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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


321 publications ordered by: publication type  -  year
N.B.: Publications appears only after the authors have joined HEC Lausanne.
For the complete publications list of authors, please, see their personal websites.


In Press

Albrecher H., Ivanovs J. & Zhou X. (in press). Exit identities for Levy processes observed at Poisson arrival times. Bernoulli. [pdf] peer reviewed
Dȩbicki K., Hashorva E., Ji L. & Tabiś K. (in press). Extremes of vector-valued Gaussian processes: exact asymptotics. Stochastic Processes and their Applications. [pdf] peer reviewed
Debicki K, Hashorva E & Ji L (in press). Extremes of a class of non-homogeneous Gaussian random fields. Annals of Probability. [pdf] peer reviewed
Debicki K, Hashorva E & Ji L (in press). Parisian ruin of self-similar Gaussian risk processes. J. Applied Probability. [pdf] peer reviewed
Debicki K, Hashorva E & Ji L (in press). On Parisian ruin over a finite-time horizon. Science China Mathematics. [pdf] peer reviewed
Debicki K, Hashorva E & Ji L (in press). Gaussian risk models with financial constraints. Scandinavian Actuarial Journal. [pdf] peer reviewed
Hashorva E & Ling C (in press). Maxima of skew elliptical triangular arrays. Communications in Statistics - Theory and Methods. [pdf] peer reviewed
Hashorva E, Mishura Y & Seleznjev O (in press). Boundary non-crossing probabilities for fractional Brownian motion with trend. Stochastics. [pdf] peer reviewed
Hashorva E, Peng Z & Weng Z (in press). Higher-order expansions of distributions of maxima in a Hüsler-Reiss model. Methodology and Computing in Applied Probability. [pdf] peer reviewed
Hashorva E & Weng Z (in press). Limit laws for maxima of contracted stationary Gaussian sequences. Communications in Statistics - Theory and Methods. [pdf] peer reviewed
Hashorva E., Korshunov D. & Piterbarg V.I. (in press). Extremal Behavior of Gaussian Chaos via Probabilistic Approach. Extremes. [pdf] peer reviewed
Ivanovs J. (in press). Potential measures of one-sided Markov additive processes with reflecting and terminating barriers. Journal of Applied Probability. peer reviewed
Liu P, Hashorva E & Ji L (in press). On the gamma-reflected processes with fBm input. Lithuanian Math. J. [pdf] peer reviewed
Liu P. & Ji L. (in press). Extremes of chi-square processes with trend. Probability and Mathematical Statistics. [pdf] peer reviewed
Mahlow N. & Wagner J. (in press). Evolution of Strategic Levers in Insurance Claims Management: An Industry Survey. Risk Management and Insurance Review. peer reviewed

2015

Dȩbicki K, Hashorva E, Ji L & Ling C (2015). Extremes of order statistics of stationary processes. TEST, 24(2), 229-248. [doi] [pdf] peer reviewed
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(2), 780-796. [doi] [pdf] peer reviewed
Debicki K, Hashorva E & Soja-Kukieła N (2015). Extremes of homogeneous Gaussian random fields. Journal of Applied Probability, 52(1), 55-67. [pdf] peer reviewed
Farkas J & Hashorva E (2015). Tail approximation for reinsurance portfolios of Gaussian-like risks. Scandinavian Actuarial Journal, 2015(4), 319-331. [doi] [pdf] peer reviewed
Hashorva E (2015). Extremes of aggregated Dirichlet risks. Journal of Multivariate Analysis, 133, 334-345. [doi] [pdf] peer reviewed
Hashorva E & Ji L (2015). Piterbarg theorems for chi-processes with trend. Extremes, 18(1), 37-64. [doi] [pdf] peer reviewed
Hashorva E & Li J (2015). Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks. Stochastic Models, 31(1), 1-19. [doi] [pdf] peer reviewed
Hashorva E, Lifshits M & Seleznjev O (2015). Approximation of a random process with variable smoothness. Festschrift in honor of Paul Deheuvels (pp. 189-208). Eds. Hallin, M. Mason, D. Pfeifer, D., Steinebach, J.G. Springer Verlag. [pdf]
Hashorva E, Peng L & Weng Z (2015). Maxima of a triangular array of multivariate Gaussian sequence. Statistics & Probability Letters, 103, 62-72. [doi] [pdf] peer reviewed
Hashorva E & Ratovomirija G (2015). ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS. ASTIN Bulletin, 45(01), 175-205. [doi] [pdf] peer reviewed
Hashorva E & Tan Z (2015). Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids. Statistics, 49(2), 338-360. [doi] [pdf] peer reviewed
Kaas R., Gerber H., Goovaerts M., Shiu E. & Albrecher H. (2015). The impact factor of IME (Editorial). Insurance: Mathematics and Economics, 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. Mathematical Notes, 97(5-6), 878-891. [doi] [pdf] peer reviewed
Wagner J. (2015). Gestion du risque. Université de Lausanne, notes de cours.
Wagner J. (2015). L'avenir de l'assurance vie : une mort lente. HEC Lausanne, Département de Sciences Actuarielles. [pdf]

