Département de sciences actuarielles

Equipe principale
Publications | Mémoires et thèses

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617 publications

... | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | ...
2018
 
Approximation of maximum of Gaussian random fields
Hashorva E., Seleznjev O., Tan Z., 2018/01. Journal of Mathematical Analysis and Applications, 457 (1) pp. 841-867.
[DOI][WoS][serval:BIB_B0E9433921B2]
 
Cause-of-death mortality: What can be learned from population dynamics?
Boumezoued A., Hardy Labit H., El Karoui N., Arnold S., 2018/01. Insurance: Mathematics and Economics, 78 pp. 301-315. Peer-reviewed.
[DOI][serval:BIB_09037EAFD3F8]
 
Dividends: From Refracting to Ratcheting
Albrecher H., Bäuerle N., Bladt M., 2018. Insurance: Mathematics and Economics, 83 pp. 47-58. Peer-reviewed.
[DOI][serval:BIB_B07B61AC6F97]
 
ESPN Flash Reports : Cost Containment and Equity Concerns in Swiss Healthcare Policy
Trein Philipp, 2018. (33) 2, European Commission.
[serval:BIB_B072A3955531]
 
ESPN Thematic Report on Challenges in Long-term Care in Switzerland
Trein Philipp, 2018. 15, European Commission.
[serval:BIB_B1F7ADC559A8]
 
ESPN Thematic Report on Inequalities in access to healthcare Switzerland
Trein Philipp, 2018. 12, European Commission.
[serval:BIB_471F07CA4C15]
Forecasting the next likely purchase events of insurance customers: A case study on the value of data-rich multichannel environments
Mau S., Pletikosa Cvijikj I., Wagner J., 2018. International Journal of Bank Marketing, 36 (6) pp. 1125-1144. Peer-reviewed.
[URN][DOI][serval:BIB_E033703283B2]
 
Insurance Claims Fraud: Optimal Auditing Strategies in Insurance Companies
Müller K., Schmeiser H., Wagner J., 2018. Variance, 10 (2) pp. 204-226. Peer-reviewed.
[serval:BIB_02B5BF60B3C6]
 
Introduction : The Family Tree of Policy Learning
Dunlop Claire, Radaelli Claudio, Trein Philipp, 2018. pp. 1-25 dans Dunlop Claire, Radaelli Claudio, Trein Philipp (eds.) Learning in Public Policy : Analysis, Modes and Outcomes, Palgrave Macmillan.
[serval:BIB_465A895814D2]
 
Learning in Public Policy : Analysis, Modes and Outcomes
Dunlop Claire, Radaelli Claudio, Trein Philipp, 2018. International series on public policy 360, Palgrave Macmillan.
[DOI][serval:BIB_F59FCA21D790]
Linking dividends and capital injections – a probabilistic approach
Albrecher H., Ivanovs J., 2018. Scandinavian Actuarial Journal 1 pp. 76-83. Peer-reviewed.
[URN][DOI][serval:BIB_07D23478C41D]
Long-Term Care Models and Dependence Probability Tables by Acuity Level: New Empirical Evidence from Switzerland
Fuino M., Wagner J., 2018. Insurance: Mathematics and Economics, 81 pp. 51-70. Peer-reviewed.
[URN][DOI][serval:BIB_900A635B6B46]
 
Median Problem Pressure and Policy Learning : An Exploratory Analysis of European Countries
Trein Philipp, 2018. pp. 243-266 dans Dunlop Claire, Radaelli Claudio, Trein Philipp (eds.) Learning in Public Policy : Analysis, Modes and Outcomes, Palgrave Macmillan.
[serval:BIB_B48B3D154459]
 
Pricing exotic options in a regime switching economy: a Fourier transform method
Peter Hieber, 2018. Review of Derivatives Research, 21 pp. 231-252.
[DOI][serval:BIB_2CF2DC41EF05]
Profitability and Growth in Motor Insurance Business – Empirical Evidence from Germany
Maichel-Guggemoos L., Wagner J., 2018. Geneva Papers on Risk and Insurance - Issues and Practice, 43 (1) pp. 126-157. Peer-reviewed.
[URN][DOI][serval:BIB_1832C2427C2B]
 
