 48-67. Revue avec comité de lecture
Gerber H. U. , Shiu E. S. W. (2003). Pricing Perpetual Fund Protection with Withdrawal Option. North American Actuarial Journal, 7, 60-92. Revue avec comité de lecture
Gerber H. U. , Shiu E. S. W. (2003). Economic Ideas of Bruno De Finetti in the Wiener Process Model. Metodi Statistici per la Finanza e le Assicurazioni (pp. 75-95). Frosini B.V.
Stoica D. , Dufresne F. (2003, Jan). Recursive calculation of moments and spproximation of the accumulated value of cash flows. Insurance: Mathematics and Economics.

2002

Dufresne F (2002). Between the individual and the collective models, revisited. HEC/Unil.
Neuenschwander D (2002). Petrov's law of the iterated logarithm on simply connected nilpotent Lie groups. Publ. Math. Debrecen, 60(1-2), 23-28.
Neuenschwander D (2002). Covariograms of convex bodies in the plane : A remark on Nagel's theorem. Elemente Math, 57, 61-65.
Solari T (2002). Asset Liability Management pour caisses de pensions. Université de Lausanne, Faculté des hautes études commerciales.

2001

Deprez. O. , Furrer C. ; Gerber H.U. (2001). Performanceweitergabe bei einer Mindestverzinsung. Bulletin of the Swiss Association of Actuaries, 2001, 109-121. Revue avec comité de lecture

2000

Broggi C (2000). Modèles stochastiques et conditions de financement en assurance vie et en assurance de rentes : trois essais. Université de Lausanne, Faculté des hautes études commerciales.
Cheng S., Gerber H.U. ; Shiu E.S.W. (2000). Discounted probabilities of ruin in the compound binomial model. Insurance: Mathematics and Economics, 26, 239-250. Revue avec comité de lecture
Gerber H (2000). A Quick Guide to Asset Pricing. Bulletin of the Swiss Association of Actuaries, 1, 3-9.
Gerber H , Pafumi G (2000). Princing Dynamic Investment Fund Protection. North American Actuarial Journal, 4/2, 28-41.
Gerber H.U. , Pafumi G. (2000). Pricing dynamic investment fund protection. North American Actuarial Journal, 4, 28-41. Revue avec comité de lecture
Gerber H.U. , Shiu E.S.W. (2000). Investing for retirement: optimal capital growth and dynamic asset allocation. North American Actuarial Journal, 4, 42-62. Revue avec comité de lecture
Neuenschwander D (2000). Unimodality of stable gaussian laws on the Heisenberg group. Monathshefte Math., 129, 133-137.
Neuenschwander D (2000). Lösung zu Aufgabe 1142. Elemente Math., 55/1, 40-41.
Neuenschwander D (2000). S-Stable semigroups on simply connected step 2-nilpotent Lie groups. Contemporary Math., 261, 59-70.
Neuenschwander D (2000). On option pricing in models driven by iterated integrals of Brownian motion. Mitt. SAV, 1, 35-39.
Neuenschwander D (2000). Uniqueness properties of convolution roots of p-adic and probability measures on simply connected nilpotent Lie groups. C.R. Acad. Sci. Paris Série I, 330, 1025-1030.
Neuenschwander D , Schott R (2000). The class I_0 on abstract structures. J. Math. Sci., 99/4, 1463-1468.
Neuenschwander D , Schott R (2000). Trimmed sums and associated random variables in the q-domain of attraction od stable Laws. Proceedings of the 7th Vilnius conference on probability theory nad mathematical statistics (à paraître). Prob. Th. and Math. Statistics vol. 3, Utrecht, VSP.

1999

Darbellay PA (1999). Evaluation d'une compagnie d'assurances vie et de ses produits: méthodes, approche critique et analyse de sensibilité. Université de Lausanne, Faculté des hautes études commerciales.
Gerber H.U. , Shiu E.S.W. (1999). From ruin theory to pricing reset guarantees and perpetual put options. Insurance: Mathematics and Economics, 24, 3-14. Revue avec comité de lecture
Gerber HU , Pafumi G (1999). Stop-loss a tempo continuo e protezione dinamica di un fondo d'investimento. Rivista di matematica per le scienze economiche e sociali, 21, 125-146.
Gerber HU , Pafumi G (1999). Pricing dynamic investment fund protection. Cahier de l'ISA, 99.01.
Gerber HU , Shiu E (1999). On optimal investment strategies. Rivista di matemataica per le scienze economiche e sociali, 20, 133-151.
Goulet V (1999). Extension en théorie de la crédibilité à classification croisée. Université de Lausanne, Faculté des hautes études commerciales.
Neuenschwander D (1999). The class 10 for random increasing upper semicontinuous functions. Theor. Probab. Appl., 44, 1-5.
Pafumi G (1999). Essays on princing contingent claims with an actuarial perspective. Université de Lausanne, Faculté des hautes études commerciales.
Veraguth C (1999). Etude de la variabilité des méthodes d'évaluation de l'assurance vie dans un contexte stochastique. Université de Lausanne, Faculté des hautes études commerciales.

