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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


373 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. peer reviewed
Albrecher, H. | Boxma, O.J. | Essifi, R. | Kuijstermans, R. (in press). A queueing model with randomized depletion of inventory. peer reviewed
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. peer reviewed
Albrecher, H. | Ivanovs, J. (in press). Strikingly simple identities relating exit problems for Levy processes under continuous and Poisson observations. peer reviewed
Asimit, V. | Hashorva, E. | Kortschak, D. (in press). Aggregation of randomly weighted large risks. [doi] peer reviewed
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. [abstract] peer reviewed
Avraam, D. | de Magalhaes, J. P. | Vasiev, B. (in press). Mathematical study of mortality dynamics in heterogeneous population composed of subpopulations following the exponential law. [abstract] peer reviewed
Dȩbicki, K | Hashorva, E | Liu, P (in press). EXTREMES OF GAUSSIAN RANDOM FIELDS WITH REGULARLY VARYING DEPENDENCE STRUCTURE. peer reviewed
Debicki, K | Liu, P | Mandjes, M | Sierpińska-Tułacz, I (in press). Lévy-driven GPS queues with heavy-tailed input. peer reviewed
Hashorva, E | Ratovomirija, G | Tamraz, M (in press). Some New Dependence Models derived from Multivariate Collective Models in Insurance Applications. peer reviewed
Ivanovs, J. (in press). Potential measures of one-sided Markov additive processes with reflecting and terminating barriers. peer reviewed
Ling, C | Peng, Z (in press). Extremes of order statistics of self-similar processes. peer reviewed
Liu, P | Ji, L (in press). Extremes of locally stationary chi-square processes with trend. [doi] peer reviewed
Müller, K. | Schmeiser, H. | Wagner, J. (in press). Insurance Claims Fraud: Optimal Auditing Strategies in Insurance Companies. [abstract] peer reviewed
Prettenthaler, F. | Albrecher, H. | Asadi, P. | Koeberl, J. (in press). On Flood Risk Pooling in Europe. peer reviewed
S. Engelke, | J. Ivanovs, (in press). A Lévy-derived process seen from its supremum and max-stable processes. peer reviewed

2017

Bai, Long (2017). Extremes of α(t)-locally stationary Gaussian processes with non-constant variances. 446, 248-263. [doi] peer reviewed
Bai, Long | Luo, Li (2017). Parisian ruin of the Brownian motion risk model with constant force of interest. 120, 34-44. [doi] peer reviewed
Liu, Peng | Zhang, Chunsheng | Ji, Lanpeng (2017). A note on ruin problems in perturbed classical risk models. 120, 28-33. [doi] peer reviewed