2014

Albrecher H., Asadi P. & Ivanovs J. (2014). Exact boundaries in sequential testing for phase-type distributions. Journal of Applied Probability, 51A, 347-358. [pdf] peer reviewed
Albrecher H., Avram F., Constantinescu C. & Ivanovs J. (2014). The tax identity for Markov additive risk processes. Methodology and Computing in Applied Probability, 16(1), 245-258. [pdf] peer reviewed
Albrecher H., Boxma O. & Ivanovs J. (2014). On simple ruin expressions in dependent Sparre Andersen risk models. Journal of Applied Probability, 51(1), 293-296. [pdf] peer reviewed
Albrecher H. & Ivanovs J. (2014). Power identities for Levy risk models under taxation and capital injections. Stochastic Systems, 4(1), 157-172. [pdf] peer reviewed
Albrecher H., Robert C.Y. & Teugels J. (2014). Joint asymptotic distributions of smallest and largest insurance claims. Risks, 2, 289-314. [pdf] peer reviewed
Dębicki K, Hashorva E & Ji L (2014). Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals. Extremes, 17(3), 411-429. [doi] [pdf] peer reviewed
Dȩbicki K., Hashorva E., Ji L. & Tabiś K. (2014). On the probability of conjunctions of stationary Gaussian processes. Statistics & Probability Letters, 88, 141-148. [doi] [pdf] peer reviewed
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. [pdf] peer reviewed
Debicki K., Hashorva E. & Ji L. (2014). Gaussian approximation of perturbed chi-square risks. Statistics and Its Interface, 7, 363–373. [pdf] peer reviewed
Embrechts P, Hashorva E & Mikosch T (2014). Aggregation of log-linear risks. Journal of Applied Probability, 51A, 203–212. [pdf] peer reviewed
Hashorva E & Ji L (2014). Approximation of passage times of gamma-reflected processes with fBm input. Journal of Applied Probability, 51(3), 713-726. [pdf] peer reviewed
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(04), 573-588. [doi] [pdf] peer reviewed
Hashorva E, Ling C & Peng Z (2014). Second-order tail asymptotics of deflated risks. Insurance: Mathematics and Economics, 56, 88-101. [doi] peer reviewed
Hashorva E, Nadarajah S & Pogany T K (2014). Extremes of perturbed bivariate Rayleigh risks. REVSTAT, 12(2), 157-168. peer reviewed
Hashorva E & Weng Z (2014). Tail asymptotic of Weibull-type risks. Statistics, 48(5), 1155-1165. [doi] [pdf] peer reviewed
Hashorva E & Weng Z (2014). Berman's inequality under random scaling. Statistics and Its Interface, 7, 339-349. [pdf] 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. Communications in Statistics - Theory and Methods, 43, 2540–2548. [doi] [pdf] peer reviewed
Hashorva E. & Ji L. (2014). Extremes and First Passage Times of Correlated Fractional Brownian Motions. Stochastic Models, 30(3), 272-299. [doi] [pdf] peer reviewed
Hashorva E. & Ji L. (2014). Random shifting and scaling of insurance risks. Risks, 2, 277-288. [doi] [pdf] peer reviewed
Hashorva E. & Kortschak D. (2014). Tail asymptotics of random sum and maximum of log-normal risks. Statistics & Probability Letters, 87, 167-174. [doi] [pdf] peer reviewed
Hashorva E., Ling C. & Peng Z. (2014). Tail asymptotic expansions for L-statistics. Science China Mathematics, 57(10), 1993-2012. [doi] [pdf] peer reviewed
Hashorva E., Ling C. & Peng Z. (2014). Modeling of censored bivariate extremal events. Journal of the Korean Statistical Society, 43(3), 323-338. [doi] [pdf] peer reviewed
Hashorva E., Ling C. & Peng Z. (2014). Second-order tail asymptotics of deflated risks. Insurance: Mathematics and Economics, 56, 88-101. [doi] [pdf] peer reviewed
Hashorva E. & Mishura Y. (2014). Boundary Non-Crossings of Additive Wiener Fields. Lithuanian Math. J., 54(3), 277-289. [pdf] peer reviewed
Hashorva E., Peng Z. & Weng Z. (2014). Limit properties of exceedances point processes of scaled stationary Gaussian sequences. Probability and Mathematical Statistics, 34(1), 45-59. [pdf] peer reviewed
Hashorva E. & Weng Z. (2014). Maxima and minima of complete and incomplete stationary sequences. Stochastics An International Journal of Probability and Stochastic Processes, 86(5), 707-720. [doi] [pdf] peer reviewed
Ji L., Hashorva E. (Dir.) (2014). Ruin and related quantities in some advanced insurance risk models. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Ji L. & Zhang C. (2014). A duality result for the generalized Erlang risk model. Risks, 2, 456–466. [pdf] peer reviewed
Kortschak D & Hashorva E (2014). Second Order Asymptotics of Aggregated Log-Elliptical Risk. Methodology and Computing in Applied Probability, 16(4), 969-985. [doi] [pdf] peer reviewed
Laas D., Schmeiser H. & Wagner J. (2014). Pricing: Kampf geht weiter?. Schweizer Versicherung, No. 7, 54-55. [url] [abstract]
Mahlow N. & Wagner J. (2014). Entwicklungen im Schadenmanagement: Strategische Themenfelder und Prozessmodell-Benchmark. I.VW Management-Information, No. 3, 29-32.
Neuenschwander D. (2014). On Chung's Law of Large Numbers on Simply Connected Step 2-Nilpotent Lie Groups. Journal of Mathematical Sciences, 196(1), 75-77. [doi]
Neuenschwander D. (2014). A new Proof for the Lévy Construction of Second Kind for Stable Laws. Journal of Mathematical Sciences, 200(4), 473-475. [doi]
Neuenschwander D. (2014). On Multivariate Power Series of Random Variables Satisfying Some Hierarchy Conditions. Journal of Mathematical Sciences, 200(4), 476-479. [doi]
Schmeiser H., Störmer T. & Wagner J. (2014). Possible market implications of unisex insurance pricing. Asia Insurance Review. [url]
Schmeiser H., Störmer T. & Wagner J. (2014). Possible Market Implications of Unisex Insurance Pricing. Geneva Association, Insurance Economics Newsletter, No. 70, 2-4. [pdf]
Tan Z. & Hashorva E. (2014). On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes. Journal of Mathematical Analysis and Applications, 409(1), 299-314. [doi] [pdf] peer reviewed
Tan Z. & Hashorva E. (2014). On Piterbarg Max-Discretisation Theorem for Standardised Maximum of Stationary Gaussian Processes. Methodology and Computing in Applied Probability, 16(1), 169-185. [doi] [pdf] peer reviewed
Wagner J. (2014). Asset and Liability Management for Actuaries. University of Lausanne, lecture notes.
Wagner J. (2014). Insurance Economics. University of Lausanne, lecture notes.