Sample path properties of reflected Gaussian processes
Kosiński K.M., Liu P., 2018. Latin American Journal of Probability and Mathematical Statistics, 15 (1) p. 453. Peer-reviewed.
[DOI][serval:BIB_E274DCA898D3]
What policyholder and contract features determine the evolution of non-life insurance customer relationships? : A case study analysis
Staudt Y., Wagner J., 2018. International Journal of Bank Marketing, 36 (6) pp. 1098-1124. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_98991EE549F6]
2017
On extremal index of max-stable processes
Debicki K., Hashorva E., 2017/12/01. Probability and Mathematical Statistics, 37 (2) pp. 299-317. Peer-reviewed.
[URN][serval:BIB_D4AF6E7E27CB]
Tail asymptotics of light-tailed Weibull-like sums
Asmussen S., Hashorva E., Laub P., Taimre T., 2017/12/01. Probability and Mathematical Statistics, 37 (2) pp. 235-256. Peer-reviewed.
[URN][serval:BIB_44764FBC403A]
Uniform tail approximation of homogenous functionals of Gaussian fields
Dȩbicki K., Hashorva E., Liu P., 2017/12. Advances in Applied Probability, 49 (04) pp. 1037-1066. Peer-reviewed.
[URN][DOI][serval:BIB_C1E52E151C8F]
 
Reinsurance : Actuarial and Statistical Aspects
Albrecher H., Beirlant J., Teugels J.L., 2017/09/20., John Wiley & Sons, Ltd.
[DOI][serval:BIB_5A031E91587C]
On some new dependence models derived from multivariate collective models in insurance applications
Hashorva E., Ratovomirija G., Tamraz M., 2017/09/14. Scandinavian Actuarial Journal, 2017 (8) pp. 730-750. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_1992185C07A9]
Generalized Pickands constants and stationary max-stable processes
Debicki K., Engelke S., Hashorva E., 2017/09. Extremes, 20 (3) pp. 493-517. Peer-reviewed.
[URN][DOI][serval:BIB_9760DCC13F00]
On flood risk pooling in Europe
Prettenthaler F., Albrecher H., Asadi P., Köberl J., 2017/08. Natural Hazards, 88 (1) pp. 1-20. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_D993773DBF96]
Aggregation of randomly weighted large risks
Asimit V., Hashorva E., Kortschak D., 2017/06/05. IMA Journal of Management Mathematics, 28 (3) pp. 403-419. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_49D865C68C9F]
Extremes of Gaussian random fields with regularly varying dependence structure
Debiicki K., Hashorva E., Liu P., 2017/06. Extremes, 20 (2) pp. 333-392. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_AAB79CDAAC9F]
Optimal dividend strategies for two collaborating insurance companies
Albrecher H., Azcue P., Muler N., 2017/06. Advances in Applied Probability, 49 (02) pp. 515-548. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_633F4A9ACA56]
 
Finite time Parisian ruin of an integrated Gaussian risk model
Peng X., Luo L., 2017/05. Statistics & Probability Letters, 124 pp. 22-29. Peer-reviewed.
[DOI][WoS][serval:BIB_7600D55317F4]
 
On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation
Ratovomirija G., Tamraz M., Vernic R., 2017/05. Insurance: Mathematics and Economics, 74 pp. 197-209. Peer-reviewed.
[DOI][WoS][serval:BIB_BB90D7455135]
 
Lévy-driven GPS queues with heavy-tailed input
Dȩbicki K., Liu P., Mandjes M., Sierpińska-Tułacz I., 2017/04. Queueing Systems, 85 (3-4) pp. 249-267. Peer-reviewed.
[DOI][WoS][serval:BIB_75A1B3D6E166]
 