2016

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

2015

Alai, D.H. | Sherris, M. (2015). Modelling Cause-of-Death Mortality and the Impact of Cause-Elimination. 9, 167-186. [doi] [abstract] peer reviewed
Albrecher, H. | Daily-Amir, D. (2015). On competitive non-life insurance pricing under incomplete information. In 1 (Ed.), Current Topics on Risk Analysis: ICRA 6 and Risk 2015 Conference (pp. 41-48). peer reviewed
Albrecher, H. | Lautscham, V. (2015). Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement. 21, 1-30. [abstract] peer reviewed
C. Ling, | Z. Peng, (2015). Tail dependence for two skew slash distributions. 8, 63-69. [doi]
Das, B. | Engelke, S. | Hashorva, E. (2015). Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process. 125, 780-796. [doi] [abstract] peer reviewed
Debicki, K. | Hashorva, E. | Ji, L. (2015). Parisian ruin of self-similar Gaussian risk processes. 52, 688-702. [abstract] peer reviewed
Dȩbicki, K. | Hashorva, E. | Ji, L. (2015). Gaussian risk models with financial constraints. 2015, 469-481. [doi] [abstract] peer reviewed
Dȩbicki, K. | Hashorva, E. | Ji, L. | Ling, C. (2015). Extremes of order statistics of stationary processes. 24, 229-248. [doi] [abstract] peer reviewed
Dȩbicki, K. | Hashorva, E. | Ji, L. | Tabiś, K. (2015). Extremes of vector-valued Gaussian processes: Exact asymptotics. 125, 4039-4065. [doi] [abstract] peer reviewed
Debicki, K. | Hashorva, E. | Soja-Kukieła, N. (2015). Extremes of homogeneous Gaussian random fields. 52, 55-67. [abstract] peer reviewed
Engelke, S | Kabluchko, Z (2015). Max-stable processes and stationary systems of Lévy particles. 125, 4272-4299. [doi] peer reviewed
Farkas, J. | Hashorva, E. (2015). Tail approximation for reinsurance portfolios of Gaussian-like risks. 2015, 319-331. [doi] [abstract] peer reviewed
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. 64, 313-325. [doi] [abstract] peer reviewed
Hashorva, E. (2015). Extremes of aggregated Dirichlet risks. 133, 334-345. [doi] [abstract] peer reviewed
Hashorva, E. | Ji, L. (2015). Piterbarg theorems for chi-processes with trend. 18, 37-64. [doi] [abstract] peer reviewed
Hashorva, E. | Korshunov, D. | Piterbarg, V.I. (2015). Asymptotic expansion of Gaussian chaos via probabilistic approach. 18, 315-347. [doi] [abstract] peer reviewed
Hashorva, E. | Li, J. (2015). Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks. 31, 1-19. [doi] [abstract] peer reviewed
Hashorva, E. | Lifshits, M. | Seleznjev, O. (2015). Approximation of a random process with variable smoothness. In 1 (Ed.), Festschrift in honor of Paul Deheuvels (pp. 189-208). Springer International Publishing. [doi]
Hashorva, E. | Mishura, Y. | Seleznjev, O. (2015). Boundary non-crossing probabilities for fractional Brownian motion with trend. 87, 946-965. [doi] [abstract] peer reviewed
Hashorva, E. | Peng, L. | Weng, Z. (2015). Maxima of a triangular array of multivariate Gaussian sequence. 103, 62-72. [doi] [abstract] peer reviewed
Hashorva, E. | Ratovomirija, G. (2015). On samanov mixed erlang risks in insurance applications. 45, 175-205. [doi] [abstract] peer reviewed
Hashorva, E. | Tan, Z. (2015). Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids. 49, 338-360. [doi] [abstract] peer reviewed
Hashorva, E. | Weng, Z. (2015). Limit Laws for Maxima of Contracted Stationary Gaussian Sequences. 44, 4641-4650. [doi] [abstract] peer reviewed
Kaas, R. | Gerber, H. | Goovaerts, M. | Shiu, E. | Albrecher, H. (2015). The impact factor of IME (Editorial). 62, 1-4. [doi] peer reviewed
Korshunov, D.A. | Piterbarg, V.I. | Hashorva, E. (2015). On the asymptotic Laplace method and its application to random chaos. 97, 878-891. [doi] [abstract] peer reviewed
Liu, P. | Hashorva, E. | Ji, L. (2015). On the gamma-reflected processes with fBm input. 55, 402-414. [doi] [abstract] peer reviewed
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). From Research to Purchase: An Empirical Analysis of Research-Shopping Behavior in the Insurance Sector. In 1 (Ed.), Zeitschrift für die gesamte Versicherungswissenschaft, Sonderheft zur Jahrestagung 2015, 104 (pp. 573-593). [doi] [abstract] peer reviewed
P, Asadi | A.C. Davison, | S. Engelke, (2015). Extremes on river networks. 9, 2023-2050. [doi] peer reviewed
Sherris, M. (2015). Causes-of-Death Mortality: What Do We Know on their Dependence?. 19, 116-128. [doi] [abstract] peer reviewed
Tuleasca, C. | Jaquet, Y. | Schweizer, V. | Negretti, L. | Magaddino, V. | Maeder, P. | Abid, K.A. | Lhermitte, B. | Grouzmann, E. | Levivier, M. (2015). Clinical and biochemical responses after Gamma Knife surgery for a dopamine-secreting paraganglioma: case report. 15, 106-112. [doi] [abstract] peer reviewed
Wagner, J. (2015). L'avenir de l'assurance vie : une mort lente. HEC Lausanne, Département de Sciences Actuarielles.
Wagner, J. (2015). Gestion du risque. Université de Lausanne.