1998

Boyle P.H, Cox S.H, Gerber H.U, Mueller H.H, Pedersen H.W, Pliska S.R et al. (1998). Financial Economics, with Appications to Investments, Insurance and Pensions. The Actuarial Foundation (Schaumburg, U.S.A.), 669.
Cheng S, Gerber HU ; Shiu ES (1998). Discounted Probabilities and Ruin Theory in the Compound Binomial Modell. Cahiers de l'ISA, 98.07, 20.
Gerber H.U. , Landry B. (1998). On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Insurance: Mathematics and Economics, 22, 263-276. Revue avec comité de lecture
Gerber H.U. , Pafumi G. (1998). Stop-loss a tempo continuo e protezione dinamica di un fondo d'investimento. Rivista di matematica per le scienze economiche e sociali, 21, 125-146. Revue avec comité de lecture
Gerber H.U. , Pafumi G. (1998). Utility functions: from risk theory to finance. North American Actuarial Journal, 2, 74-100. Revue avec comité de lecture
Gerber H.U. , Shiu E.S.W. (1998). On the time value of ruin. North American Actuarial Journal, 2, 48-78. Revue avec comité de lecture
Gerber H.U. , Shiu E.S.W. (1998). Pricing perpetual options for jump processes. North American Actuarial Journal, 2, 101-112. Revue avec comité de lecture
Gerber HU , Landry B (1998). On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Insurance, Mathematics & Economics, 22, 263-276.
Gerber HU , Pafumi G (1998). Utility Functions: From Risk Theory to Finance. North American Actuarial Journal, 3, vol 2, 74-100.
Gerber HU , Pafumi G (1998). Pricing Dynamic Solvency Insurance and Investment Fund Protection. Cahiers de l'ISA, Proceedings of the 8th International AFIR Colloquium, Cambridge UK, 98.03, 28.
Gerber HU , Shiu ES (1998). On the Time Value of Ruin. North American Actuarial Journal, 3, vol 2, 74-100.
Gerber HU , Shiu ES (1998). From Ruin Theory to Pricing Reset Guarantees and Perpetual Put Options. Cahiers de l'ISA, 98.01, 17.
Gerber HU , Shiu ES (1998). Investing for Retirement: Optimal Capital Growth and Dynamic Asset Allocation. Cahiers de l'ISA, 98.04, 34.
Goulet V (1998). A note on optimal parameter estimation under zero-excess assumption Insurance. Mathematics & Economics, 2 vol. 23, 111-117.
Landry B (1998). Essays on the discounted penalty at ruin and the effect of skewness on option prices. Université de Lausanne, Faculté des hautes études commerciales.
Neuenschwander D (1998). On the uniqueness problem for continuous convolution semigroups of probability measures on simply connected nilpotent Lie groups. Publ. Math. Debrecen, 53(3-4), 415-422.
Neuenschwander D (1998). Law of the iterated logarith for Lévy's area process composed with Brownian motion. Stat. Prob. Lett., 40, 371-377.
Neuenschwander D, Franz U ; Schott R (1998). Phase retrival for probability distributions on quantum groups and braided groups. J. Theoret. Probab., A paraître.