2013

Albrecher H., Binder A., Lautscham V. & Mayer P. (2013). Introduction to Quantitative Methods for Financial Markets. Birkhaeuser.
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. [pdf] 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. SIAM Journal of Applied Mathematics, 73(1), 47-66. [pdf] peer reviewed
Albrecher H., Guillaume F. & Schoutens W. (2013). Implied liquidity: model sensitivity. Journal of Empirical Finance, 23, 48-67. [pdf] peer reviewed
Albrecher H. & Ivanovs J. (2013). A risk model with an observer in a Markov environment. Risks, 1(3), 148-161. [pdf] peer reviewed
Albrecher H. & Lautscham V. (2013). From ruin to bankruptcy for compound Poisson surplus processes. ASTIN Bulletin, 43(2), 213-243. [pdf] peer reviewed
Balakrishnan N. & Hashorva E. (2013). Scale Mixtures of Kotz-Dirichlet Distributions. Journal of Multivariate Analysis, 113, 48-58. [doi] peer reviewed
Boxma O. & Ivanovs J. (2013). Two coupled Lévy queues with independent input. Stochastic Systems, 3(2), 574-590. peer reviewed
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), 1-21. [pdf] peer reviewed
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(3), 702-711. [pdf] peer reviewed
Gerber H.U., Shiu E.S.W. & Yang H. (2013). Valuing equity-linked death benefits in jump diffusion models. Insurance: Mathematics and Economics, 53(3), 615-623. [doi] [abstract] peer reviewed
Hashorva E. (2013). On beta-product convolutions. Scandinavian Actuarial Journal, 69–83. [doi] peer reviewed
Hashorva E. (2013). Minima and maxima of elliptical triangular arrays and spherical processes. Bernoulli, 19(3), 886–904. [pdf] peer reviewed
Hashorva E. (2013). Exact tail asymptotics of aggregated parametrised risk. Journal of Mathematical Analysis and Applications, 400(1), 187-199. [doi] [pdf] peer reviewed
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(11), 4111-4127. [doi] [pdf] peer reviewed
Hashorva E. & Li J. (2013). ECOMOR and LCR reinsurance with gamma-like claims. Insurance: Mathematics and Economics, 53(1), 206-215. [doi] [pdf] peer reviewed
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(4), 875-896. [doi] peer reviewed
Hashorva E., Peng Z. & Weng Z. (2013). On Piterbarg theorem for the maxima of stationary Gaussian sequences. Lithuanian Mathematical Journal, 53(3), 280-292. [pdf] peer reviewed
Hashorva E. & Tan Z. (2013). Large deviations of Shepp statistics for fractional Brownian motion. Statistics & Probability Letters, 83(10), 2242-2247. [doi] [pdf] peer reviewed
Hashorva E. & Weng Z. (2013). Limit laws for extremes of dependent stationary Gaussian arrays. Statistics & Probability Letters, 83(1), 320-330. [doi] peer reviewed
Ivanovs J. (2013). A note on killing with applications in risk theory. Insurance: Mathematics and Economics, 52(1), 29-34. peer reviewed
Ivanovs J. & Kella O. (2013). Another look into decomposition results. Queueing Systems, 75(1), 19-28. peer reviewed
Korshunov D.A., Piterbarg V.I. & Hashorva E. (2013). On Extremal Behavior of Gaussian Chaos. Doklady Mathematics, 88(2), 566–568. [doi] [pdf] peer reviewed
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. [doi] [pdf] peer reviewed
Merz M., Wüthrich M.V. & Hashorva E. (2013). Dependence modelling in multivariate claims run-off triangles. Annals of Actuarial Science, 7(1), 3-25. [doi] peer reviewed