2014

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

2013

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

2012

(2012). Forecasting Mortality: When Academia Meets Practice. 2, 49-76. [doi] [abstract] peer reviewed
1 (Ed.). (2012). Sturmschäden: Modellierung der versicherten Schäden in Österreich (8). Verlag der Österreichischen Akademie der Wissenschaften.
Albrecher, H. (2012). A relaxed ruin condition in insurance. In 1 (Ed.), 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. 53, 965-983. [doi] [abstract] peer reviewed
Albrecher, H. | Constantinescu, C. | Thomann, E. (2012). Asymptotic results for renewal risk models with risky investments. 122, 3767-3789. [doi] [abstract] peer reviewed
Albrecher, H. | Kortschak, D. | Zhou, X. (2012). Pricing of Parisian options for a jump-diffusion model with two-sided jumps. 19, 97-129. [doi] [abstract] peer reviewed
Albrecher, H. | Thonhauser, S. (2012). On optimal dividend strategies in insurance with a random time horizon. In 1 (Ed.), Stochastic processes, finance and control. Festschrift for Robert Elliott. (pp. 157-180). World Scientific. [abstract]
Gerber, H.U. | Shiu, E.S.W. | Yang, H. (2012). The Omega model: from bankruptcy to occupation times in the red. 2, 259-272. [doi] [abstract] peer reviewed
Gerber, H.U. | Shiu, E.S.W. | Yang, H. (2012). Valuing equity-linked death benefits and other contingent options: a discounted density approach. 51, 73-92. peer reviewed
Hashorva, E. (2012). Exact tail asymptotics in bivariate scale mixture models. 15, 109-128. [doi] peer reviewed
Hashorva, E. | Jaworski, P. (2012). Gaussian approximation of conditional elliptical copulas. 111, 397-407. [doi] peer reviewed
Hashorva, E. | Ji, L. | Tan, Z. (2012). On the infinite sums of deflated Gaussian products. 17, 1-8. [doi] peer reviewed
Hashorva, E. | Kabluchko, Z. | Wübker, A. (2012). Extremes of independent chi-square random vectors. 15, 35-42. [doi] peer reviewed
Hashorva, E. | Stepanov, A. (2012). Limit theorems for the spacings of weak records. 75, 163-180. [doi] peer reviewed
Ji, L | Zhang, C (2012). Analysis of the multiple roots of the Lundberg fundamental equation in the PH(n) risk model. 28, 73-90. [doi] peer reviewed
Kortschak, Dominik (2012). Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks. 15, 353-388. [doi] [url] peer reviewed
Kume, A. | Hashorva, E. (2012). Calculation of Bayes premium for conditional elliptical risks. 51, 632–635. [doi] peer reviewed
Ling, Chengxiu | Peng, Zuoxiang | Nadarajah, Saralees (2012). Location invariant Weiss-Hill estimator. 15, 197-230. [doi] peer reviewed
Peng, Z | Tong J & Weng Z, (2012). Joint limit distributions of exceedances point processes and partial sums of Gaussian vector sequence. 28, 1647-1662. [doi] peer reviewed
Prettenthaler, F. | Albrecher, H. | Köberl, J. | Kortschak, D. (2012). Risk and insurability of storm damages to residential buildings in Austria. 37, 340-364. [doi] [abstract] peer reviewed
Silva, M. | Chabwine, J. N. | Lhermitte, B. | Buss, G. | Maeder, P. | Du Pasquier, R. A. (2012). Progressive multifocal leukoencephalopathy in a patient with transitory lymphopenia. In 1 (Ed.), 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. 49, 1106–1118. [doi] peer reviewed
Weng, Z | Peng Z & Nadarajah S, (2012). The almost sure limit theorem for the maxima and minima of strongly dependent Gaussian vector sequences. 15, 389-406. [doi] peer reviewed

2011

Albrecher, H. | Baeuerle, N. | Thonhauser, S. (2011). Optimal dividend payout in random discrete time. 28, 251-276. peer reviewed
Albrecher, H. | Borst, S. | Boxma, O. | Resing, J. (2011). Ruin excursions, the G/G/Infinity queue and tax payments in renewal risk models. 48A, 3-14. peer reviewed
Albrecher, H. | Cheung, E.C.K. | Thonhauser, S. (2011). Randomized observation times for the compound Poisson risk model: Dividends. 41, 645-672. peer reviewed
Albrecher, H. | Constantinescu, C. | Loisel, S. (2011). Explicit ruin formulas for models with dependence among risks. 48, 265-270. peer reviewed
Albrecher, H. | Gerber, H. (2011). A note on moments of dividends. 27, 353-354. peer reviewed
Albrecher, H. | Gerber, H. | Shiu, E. (2011). The optimal dividend barrier in the Gamma-Omega model. 1, 43-55. peer reviewed
Albrecher, H. | Haas, S. (2011). Ruin Theory with Excess of Loss Reinsurance and Reinstatements. 217, 8031-8043. peer reviewed
Balakrishnan, N. | Hashorva, E. (2011). On Kotz-Pearson Dirichlet distributions. 102, 948-957. peer reviewed
Constantinescu, C. | Hashorva, E. | Ji, L. (2011). Archimedean copulas in finite and infinite dimensions - with application to ruin problems. 49, 487-495. peer reviewed
Hashorva, E. (2011). Comments on statistical models and methods for dependence in insurance data. 40, 151-154. peer reviewed
Hashorva, E. (2011). Asymptotics of the convex hull of spherically symmetric samples. 159, 201-211. peer reviewed
Hashorva, E. (2011). A convolution identity for exchangeable risks. 5, 43-45. peer reviewed
Sherris, M. (2011). Modelling Mortality with Common Stochastic Long-Run Trends. 36, 595-621. [doi] [abstract] peer reviewed
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. 27, 543-560. peer reviewed
Thonhauser, S. | Albrecher, H. (2011). Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility. 27, 120-140. peer reviewed
Trufin, J. | Albrecher, H. | Denuit, M. (2011). Properties of a risk measure derived from ruin theory. 36, 174-188. peer reviewed
Trufin, J. | Albrecher, H. | Denuit, M. (2011). Ruin problems under IBNR Dynamics. 27, 619-632. peer reviewed