Boundary non-crossing probabilities for Slepian process
Deng P., 2017/03. Statistics & Probability Letters, 122 pp. 28-35. Peer-reviewed.
[DOI][WoS][serval:BIB_D654566B5863]
 
Not Quite the Same : Regulatory Intermediaries in the Governance of Pharmaceuticals and Medical Devices
Maggetti Martino, Ewert Christian, Trein Philipp, 2017/03. The ANNALS of the American Academy of Political and Social Science, 670 (1) pp. 152-169. Peer-reviewed.
[DOI][WoS][serval:BIB_07C4EA4C98FB]
Comparison Inequalities for Order Statistics of Gaussian Arrays
Debicki K., Hashorva E., Ji L., Ling C., 2017/02/11. Latin American Journal of Probability and Mathematical Statistics, 14 (1) pp. 93-116. Peer-reviewed.
[URN][WoS][serval:BIB_5B052B74C681]
 
Extremes of locally stationary chi-square processes with trend
Liu P., Ji L., 2017/02. Stochastic Processes and their Applications, 127 (2) pp. 497-525. Peer-reviewed.
[DOI][WoS][serval:BIB_C3BBE89311EC]
 
A note on ruin problems in perturbed classical risk models
Liu P., Zhang C., Ji L., 2017. Statistics & Probability Letters, 120 pp. 28-33. Peer-reviewed.
[DOI][WoS][serval:BIB_DCAA1AD0F676]
A queueing model with randomized depletion of inventory
Albrecher H., Boxma O.J., Essifi R., Kuijstermans R., 2017. Probability in the Engineering and Informational Sciences, 31 (1) pp. 43-59. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_5B57791B56B2]
 
Asymptotic Behavior of Reliability Function for Multidimensional Aggregated Weibull Type Reliability Indices
Farkas Julia, Hashorva Enkelejd, Piterbarg Vladimir I., 2017. Analytical and Computational Methods in Probability Theory pp. 251-264. Peer-reviewed.
[DOI][serval:BIB_A574F681AE66]
 
Extremes of α(t)-locally stationary Gaussian processes with non-constant variances
Bai L., 2017. Journal of Mathematical Analysis and Applications, 446 (1) pp. 248-263. Peer-reviewed.
[DOI][WoS][serval:BIB_CCE384341F02]
 
Extremes of γ-reflected Gaussian processes with stationary increments
Dȩbicki Krzysztof, Hashorva Enkelejd, Liu Peng, 2017. ESAIM: Probability and Statistics, 21 pp. 495-535. Peer-reviewed.
[DOI][serval:BIB_113D6DBB556B]
 
On Effects of Asymmetric Information on Non-Life Insurance Prices under Competition
Albrecher H., Daily-Amir D., 2017. International Journal of Data Analysis Techniques and Strategies, 9 (4) pp. 287-299. Peer-reviewed.
[serval:BIB_76AB3DCE4B72]
On the joint distribution of tax payments and capital injections for a Lévy risk model
Albrecher H., Ivanovs J., 2017. Probability and Mathematical Statistics, 37 (2) pp. 219-227. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_3A57DA8DFDF9]
 
Parisian ruin of the Brownian motion risk model with constant force of interest
Bai L., Luo L., 2017. Statistics & Probability Letters, 120 pp. 34-44. Peer-reviewed.
[DOI][WoS][serval:BIB_B19CA92FB6CF]
Risk Theory with Affine Dividend Payment Strategies
Albrecher H., Cani A., 2017. pp. 25-60 dans Elsholtz C., Grabner P. (eds.) Number Theory – Diophantine Problems, Uniform Distribution and Applications, Springer International Publishing.
[URN][DOI][serval:BIB_0D639E5E9D46]
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
Albrecher H., Ivanovs J., 2017. Stochastic Processes and their Applications, 127 (2) pp. 643-656. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_440FC41D5660]
The Impact of Pension Funding Mechanisms on the Stability and Payoff from Swiss DC Pension Schemes: A Sensitivity Analysis
Müller P., Wagner J., 2017. The Geneva Papers on Risk and Insurance - Issues and Practice, 42 (3) pp. 423-452. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_EA25974FA514]
 