Tan Z. & Hashorva E. (2013). Limit theorems for extremes of strongly dependent cyclo-stationary χ-processes. Extremes, 16(2), 241-254. [doi] peer reviewed
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(8), 2983-2998. [doi] [pdf] peer reviewed
Tan Z. & Hashorva E. (2013). Exact tail asymptotics of the supremum of strongly dependent gaussian processes over a random interval. Lithuanian Mathematical Journal, 53(1), 91–102. [pdf] peer reviewed
Yang Y. & Hashorva E. (2013). Extremes and products of multivariate AC-product risks. Insurance: Mathematics and Economics, 52(2), 312-319. [doi] [pdf] peer reviewed

2012

Prettenthaler F. & Albrecher H. (Eds.). (2012). Sturmschäden: Modellierung der versicherten Schäden in Österreich (8). Verlag der Österreichischen Akademie der Wissenschaften.
Albrecher H. (2012). 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(6), 1209-1230. [pdf] peer reviewed
Albrecher H., Constantinescu C. & Thomann E. (2012). Asymptotic results for renewal risk models with risky investments. Stochastic Processes And Their Applications, 122(11), 3767-3789. [pdf] peer reviewed
Albrecher H., Kortschak D. & Zhou X. (2012). Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Applied Mathematical Finance, 19(2), 97-129. peer reviewed
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. [pdf]
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(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. Insurance: Mathematics & Economics, 51(1), 73-92. peer reviewed
Hashorva E. (2012). Exact tail asymptotics in bivariate scale mixture models. Extremes, 15(1), 109-128. [doi] peer reviewed
Hashorva E. & Jaworski P. (2012). Gaussian approximation of conditional elliptical copulas. Journal of Multivariate Analysis, 111, 397-407. [doi] peer reviewed
Hashorva E., Ji L. & Tan Z. (2012). On the infinite sums of deflated Gaussian products. Electronic Communications in Probability, 17(31), 1-8. [doi] peer reviewed
Hashorva E., Kabluchko Z. & Wübker A. (2012). Extremes of independent chi-square random vectors. Extremes, 15(1), 35-42. [doi] peer reviewed
Hashorva E. & Stepanov A. (2012). Limit theorems for the spacings of weak records. Metrika, 75(2), 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. Applied Stochastic Models in Business and Industry, 28, 73-90. [doi] peer reviewed
Kortschak Dominik (2012). Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks. Extremes, 15(3), 353-388. [doi] [url] peer reviewed
Kume A. & Hashorva E. (2012). Calculation of Bayes premium for conditional elliptical risks. Insurance: Mathematics and Economics, 51, 632–635. [doi] [pdf] peer reviewed
Ling Chengxiu, Peng Zuoxiang & Nadarajah Saralees (2012). Location invariant Weiss-Hill estimator. Extremes, 15(2), 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. Acta Mathematica Sinica, English Series, 28(8), 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. The Geneva Papers on Risk and Insurance - Issues and Practice, 37, 340-364. 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 [Abstract]. . European Journal of Neurology, 16th Congress of the European-Federation-of-Neurological-Societies (EFNS), 19(Suppl. 1) (pp. 748). [web of science]
Tan Z., Hashova E. & Peng Z. (2012). Asymptotics of maxima of strongly dependent Gaussian processes. Journal of Applied Probability, 49(4), 1106–1118. [doi] [pdf] 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. Extremes, 15, 389-406. [doi] peer reviewed