2010

Albrecher, H. (2010). Reinsurance. In 1 (Ed.), Encyclopedia of Quantitative Finance (pp. 1539-1543). Wiley.
Albrecher, H. | Avram, F. | Kortschak, D. (2010). On the efficient evaluation of ruin probabilities for completely monotone claim size distributions. 233, 2724-2736. peer reviewed
Albrecher, H. | Constantinescu, C. | Garrido, J. (2010). Editorial on the Special Issue on Gerber-Shiu Functions. 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. 46, 42-51. peer reviewed
Albrecher, H. | Gerber, H. | Yang, H. (2010). Reply to discussions on "A direct approach to the discounted penalty function". 14, 445-447. peer reviewed
Albrecher, H. | Gerber, H.U. | Yang, H. (2010). A direct approach to the discounted penalty function. 14, 420-434. peer reviewed
Albrecher, H. | Haas, S. (2010). A numerical approach to ruin models with excess of loss reinsurance and reinstatements. In 1 (Ed.), Proceedings of COMPSTAT 2010, Springer (pp. 135-145). peer reviewed
Albrecher, H. | Hipp, C. | Kortschak, D. (2010). Higher-order expansions for compound distributions and ruin probabilities with subexponential claims. 110, 105-135. peer reviewed
Albrecher, H. | Ladoucette, S. | Teugels, J. (2010). Asymptotics of the Sample Coefficient of Variation and the Sample Dispersion. 140, 358-368. peer reviewed
Albrecher, H. | Mayer, P. (2010). Semi-static hedging strategies for exotic options. In 1 (Ed.), Alternative Investments and Strategies (pp. 345-373). World Scientific.
Gerber, H.U. | Shiu, E.S.W. | Yang, H. (2010). An elementary approach to discrete models of dividend strategies. 46, 109-116. peer reviewed
Gerber, H.U. | Yang, H. (2010). Obtaining the dividends-penalty identities by interpretation. 47, 206-207. peer reviewed
Hartinger, J. | Kortschak, D. (2010). Quasi-Monte Carlo Techniques and Rare Event Sampling. 56-70. peer reviewed
Hashorva, E. (2010). Boundary Non-crossings of Brownian Pillow. 23, 193-208. [doi] peer reviewed
Hashorva, E. (2010). Asymptotics of the norm of elliptical random vectors. 101, 926-935. [doi] peer reviewed
Hashorva, E. (2010). On the residual dependence index of elliptical distributions. 80, 1070-1078. [doi] peer reviewed
Hashorva, E. | Pakes, A.G. (2010). Tail asymptotics under beta random scaling. 372, 496-514. [doi] peer reviewed
Hashorva, E. | Pakes, A.G. | Tang, Q. (2010). Asymptotics of random contractions. 47, 405-414. [doi] peer reviewed
Ji, L | Zhang, C (2010). The Gerber-Shiu penalty functions for two classes of renewal risk processes. 233, 2575-2589. [doi] peer reviewed
Kortschak, D. | Albrecher, H. (2010). An asymptotic expansion for the tail of compound sums of Burr distributed random variables. 80, 612-620. peer reviewed
S. Asmussen, | H. Albrecher, (Ed.). (2010). Ruin probabilities (14). World Scientific.