Utiliser une table par générations comporte aussi des risques.
Arnold Séverine, 2017. Prévoyance Professionnelle Suisse 10 pp. 84-86.
[serval:BIB_2EC808F68783]
2016
On the heterogeneity of human populations as reflected by mortality dynamics
Avraam D., Arnold S., Vasieva O., Vasiev B., 2016/11/22. Aging, 8 (11) pp. 3045-3064. Peer-reviewed.
[URN][DOI][Pmid][serval:BIB_BD5A1FF94AEE]
Exit identities for Levy processes observed at Poisson arrival times
Albrecher H., Ivanovs J., Zhou X., 2016/08. Bernoulli, 22 (3) pp. 1364-1382. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_E0310877FA12]
Risk Measure Preserving Piecewise Linear Approximation of Empirical Distributions
Arbenz P., Guevara-Alarcón W., 2016/07. European Actuarial Journal, 6 (1) pp. 113-148. Peer-reviewed.
[URN][serval:BIB_A7ED94198BE1]
Extremes of a class of non-homogeneous Gaussian random fields
Debicki K., Hashorva E., Ji L., 2016/03. Annals of Probability, 44 (2) pp. 984-1012. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_275851582B2D]
Higher-order expansions of distributions of maxima in a Hüsler-Reiss model
Hashorva E., Peng Z., Weng Z., 2016/03. Methodology and Computing in Applied Probability, 18 (1) pp. 181-196. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_199989A40617]
On Parisian ruin over a finite-time horizon
Debicki K., Hashorva E., Ji L., 2016/03. Science China Mathematics, 59 (3) pp. 557-572. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_9A3063B09DBE]
 
A Lévy-derived process seen from its supremum and max-stable processes
Engelke S., Ivanovs J., 2016. Electronic Journal of Probability, 21 (14) pp. NA. Peer-reviewed.
[DOI][WoS][serval:BIB_FF0DF2F3E1EB]
 
Argumentaire en défaveur d'AVSplus
Arnold Séverine, 2016. 24 heures.
[serval:BIB_2E2CEDF85225]
 
Asymmetric Information and Insurance
Albrecher H., 2016. pp. 12-15 dans Cahiers de l'Institut Louis Bachélier. Peer-reviewed.
[serval:BIB_37DAB2CD9E1C]
Empirical Findings on Motor Insurance Pricing in Germany, Austria, and Switzerland
Laas D., Schmeiser H., Wagner J., 2016. Geneva Papers on Risk and Insurance - Issues and Practice, 41 (3) pp. 398-431. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_90FD5B6076D1]
Evolution of Strategic Levers in Insurance Claims Management: An Industry Survey
Mahlow N., Wagner J., 2016. Risk Management and Insurance Review, 19 (2) pp. 197-223. Peer-reviewed.
[URN][DOI][serval:BIB_E9F53FBEC934]
 
Exact simulation of max-stable processes
Dombry C, Engelke E, Oesting M, 2016. Biometrika, 106 (303) p. 317. Peer-reviewed.
[serval:BIB_3AF6D8B153A6]
Extremes and limit theorems for difference of chi-type processes
Albin P., Hashorva E., Ji L., Ling C., 2016. ESAIM: Probability and Statistics, 20 pp. 349-366. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_61AC99ED89F0]
 
Extremes of alpha-t locally stationary Gaussian random fields
Hashorva E., Ji L., 2016/01. Transactions of the American Mathematical Society, 368 (1) pp. 1-26. Peer-reviewed.
[DOI][WoS][serval:BIB_CF9BA00905C4]
Extremes of chi-square processes with trend
Liu P., Ji L., 2016. Probability and Mathematical Statistics, 36 (1) pp. 1-20. Peer-reviewed.
[URN][serval:BIB_3BC69AB90E59]
Extremes of order statistics of self-similar processes
Ling C., Peng Z., 2016. SCIENTIA SINICA Mathematica, 8 (46) pp. 1139-1148. Peer-reviewed.
[URN][DOI][serval:BIB_7D7305B36CA0]
 