1997

Bowers N. L., Gerber H. U., James C. H., Donald A. J. ; Cecil J. N. (1997). Actuarial Mathematics, second edition. Society of Actuaries.
Broggi C (1997). Taux technique garanti et prestation en assurance-vie: évaluation dans le cadre de fonctions d'utilité. Cahier de recherche ISA, 97.07.
Darbellay PA (1997). Approche critique des méthodes d'évaluation d'une compagnie d'assurance-vie. Cahier de recherche ISA, 97.11.
Dufresne F. , Niederhauser E. (1997). Some analytical approximations of stop-loss premiums. Bulletin de l'Association Suisse des Actuaires, 25-47.
Gerber H.U , Shiu E.S.W. (1997). Le prix d'une option américaine perpétuelle pour des processus à sauts. Bulletin Français d'Actuariat, 1, 83-91. Revue avec comité de lecture
Gerber H.U., Bowers N.L., Hickman J.C., Jones D.A. ; Nesbitt C.J. (1997). Actuarial Mathematics. The Society of Actuaries, Schaumburg Ill.
Gerber H.U. , Exercises Contributed by Cox S.H. (1997). Life Insurance Mathematics, third edition. Springer-Verlag, Berlin-Heidelberg and Swiss Association of Actuaries, Zürich.
Gerber H.U. , Landry B. (1997). Skewness and stock option prices. North American Actuarial Journal, 1, 50-65. Revue avec comité de lecture
Gerber H.U. , Shiu E.S.W. (1997). On optimal investment strategies. Rivista di matematica per le scienze economiche e sociali, 20, 133-151. Revue avec comité de lecture
Gerber H.U. , Shiu E.S.W. (1997). The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Insurance: Mathematics and Economics, 21, 129-137. Revue avec comité de lecture
Gerber HU , Landry B (1997). Skewness and Stock Ooption Prices. North American Actuarial Journal, 1(3), 50-65.
Gerber HU , Landry B (1997). On the Discounted Penalty at Ruin in a Jump-diffusion and the Perpetual Put Option. Cahier de recherche ISA, 97.06.
Gerber HU , Pafumi G (1997). Utility Function : From Risk Theory to Finance. Cahier de recherche ISA, 97.03.
Gerber HU , Shiu E (1997). The Joint Distribution of the Time of Ruin, the Surplus Immediately Before Ruin, and the Deficit at Ruin. Insurance, Mathematics and Economics, 21, 129-137.
Gerber HU , Shiu E (1997). An Actuarial Bridge to Option Pricing. Securitization of Risk: the 1995 Bowles Symposium, M-FI97-1, 45-62.
Gerber HU , Shiu E (1997). From Ruin Theory to Option Pricing. Proceedings Volume of the 28th Astin Colloquium/7th International Colloquium, 157-176.
Gerber HU , Shiu E (1997). Derivatives and Financial Markets. Derivatives and Financial Markets, 91-117.
Gerber HU , Shiu E (1997). Le prix d'une option américaine perpétuelle pour des processus à sauts. Bulletin Français d'Actuariat, 1, 83-91.
Gerber HU , Shiu E (1997). Pricing Perpetual American Option for Jump Processes. Cahier de recherche ISA, 97.04.
Goulet V (1997). Traitement géométrique et écriture généralisée d'un modèle de crédibilité à classification croisée. Cahier de recherche ISA, 97.08.
Goulet V (1997). Crédibilité à classification croisée avec nombre de facteurs variable. Cahier de recherche ISA, 97.09.
Goulet V (1997). A note on Optimal Parameter Estimation under Zero-Excess Assumptions. Cahier de recherche ISA, 97.10.
Michaud F (1997). Shifted Poisson Processes and the Pricing of Perpetual American Options. Cahier de recherche ISA, 97.01, 54.
Neuenschwander D (1997). A New Proof of the Multidimentional Convergence of Types Theorem. Stattist. Probab. Lett., 33, 85-88.
Neuenschwander D (1997). Uniqueness of roots in L1(G,N0), over Lattices in Simply Connected Nilpotent Lie groups. Math. Debrecen, 50, 1-5.
Pafumi G (1997). A Study of a Family of Equivalent Martingale Measures to Price, an Option with an Appication to the Swiss Market. Bulletin de l'Association Suisse des Actuaires, 97.05, 159-194.