2011

Albrecher H., Baeuerle N. & Thonhauser S. (2011). Optimal dividend payout in random discrete time. Statistics and Risk Modeling, 28(3), 251-276. [pdf] 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. Journal of Applied Probability, 48A, 3-14. [pdf] peer reviewed
Albrecher H., Cheung E.C.K. & Thonhauser S. (2011). Randomized observation times for the compound Poisson risk model: Dividends. ASTIN Bulletin, 41(2), 645-672. [pdf] peer reviewed
Albrecher H., Constantinescu C. & Loisel S. (2011). Explicit ruin formulas for models with dependence among risks. Insurance: Mathematics & Economics, 48(2), 265-270. [pdf] peer reviewed
Albrecher H. & Gerber H. (2011). A note on moments of dividends. Acta Mathematica Applicatae Sinica, 27(3), 353-354. [pdf] peer reviewed
Albrecher H., Gerber H. & Shiu E. (2011). The optimal dividend barrier in the Gamma-Omega model. European Actuarial Journal, 1(1), 43-55. [pdf] peer reviewed
Albrecher H. & Haas S. (2011). Ruin Theory with Excess of Loss Reinsurance and Reinstatements. Applied Mathematics and Computation, 217(20), 8031-8043. [pdf] peer reviewed
Balakrishnan N. & Hashorva E. (2011). On Kotz-Pearson Dirichlet distributions. J. Multivariate Anal., 102, 948-957. peer reviewed
Constantinescu C., Hashorva E. & Ji L. (2011). Archimedean copulas in finite and infinite dimensions - with application to ruin problems. Insurance: Mathematics & Economics, 49(3), 487-495. peer reviewed
Hashorva E. (2011). Comments on statistical models and methods for dependence in insurance data. J Korean Stat Soc, 40, 151-154. peer reviewed
Hashorva E. (2011). A convolution identity for exchangeable risks. Albanian Journal of Mathematics, 5(1), 43-45. peer reviewed
Hashorva E. (2011). Asymptotics of the convex hull of spherically symmetric samples. Discrete Applied Mathematics, 159(4), 201-211. 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. Chinese Journal of Applied Probability and Statistics, 27(5), 543-560. peer reviewed
Thonhauser S. & Albrecher H. (2011). Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility. Stochastic Models, 27(1), 120-140. [pdf] peer reviewed
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. [pdf] peer reviewed
Trufin J., Albrecher H. & Denuit M. (2011). Ruin problems under IBNR Dynamics. Applied Stochastic Models in Business and Industry, 27(6), 619-632. [pdf] peer reviewed