2009

1 (Ed.). (2009). Advanced Financial Modelling. de Gruyter.
1 (Ed.). (2009). Hochwasser und dessen Versicherung in Österreich. Verlag der Österreichischen Akademie der Wissenschaften.
Albrecher, H. | Binder, A. | Mayer, P. (Ed.). (2009). Einführung in die Finanzmathematik. Birkhäuser.
Albrecher, H. | Borst, S. | Boxma, O. | Resing, J. (2009). The tax identity in risk theory : a simple proof and an extension. 44, 304-306. peer reviewed
Albrecher, H. | Gerber, H.U. (2009). On the non-optimality of proportional reinsurance according to the dividend criterion. 94-95. peer reviewed
Albrecher, H. | Kortschak, D. (2009). On ruin probability and aggregate claim representations for Pareto claim size distributions. 45, 362-373. peer reviewed
Albrecher, H. | Kortschak, D. (2009). Quantitativer Nachvollzug des NATKAT-Modells fuer Oesterreich. In 1 (Ed.), Hochwasser und dessen Versicherung in Österreich (pp. 77-90). Verlag der Österreichischen Akademie der Wissenschaften.
Albrecher, H. | Scheicher, K. | Teugels, J. L. (2009). A combinatorial identity for a problem in asymptotic statistics. 3, 64-68. peer reviewed
Albrecher, H. | Thonhauser, S. (2009). Optimality Results for Dividend Problems in Insurance. 103, 295-320. peer reviewed
Gerber, H.U. | Shiu, E.S.W. | Yang, H. (2009). Crossing Time of Annuities with Exponential Payment Rates. 96-100. peer reviewed
Hartinger, J. | Kortschak, D. (2009). On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms. 30, 363-377. [doi] [url] peer reviewed
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. 11, 279-306. peer reviewed
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. 55, 187-199. [abstract] peer reviewed
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. 55, 173-186. peer reviewed
Neuenschwander, D. (2009). On Sufficient Statistics for Combined Models with Stochastic Volatility and Jumps: Some Complements. 28, 117-131. peer reviewed
Prettenthaler, F. | Albrecher, H. | Kortschak, D. (2009). Anreiztheoretische Analyse des NATKAT-Modells für Österreich. In 1 (Ed.), Hochwasser und dessen Versicherung in Österreich (pp. 105-114). Verlag der Österreichischen Akademie der Wissenschaften.
Trufin, J. | Albrecher, H. | Denuit, M. (2009). Impact of underwriting cycles on the solvency of an insurance company. 13, 385-403. peer reviewed

2008

Avanzi, B., Gerber, M. (Dir.) (2008). On optimal dividend strategies : review and dual model.
Avanzi, B. | Gerber, H.U. (2008). Optimal dividends in the dual model with diffusion. 38, 653-667. peer reviewed
Gerber, H.U. | Shiu, E. S. W. | Smith, N. (2008). Methods to estimate the optimal dividend barrier and the probability of ruin. 42, 243-254. [url] [abstract] peer reviewed
Gerber, H.U. | Smith, N. (2008). Optimal dividends with incomplete information in the dual model. 43, 227-233. [url] peer reviewed
Ling, C. | Peng, Z. | Nadarajah, S. (2008). A location invariant moment-type estimator II. 177-189. [doi] peer reviewed
Monter Espinosa, M. R., Dubey, A. (Dir.) (2008). Three essays on default risk.
Neuenschwander, D. (2008). Solution to Advanced Problem 6576*. 115, 263-264. peer reviewed
Neuenschwander, D. (2008). Retrieval of Black-Scholes and Generalized Erlang Models by Perturbed Observations at a Fixed Time. 42, 453-458. [doi] [abstract] peer reviewed
Neuenschwander, D. (2008). Uniqueness of Embedding of Gaussian Probability Measures into a Continuous Convolution Semigroup on Simply Connected Nilpotent Lie Groups. 346, 887-892. [doi] peer reviewed
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. 21, 791-801. [doi] peer reviewed
Smith, N., Gerber, M. (Dir.) (2008). On optimal dividend strategies with deficit or incomplete information. [abstract]
Viquerat, S. | Dufresne, F. (2008). How to get rid of round-off errors in recursive formulas. In 1 (Ed.), Insurance: Mathematics and Economics.

2007

Avanzi, B. | Gerber, H.U. | Shiu, E.S.W. (2007). Optimal Dividends in the Dual Model. 41, 111-123. [url] [abstract] peer reviewed
Gerber, H.U. | Yang, H. (2007). Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment. 11, 159-169. [pdf] peer reviewed
H.U. Gerber, (Ed.). (2007). Life Insurance Mathematics. Springer Tokyo.
Stoica, D., Dufresne, F. (Dir.) (2007). Essays on the treatment of cash flows under stochastic interest rates. [abstract]

2006

Cai, J. | Gerber, H.U. | Yang, H. (2006). Optimal Dividends in an Ornstein-Uhlenbeck Type Model with Credit and Debit Interest. 10, 94-108. [pdf] [abstract] peer reviewed
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". 10, 133-139. [pdf] peer reviewed
Gerber, H. U. | Shiu, E. S. W. (2006). On the Merger of Two Companies. 10, 60-67. [pdf] [abstract] peer reviewed
Gerber, H. U. | Shiu, E. S. W. (2006). On Optimal Dividend Strategies in the Compound Poisson Model. 10, 76-93. [pdf] [abstract] peer reviewed
Gerber, H. U. | Shiu, E. S. W. | Smith, N. (2006). Maximizing Dividends without Bankruptcy. 36, 5-23. [abstract] peer reviewed
Gerber, H.U. | Lin, X.S. | Yang, H. (2006). A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier. 36, 489-503. [abstract] peer reviewed
Gerber, H.U. | Shiu, E.S.W. (2006). On Optimal Dividends: From Reflection to Refraction. 186, 4-22. [abstract] peer reviewed