1996

Dufresne F (1996). An Extension of Kornya's method with application to pension funds. Bulletin de l'Association Suisse des Actuaires, 2, 171-181.
Dufresne F , Niederhauser E (1996). Some Analytical Approximations of Stop-Loss Premium. Bulletin ISA.
Dufresne F. (1996). An Extension of Kornya's Method with Application to Pension Funds. Bulletin de l'Association Suisse des Actuaires, 171-181.
Frédéric Michaud (1996). Essays on Option Pricing with Jump Processes and an Estimation Technique in Ruin Theory, 1996. Université de Lausanne, Faculté des hautes études commerciales.
Gerber H.U. (1996). Life Insurance Mathematics (Chinese edition).
Gerber H.U. (1996). Life Insurance Mathematics. Springer-Verlag, Berlin-Heidelberg and Swiss Association of Actuaries.
Gerber H.U. (1996). Life Insurance Mathematics. Drustvo matematikov, fisikov in astronomov Slovenije.
Gerber H.U. , Shiu E. (1996). On the Time value of Ruin. Bulletin ISA.
Gerber HU , Shiu E (1996). Martingale Approach to Pricing Perpeetual American Options on Two Stocks. Mathematical Finance, 6, 302-322.
Gerber HU , Shiu E (1996). Actuarial Bridges to Dynamic Hedging and Option Pricing. Insurance Mathematics and Economics, 18, 183-218.
Michaud F (1996). Estimating the probability of ruin for variable premiums by simulation. Astin Bulletin, 26, 93-105.
Neuenschwander D (1996). Characterizations of gaussian distributions on simply connected nilpotent Lie groups and symmetric spaces. C.R. Acad. Sci. Paris Série, 1, 87-92.
Neuenschwander D (1996). Commutataive infinitesimal triangular systems on Euclidan motion groups. Statist. Prolab. Lett, 30, 33-36.
Neuenschwander D (1996). Probabilities on the Heisenberg group: Limit theorems and Brownian motion. Lecture Notes in Mathematics 1630. Springer-Verl, Berlin.
Neuenschwander D , Scheffer HP (1996). Laws of the iterated logarithm for the central part of (semi-)stable measures on the Heisenberg groups. Monatsh. Math., 121, 265-274.

1995

Dufresne F. (1995). The Efficiency of the Swiss Bonus-malus System. Bulletin de l'Association Suisse des Actuaires, 29-42.
Embrechts P., Gerber H.U., Gisler A., Kohler M.T., Luthy H., Streit P. ; Tobler H. (1995, Jan). Ausbildung und Anerkennung der Versicherungsmathematiker. Transactions of the 25th International Congress of Actuaries (pp. 165-180).
Gerber H.U. (1995). A Teacher's Remark on Exact Credibility. Astin Bulletin, 25, 189-192. Revue avec comité de lecture
Gerber H.U., Michaud F ; Shiu E.S.W. (1995, Jan). Pricing Russian Options with the Compound Poisson Process. Transactions of the 25th International Congress of Actuaries, 3 (pp. 243-263).
Gerber H.U. , Shiu E.S.W. (1995, Jan). Actuarial Approach to Option Pricing. Proceedings of the 5th AFIR International Colloquium, 1 (pp. 43-96).

1994

Gerber H. U. , Shiu E.S.W. (1994). From Perpetual Strangles to Russian Options. Insurance: Mathematics and Economics, 15, 121-126. Revue avec comité de lecture
Gerber H.U. (1994). Martingales and tail probabilities. Astin Bulletin, 24, 145-146. Revue avec comité de lecture
Gerber H.U. , Kaas R. (1994). Some Alternatives for the Individual Model. Insurance: Mathematics and Economics, 15, 127-132. Revue avec comité de lecture
Gerber H.U. , Shiu E.S.W. (1994). Martingale Approach to Pricing Perpetual American Options. Astin Bulletin, 24, 195-220. Revue avec comité de lecture
Gerber H.U. , Shiu E.S.W. (1994). Option pricing by Esscher transforms. Transactions of the Society of Actuaries, 46.
Gerber H.U. , Shiu E.S.W. (1994). Pricing Financial Contracts with Indexed Homogeneous Payoff. Bulletin of the Swiss Association of Actuaries, 94, 143-166.

1993

Dufresne F. , Gerber H.U. (1993). The Probability of Ruin for the Inverse Gaussian and Related Processes. Insurance: Mathematics and Economics, 12, 9-22.

1991

Dufresne F. , Gerber H.U. (1991). Rational ruin problems? A note for the teacher. Insurance: Mathematics and Economics, 10, 21-29.
Dufresne F. , Gerber H.U. (1991). Risk theory for the compound Poisson process that is perturbed by diffusion. Insurance: Mathematics and Economics, 10.
Dufresne F., Gerber H.U. ; Shiu E.S.W. (1991). Risk theory with the gamma process. ASTIN Bulletin, 21, 177-192.

1989

Dufresne F. , Gerber H.U. (1989). Three methods to calculate the probability of ruin. ASTIN Bulletin, 19, 71-90.

1988

Dufresne F. , Gerber H.U. (1988). The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Insurance: Mathematics and Economics, 7, 193-199.
Dufresne F. , Gerber H.U. (1988). The probability and severity of ruin for combinations of exponential claim amount distribution and their translations. Insurance: Mathematics and Economics, 7.

1979

Gerber H.U. (1979). An Introduction to Mathematical Risk Theory. R.D. Irwin/ Huebner, Homewood Ill.
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