2010

Albrecher H. (2010). Reinsurance. 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. Journal of Computational and Applied Mathematics, 233(10), 2724-2736. [pdf] peer reviewed
Albrecher H., Constantinescu C. & Garrido J. (2010). Editorial on the Special Issue on Gerber-Shiu Functions. Insurance: Mathematics & Economics, 46(1), 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(1), 42-51. [pdf] peer reviewed
Albrecher H., Gerber H. & Yang H. (2010). Reply to discussions on "A direct approach to the discounted penalty function". North American Actuarial Journal, 14(4), 445-447. peer reviewed
Albrecher H., Gerber H.U. & Yang H. (2010). A direct approach to the discounted penalty function. North American Actuarial Journal, 14(4), 420-434. [pdf] peer reviewed
Albrecher H. & Haas S. (2010). A numerical approach to ruin models with excess of loss reinsurance and reinstatements. 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. Scandinavian Actuarial Journal, 110(2), 105-135. [pdf] peer reviewed
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(2), 358-368. [pdf] peer reviewed
Albrecher H. & Mayer P. (2010). Semi-static hedging strategies for exotic options. In Kiesel R., Scherer M. & Zagst R. (Eds.), 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. Insurance: Mathematics and Economics, 46(1), 109-116. peer reviewed
Gerber H.U. & Yang H. (2010). Obtaining the dividends-penalty identities by interpretation. Insurance: Mathematics and Economics, 47(2), 206-207. peer reviewed
Hartinger J. & Kortschak D. (2010). Quasi-Monte Carlo Techniques and Rare Event Sampling. Schweizerische Aktuarvereinigung. Mitteilungen, 56-70. peer reviewed
Hashorva E. (2010). Boundary Non-crossings of Brownian Pillow. Journal of Theoretical Probability, 23(1), 193-208. [doi] peer reviewed
Hashorva E. (2010). Asymptotics of the norm of elliptical random vectors. Journal of Multivariate Analysis, 101(4), 926-935. [doi] peer reviewed
Hashorva E. (2010). On the residual dependence index of elliptical distributions. Statistics & Probability Letters, 80(13-14), 1070-1078. [doi] peer reviewed
Hashorva E. & Pakes A.G. (2010). Tail asymptotics under beta random scaling. Journal of Mathematical Analysis and Applications, 372(2), 496-514. [doi] peer reviewed
Hashorva E., Pakes A.G. & Tang Q. (2010). Asymptotics of random contractions. Insurance: Mathematics and Economics, 47(3), 405-414. [doi] peer reviewed
Ji L & Zhang C (2010). The Gerber-Shiu penalty functions for two classes of renewal risk processes. Journal of Computational and Applied Mathematics, 233(10), 2575-2589. [doi] peer reviewed
Kortschak D. & Albrecher H. (2010). An asymptotic expansion for the tail of compound sums of Burr distributed random variables. Statistics and Probability Letters, 80(7-8), 612-620. [pdf] peer reviewed
S. Asmussen & H. Albrecher (2010). Ruin probabilities (Second Edition). World Scientific. [pdf]

2009

Prettenthaler F. & Albrecher H. (Eds.). (2009). Hochwasser und dessen Versicherung in Österreich. Verlag der Österreichischen Akademie der Wissenschaften.
Albrecher H., Runggaldier W. & Schachermayer W. (Eds.). (2009). Advanced Financial Modelling. de Gruyter. [pdf]
Albrecher H., Binder A. & Mayer P. (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. Insurance: Mathematics & Economics, 44(2), 304-306. peer reviewed
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. [pdf] peer reviewed
Albrecher H. & Kortschak D. (2009). On ruin probability and aggregate claim representations for Pareto claim size distributions. Insurance: Mathematics and Economics, 45(3), 362-373. [pdf] peer reviewed
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.
Albrecher H., Scheicher K. & Teugels J. L. (2009). A combinatorial identity for a problem in asymptotic statistics. Applicable Analysis and Discrete Mathematics, 3(1), 64-68. peer reviewed
Albrecher H. & Thonhauser S. (2009). Optimality Results for Dividend Problems in Insurance. RACSAM Rev. R. Acad. Cien. Serie A. Mat., 103(2), 295-320. [pdf] peer reviewed
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. peer reviewed
Hartinger J. & Kortschak D. (2009). On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms. Blätter der DGVFM, 30(2), 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. Methodology and Computing in Applied Probability, 11(3), 279-306. [pdf] 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). On Sufficient Statistics for Combined Models with Stochastic Volatility and Jumps: Some Complements. Far East J. Theor. Stat., 28(2), 117-131.
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 Appendixon a New Proof of Siebert's Convergence Theorem for Generating Distributions. Int. J. Pure Appl. Math., 55(2), 187-199.
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. Int. J. Pure Appl. Math., 55(2), 173-186.
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.
Trufin J., Albrecher H. & Denuit M. (2009). Impact of underwriting cycles on the solvency of an insurance company. North American Actuarial Journal, 13(3), 385-403. peer reviewed

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(2), 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. Insurance: Mathematics and Economics, 42(1), 243-254. [url] [abstract] peer reviewed
Gerber H.U. & Smith N. (2008). Optimal dividends with incomplete information in the dual model. Insurance: Mathematics and Economics, 43(2), 227-233. [url] peer reviewed
Ling C., Peng Z. & Nadarajah S. (2008). A location invariant moment-type estimator II. Theory of Probability and Mathematical Statistics, 177-189. [doi] peer reviewed
Monter Espinosa M. R., Dubey A. (Dir.) (2008). Three essays on default risk. Université de Lausanne, Faculté des hautes études commerciales.
Neuenschwander D. (2008). Retrieval of Black-Scholes and Generalized Erlang Models by Perturbed Observations at a Fixed Time. Insur. Math. Econ., 42(1), 453-458.
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. J. Theoret. Probab., 21(4), 791-801.
Neuenschwander D. (2008). Solution to Advanced Problem 6576*. Amer. Math. Monthly, 115, 263-264.
Neuenschwander D. (2008). Uniqueness of Embedding of Gaussian Probability Measures into a Continuous Convolution Semigroup on Simply Connected Nilpotent Lie Groups. C. R., Math., Acad. Sci. Paris, 346(15-16), 887-892.
Smith N., Gerber M. (Dir.) (2008). On optimal dividend strategies with deficit or incomplete information. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Viquerat S. & Dufresne F. (2008). 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(1), 111-123. [url] [abstract] peer reviewed
Gerber H.U. & Yang H. (2007). Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment. North American Actuarial Journal, 11(3), 159-169. [pdf] peer reviewed
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. [abstract]