2005

Gerber, H. U. | Shiu, E. S. W. (2005). The Time Value of ruin in a Sparre Andersen Model. 9, 49-84. [pdf] peer reviewed

2004

Gerber Hans, U. | Shiu Elias, S. W. (2004). Optimal Dividends: Analysis with Brownian Motion. . 8, 1-20.
Gerber, H | Shiu, E (2004). Optimal Dividends : Analysis with Brownian Motion. 8, 1-20. [pdf]
Gerber, H. U. | Shiu, E. S. W. (2004). Optimal Dividends : Analysis with Brownian Motion. 8, 1-20. [pdf] [abstract] peer reviewed
Stoica, D. | Dufresne, F. (2004). Evaluating the distribution of the discounted value of cash flows. In 1 (Ed.), Insurance: Mathematics and Economics.

2003

Gerber, H | Shiu, E (2003). Pricing Perpetual Fund Protection with Withdrawal Option. 7. [pdf]
Gerber, H | Shiu, E (2003). Indicator Function and Hattendorff Theorem. 7, 38-47.
Gerber, H | Shiu, E (2003). Geometric Brownian Motion Models for Assets and Liabilities : From Pension Funding to Optimal Dividends. 7, 37-56.
Gerber, H | Shui, E (2003). Pricing Lookback Options and Dynamic Guarantess. 7, 48-67.
Gerber, H. U. | Leung, B. P. K. | Shiu, E. S. W. (2003). Indicator Function and Hattendorff Theorem. 7, 38-47. [abstract] peer reviewed
Gerber, H. U. | Shiu, E. S. W. (2003). Pricing Lookback Options and Dynamic Guarantees. 7, 48-67. [pdf] [abstract] peer reviewed
Gerber, H. U. | Shiu, E. S. W. (2003). Pricing Perpetual Fund Protection with Withdrawal Option. 7, 60-92. [pdf] peer reviewed
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". 7, 117-119 and 96-101. peer reviewed
Gerber, H. U. | Shiu, E. S. W. (2003). Geometric Brownian Motion Models for Assets and Liabilities : From Pension Funding to Optimal Dividends. 7, 37-56. [pdf] [abstract] peer reviewed
Gerber, H. U. | Shiu, E. S. W. (2003). Economic Ideas of Bruno De Finetti in the Wiener Process Model. In 1 (Ed.), Metodi Statistici per la Finanza e le Assicurazioni (pp. 75-95). Frosini B.V.
Stoica, D. | Dufresne, F. (2003). Recursive calculation of moments and spproximation of the accumulated value of cash flows. In 1 (Ed.), Insurance: Mathematics and Economics.

2002

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

2001

Deprez. O., | Furrer, C. | Gerber, H.U. (2001). Performanceweitergabe bei einer Mindestverzinsung. 2001, 109-121. peer reviewed

2000

Broggi, C (2000). Modèles stochastiques et conditions de financement en assurance vie et en assurance de rentes : trois essais.
Cheng, S. | Gerber, H.U. | Shiu, E.S.W. (2000). Discounted probabilities of ruin in the compound binomial model. 26, 239-250. peer reviewed
Gerber, H (2000). A Quick Guide to Asset Pricing. 1, 3-9.
Gerber, H | Pafumi, G (2000). Princing Dynamic Investment Fund Protection. 4/2, 28-41.
Gerber, H.U. | Pafumi, G. (2000). Pricing dynamic investment fund protection. 4, 28-41. peer reviewed
Gerber, H.U. | Shiu, E.S.W. (2000). Investing for retirement: optimal capital growth and dynamic asset allocation. 4, 42-62. peer reviewed
Neuenschwander, D (2000). Unimodality of stable gaussian laws on the Heisenberg group. 129, 133-137.
Neuenschwander, D (2000). Lösung zu Aufgabe 1142. 55/1, 40-41.
Neuenschwander, D (2000). S-Stable semigroups on simply connected step 2-nilpotent Lie groups. 261, 59-70.
Neuenschwander, D (2000). On option pricing in models driven by iterated integrals of Brownian motion. 1, 35-39.
Neuenschwander, D (2000). Uniqueness properties of convolution roots of p-adic and probability measures on simply connected nilpotent Lie groups. 330, 1025-1030.
Neuenschwander, D | Schott, R (2000). The class I_0 on abstract structures. 99/4, 1463-1468.
Neuenschwander, D | Schott, R (2000). Trimmed sums and associated random variables in the q-domain of attraction od stable Laws. In 1 (Ed.), 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.
Gerber, H.U. | Shiu, E.S.W. (1999). From ruin theory to pricing reset guarantees and perpetual put options. 24, 3-14. peer reviewed
Gerber, HU | Pafumi, G (1999). Stop-loss a tempo continuo e protezione dinamica di un fondo d'investimento. 21, 125-146.
Gerber, HU | Pafumi, G (1999). Pricing dynamic investment fund protection. 99.01.
Gerber, HU | Shiu, E (1999). On optimal investment strategies. 20, 133-151.
Goulet, V (1999). Extension en théorie de la crédibilité à classification croisée.
Neuenschwander, D (1999). The class 10 for random increasing upper semicontinuous functions. 44, 1-5.
Pafumi, G (1999). Essays on princing contingent claims with an actuarial perspective.
Veraguth, C (1999). Etude de la variabilité des méthodes d'évaluation de l'assurance vie dans un contexte stochastique.