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(2), 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". North American Actuarial Journal, 10(2), 133-139. [pdf] peer reviewed
Gerber H. U. & Shiu E. S. W. (2006). On the Merger of Two Companies. North American Actuarial Journal, 10(3), 60-67. [pdf] [abstract] peer reviewed
Gerber H. U. & Shiu E. S. W. (2006). On Optimal Dividend Strategies in the Compound Poisson Model. North American Actuarial Journal, 10(2), 76-93. [pdf] [abstract] peer reviewed
Gerber H. U., Shiu E. S. W. & Smith N. (2006). Maximizing Dividends without Bankruptcy. Astin Bulletin, 36(1), 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. Astin Bulletin, 36(2), 489-503. [abstract] peer reviewed
Gerber H.U. & Shiu E.S.W. (2006). On Optimal Dividends: From Reflection to Refraction. Journal of Computational and Applied Mathematics, 186(1), 4-22. [abstract] peer reviewed

2005

Gerber H. U. & Shiu E. S. W. (2005). The Time Value of ruin in a Sparre Andersen Model. North American Actuarial Journal, 9(2), 49-84. [pdf] peer reviewed

2004

Gerber H & Shiu E (2004). Optimal Dividends : Analysis with Brownian Motion. North American Actuarial Journal, 8(1), 1-20. [pdf]
Gerber H. U. & Shiu E. S. W. (2004). Optimal Dividends : Analysis with Brownian Motion. North American Actuarial Journal, 8(1), 1-20. [pdf] [abstract] peer reviewed
Gerber Hans U. & Shiu Elias S. W. (2004). Optimal Dividends: Analysis with Brownian Motion. . North American Actuarial Journal, 8(1), 1-20.
Stoica D. & Dufresne F. (2004). 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(2). [pdf]
Gerber H & Shiu E (2003). Indicator Function and Hattendorff Theorem. North American Actuarial Journal, 7(1), 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(3), 37-56.
Gerber H & Shui E (2003). Pricing Lookback Options and Dynamic Guarantess. North American Actuarial Journal, 7(1), 48-67.
Gerber H. U., Leung B. P. K. & Shiu E. S. W. (2003). Indicator Function and Hattendorff Theorem. North American Actuarial Journal, 7(1), 38-47. [abstract] peer reviewed
Gerber H. U. & Shiu E. S. W. (2003). Pricing Perpetual Fund Protection with Withdrawal Option. North American Actuarial Journal, 7(2), 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". North American Actuarial Journal, 7(3 and 4), 117-119 and 96-101. peer reviewed
Gerber H. U. & Shiu E. S. W. (2003). Pricing Lookback Options and Dynamic Guarantees. North American Actuarial Journal, 7(1), 48-67. [pdf] [abstract] peer reviewed
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(3), 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. 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. Insurance: Mathematics and Economics.

2002

Dufresne F (2002). Between the individual and the collective models, revisited. HEC/Unil.
Neuenschwander D (2002). Covariograms of convex bodies in the plane : A remark on Nagel's theorem. Elemente Math, 57, 61-65.
Neuenschwander D (2002). Petrov's law of the iterated logarithm on simply connected nilpotent Lie groups. Publ. Math. Debrecen, 60(1-2), 23-28.
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(2), 109-121. peer reviewed