1998

Boyle, P.H | Cox, S.H | Gerber, H.U | Mueller, H.H | Pedersen, H.W | Pliska, S.R | Sherris, M | Shiu, E.S | Tan, K.S (1998). Financial Economics, with Appications to Investments, Insurance and Pensions. 669.
Cheng, S | Gerber, HU | Shiu, ES (1998). Discounted Probabilities and Ruin Theory in the Compound Binomial Modell. 98.07, 20.
Gerber, H.U. | Landry, B. (1998). On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. 22, 263-276. peer reviewed
Gerber, H.U. | Pafumi, G. (1998). Utility functions: from risk theory to finance. 2, 74-100. peer reviewed
Gerber, H.U. | Pafumi, G. (1998). Stop-loss a tempo continuo e protezione dinamica di un fondo d'investimento. 21, 125-146. peer reviewed
Gerber, H.U. | Shiu, E.S.W. (1998). On the time value of ruin. 2, 48-78. peer reviewed
Gerber, H.U. | Shiu, E.S.W. (1998). Pricing perpetual options for jump processes. 2, 101-112. peer reviewed
Gerber, HU | Landry, B (1998). On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. 22, 263-276.
Gerber, HU | Pafumi, G (1998). Utility Functions: From Risk Theory to Finance. 3, vol 2, 74-100.
Gerber, HU | Pafumi, G (1998). Pricing Dynamic Solvency Insurance and Investment Fund Protection. 98.03, 28.
Gerber, HU | Shiu, ES (1998). On the Time Value of Ruin. 3, vol 2, 74-100.
Gerber, HU | Shiu, ES (1998). From Ruin Theory to Pricing Reset Guarantees and Perpetual Put Options. 98.01, 17.
Gerber, HU | Shiu, ES (1998). Investing for Retirement: Optimal Capital Growth and Dynamic Asset Allocation. 98.04, 34.
Goulet, V (1998). A note on optimal parameter estimation under zero-excess assumption Insurance. 2 vol. 23, 111-117.
Landry, B (1998). Essays on the discounted penalty at ruin and the effect of skewness on option prices.
Neuenschwander, D (1998). On the uniqueness problem for continuous convolution semigroups of probability measures on simply connected nilpotent Lie groups. 53(3-4), 415-422.
Neuenschwander, D (1998). Law of the iterated logarith for Lévy's area process composed with Brownian motion. 40, 371-377.
Neuenschwander, D | Franz, U | Schott, R (1998). Phase retrival for probability distributions on quantum groups and braided groups. A paraître.

1997

Bowers, N. L. | Gerber, H. U. | James, C. H. | Donald, A. J. | Cecil, J. N. (Ed.). (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. 97.07.
Darbellay, PA (1997). Approche critique des méthodes d'évaluation d'une compagnie d'assurance-vie. 97.11.
Dufresne, F. | Niederhauser, E. (1997). Some analytical approximations of stop-loss premiums. 25-47. [abstract]
Gerber, H.U | Shiu, E.S.W. (1997). Le prix d'une option américaine perpétuelle pour des processus à sauts. 1, 83-91. peer reviewed
Gerber, H.U. | Bowers, N.L. | Hickman, J.C. | Jones, D.A. | Nesbitt, C.J. (Ed.). (1997). Actuarial Mathematics. The Society of Actuaries.
Gerber, H.U. | Exercises Contributed by Cox, S.H. (Ed.). (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. 1, 50-65. peer reviewed
Gerber, H.U. | Shiu, E.S.W. (1997). On optimal investment strategies. 20, 133-151. peer reviewed
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. 21, 129-137. peer reviewed
Gerber, HU | Landry, B (1997). Skewness and Stock Ooption Prices. 1(3), 50-65.
Gerber, HU | Landry, B (1997). On the Discounted Penalty at Ruin in a Jump-diffusion and the Perpetual Put Option. 97.06.
Gerber, HU | Pafumi, G (1997). Utility Function : From Risk Theory to Finance. 97.03.
Gerber, HU | Shiu, E (1997). An Actuarial Bridge to Option Pricing. M-FI97-1, 45-62.
Gerber, HU | Shiu, E (1997). From Ruin Theory to Option Pricing. 157-176.
Gerber, HU | Shiu, E (1997). Derivatives and Financial Markets. 91-117.
Gerber, HU | Shiu, E (1997). Le prix d'une option américaine perpétuelle pour des processus à sauts. 1, 83-91.
Gerber, HU | Shiu, E (1997). Pricing Perpetual American Option for Jump Processes. 97.04.
Gerber, HU | Shiu, E (1997). The Joint Distribution of the Time of Ruin, the Surplus Immediately Before Ruin, and the Deficit at Ruin. 21, 129-137.
Goulet, V (1997). Traitement géométrique et écriture généralisée d'un modèle de crédibilité à classification croisée. 97.08.
Goulet, V (1997). Crédibilité à classification croisée avec nombre de facteurs variable. 97.09.
Goulet, V (1997). A note on Optimal Parameter Estimation under Zero-Excess Assumptions. 97.10.
Michaud, F (1997). Shifted Poisson Processes and the Pricing of Perpetual American Options. 97.01, 54.
Neuenschwander, D (1997). A New Proof of the Multidimentional Convergence of Types Theorem. 33, 85-88.
Neuenschwander, D (1997). Uniqueness of roots in L1(G,N0), over Lattices in Simply Connected Nilpotent Lie groups. 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. 97.05, 159-194.

1996

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

1995

Dufresne, F. (1995). The Efficiency of the Swiss Bonus-malus System. 29-42. [abstract]
Embrechts, P. | Gerber, H.U. | Gisler, A. | Kohler, M.T. | Luthy, H. | Streit, P. | Tobler, H. (1995). Ausbildung und Anerkennung der Versicherungsmathematiker. In 1 (Ed.), Transactions of the 25th International Congress of Actuaries (pp. 165-180).
Gerber, H.U. (1995). A Teacher's Remark on Exact Credibility. 25, 189-192. peer reviewed
Gerber, H.U. | Michaud, F | Shiu, E.S.W. (1995). Pricing Russian Options with the Compound Poisson Process. In 1 (Ed.), Transactions of the 25th International Congress of Actuaries, 3 (pp. 243-263).
Gerber, H.U. | Shiu, E.S.W. (1995). Actuarial Approach to Option Pricing. In 1 (Ed.), 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. 15, 121-126. peer reviewed
Gerber, H.U. (1994). Martingales and tail probabilities. 24, 145-146. peer reviewed
Gerber, H.U. | Kaas, R. (1994). Some Alternatives for the Individual Model. 15, 127-132. peer reviewed
Gerber, H.U. | Shiu, E.S.W. (1994). Option pricing by Esscher transforms. 46. [pdf]
Gerber, H.U. | Shiu, E.S.W. (1994). Pricing Financial Contracts with Indexed Homogeneous Payoff. 94, 143-166.
Gerber, H.U. | Shiu, E.S.W. (1994). Martingale Approach to Pricing Perpetual American Options. 24, 195-220. peer reviewed

1993

Dufresne, F. | Gerber, H.U. (1993). The Probability of Ruin for the Inverse Gaussian and Related Processes. 12, 9-22. [url] [abstract]

1991

Dufresne, F. | Gerber, H.U. (1991). Risk theory for the compound Poisson process that is perturbed by diffusion. 10. [url] [abstract]
Dufresne, F. | Gerber, H.U. (1991). Rational ruin problems? A note for the teacher. 10, 21-29. [url] [abstract]
Dufresne, F. | Gerber, H.U. | Shiu, E.S.W. (1991). Risk theory with the gamma process. 21, 177-192. [pdf] [abstract]

1989

Dufresne, F. | Gerber, H.U. (1989). Three methods to calculate the probability of ruin. 19, 71-90. [pdf] [abstract]

1988

Dufresne, F. | Gerber, H.U. (1988). The surpluses immediately before and at ruin, and the amount of the claim causing ruin. 7, 193-199. [url] [abstract]
Dufresne, F. | Gerber, H.U. (1988). The probability and severity of ruin for combinations of exponential claim amount distribution and their translations. 7. [url] [abstract]

1979

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