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. peer reviewed
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(2), 28-41. peer reviewed
Gerber H.U. & Shiu E.S.W. (2000). Investing for retirement: optimal capital growth and dynamic asset allocation. North American Actuarial Journal, 4(2), 42-62. peer reviewed
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). Lösung zu Aufgabe 1142. Elemente Math., 55/1, 40-41.
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 (2000). Unimodality of stable gaussian laws on the Heisenberg group. Monathshefte Math., 129, 133-137.
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. peer reviewed
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. peer reviewed
Gerber H.U. & Pafumi G. (1998). Utility functions: from risk theory to finance. North American Actuarial Journal, 2(3), 74-100. peer reviewed
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. peer reviewed
Gerber H.U. & Shiu E.S.W. (1998). On the time value of ruin. North American Actuarial Journal, 2(1), 48-78. peer reviewed
Gerber H.U. & Shiu E.S.W. (1998). Pricing perpetual options for jump processes. North American Actuarial Journal, 2(3), 101-112. peer reviewed
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). 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 & Pafumi G (1998). Utility Functions: From Risk Theory to Finance. North American Actuarial Journal, 3, vol 2, 74-100.
Gerber HU & Shiu ES (1998). Investing for Retirement: Optimal Capital Growth and Dynamic Asset Allocation. Cahiers de l'ISA, 98.04, 34.
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). On the Time Value of Ruin. North American Actuarial Journal, 3, vol 2, 74-100.
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). Law of the iterated logarith for Lévy's area process composed with Brownian motion. Stat. Prob. Lett., 40, 371-377.
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, 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. [abstract]
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. peer reviewed
Gerber H.U., Bowers N.L., Hickman J.C., Jones D.A. & Nesbitt C.J. (1997). Actuarial Mathematics. The Society of Actuaries.
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(3), 50-65. 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. Insurance: Mathematics and Economics, 21, 129-137. peer reviewed
Gerber H.U. & Shiu E.S.W. (1997). On optimal investment strategies. Rivista di matematica per le scienze economiche e sociali, 20(2), 133-151. peer reviewed
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). Le prix d'une option américaine perpétuelle pour des processus à sauts. Bulletin Français d'Actuariat, 1, 83-91.
Gerber HU & Shiu E (1997). Derivatives and Financial Markets. Derivatives and Financial Markets, 91-117.
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). An Actuarial Bridge to Option Pricing. Securitization of Risk: the 1995 Bowles Symposium, M-FI97-1, 45-62.
Gerber HU & Shiu E (1997). Pricing Perpetual American Option for Jump Processes. Cahier de recherche ISA, 97.04.
Goulet V (1997). A note on Optimal Parameter Estimation under Zero-Excess Assumptions. Cahier de recherche ISA, 97.10.
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.
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. [abstract]
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. Springer-Verlag, Berlin-Heidelberg and Swiss Association of Actuaries.
Gerber H.U. (1996). Life Insurance Mathematics (Chinese edition).
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). Actuarial Bridges to Dynamic Hedging and Option Pricing. Insurance Mathematics and Economics, 18, 183-218.
Gerber HU & Shiu E (1996). Martingale Approach to Pricing Perpeetual American Options on Two Stocks. Mathematical Finance, 6, 302-322.
Michaud F (1996). Estimating the probability of ruin for variable premiums by simulation. Astin Bulletin, 26, 93-105.
Neuenschwander D (1996). Commutataive infinitesimal triangular systems on Euclidan motion groups. Statist. Prolab. Lett, 30, 33-36.
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). 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. 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. [abstract]
Embrechts P., Gerber H.U., Gisler A., Kohler M.T., Luthy H., Streit P. & Tobler H. (1995). 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(2), 189-192. peer reviewed
Gerber H.U., Michaud F & Shiu E.S.W. (1995). 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). 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. peer reviewed
Gerber H.U. (1994). Martingales and tail probabilities. Astin Bulletin, 24, 145-146. peer reviewed
Gerber H.U. & Kaas R. (1994). Some Alternatives for the Individual Model. Insurance: Mathematics and Economics, 15, 127-132. peer reviewed
Gerber H.U. & Shiu E.S.W. (1994). Option pricing by Esscher transforms. Transactions of the Society of Actuaries, 46. [pdf]
Gerber H.U. & Shiu E.S.W. (1994). Martingale Approach to Pricing Perpetual American Options. Astin Bulletin, 24, 195-220. peer reviewed
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(1), 9-22. [url] [abstract]

1991

Dufresne F. & Gerber H.U. (1991). Risk theory for the compound Poisson process that is perturbed by diffusion. Insurance: Mathematics and Economics, 10(1). [url] [abstract]
Dufresne F. & Gerber H.U. (1991). Rational ruin problems? A note for the teacher. Insurance: Mathematics and Economics, 10(1), 21-29. [url] [abstract]
Dufresne F., Gerber H.U. & Shiu E.S.W. (1991). Risk theory with the gamma process. ASTIN Bulletin, 21(2), 177-192. [pdf] [abstract]

1989

Dufresne F. & Gerber H.U. (1989). Three methods to calculate the probability of ruin. ASTIN Bulletin, 19(1), 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. Insurance: Mathematics and Economics, 7(3), 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. Insurance: Mathematics and Economics, 7(2). [url] [abstract]

1979

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