Extremes of stationary Gaussian storage models
Dębicki Krzysztof, Liu Peng, 2016. Extremes, 19 (2) pp. 273-302. Peer-reviewed.
[DOI][serval:BIB_B3AAD8F4D1D2]
 
International Cause-Specific Mortality Rates: New Insights from a Cointegration Analysis
Arnold (-Gaille) S., Sherris M., 2016/01. ASTIN Bulletin: The Journal of the International Actuarial Association, 46 (1) pp. 9-38. Peer-reviewed.
[DOI][WoS][serval:BIB_DE18F71EF4D6]
 
Longevity Risk in Notional Defined Contribution Pension Schemes: a Solution
Arnold (-Gaille) S., Boado-Penas M.C., Godinez-Olivares H., 2016/01. The Geneva Papers on Risk and Insurance - Issues and Practice, 41 (1) pp. 24-52. Peer-reviewed.
[DOI][WoS][serval:BIB_42DBFB4AADCE]
Maxima of skew elliptical triangular arrays
Hashorva E., Ling C., 2016. Communications in Statistics - Theory and Methods, 45 (12) pp. 3692-3705. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_2957B7E7ED56]
Old-age provision: past, present, future
Albrecher H., Embrechts P., Filipovic D., Harrison G., Koch P., Loisel S., Vanini P., Wagner J., 2016. European Actuarial Journal, 6 (2) pp. 287-306. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_581EC4CB27EB]
On maxima of chi-processes over threshold dependent grids
Ling Chengxiu, Tan Zhongquan, 2016. Statistics, 50 (3) pp. 579-595. Peer-reviewed.
[URN][DOI][serval:BIB_D8EBDF1368A3]
 
On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
Ratovomirija Gildas, 2016. European Actuarial Journal, 6 (1) pp. 149-175. Peer-reviewed.
[DOI][serval:BIB_C3B7F33FE3B4]
 
Optimal Asset Allocation in Life Insurance: The Impact of Regulation
Chen An, Hieber Peter, 2016. ASTIN Bulletin, 46 (3) pp. 605-626.
[DOI][serval:BIB_BDBD5FA86354]
Process Landscape and Efficiency in Non-Life Insurance Claims Management: An Industry Benchmark
Mahlow N., Wagner J., 2016. Journal of Risk Finance, 17 (2) pp. 218-244. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_E8CC2511C152]
 
Simple Identities for Randomized Observations in Risk Theory
Albrecher H., 2016. pp. 11-13 dans The Mathematics and Statistics of Quantitative Risk Management, Oberwolfach Report.
[serval:BIB_13A2782A481E]
 
Tables de Mortalité par Générations: Pourquoi Est-il Egalement Risqué d'Utiliser des Tables de Mortalité par Générations?
Arnold S., 2016. Bulletin de l'ASA pp. 34-39.
[serval:BIB_728C7589A3BB]
 
Tail asymptotics of generalized deflated risks with insurance applications
Ling C., Peng Z., 2016. Insurance: Mathematics and Economics, 71 pp. 220-231. Peer-reviewed.
[DOI][WoS][serval:BIB_51FA11095D07]
The Impact of Auditing Strategies on Insurers' Profitability
Müller K., Schmeiser H., Wagner J., 2016. Journal of Risk Finance, 17 (1) pp. 46-79. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_3108959306C9]
What Transaction Costs are Acceptable in Life Insurance Products from the Policyholders' Viewpoint?
Schmeiser H., Wagner J., 2016. Journal of Risk Finance, 17 (3) pp. 277-294. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_08C9BAB31C2E]
2015
Extremes of vector-valued Gaussian processes: Exact asymptotics
Dȩbicki K., Hashorva E., Ji L., Tabiś K., 2015/11. Stochastic Processes and their Applications, 125 (11) pp. 4039-4065. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_90A8C2D02EF6]
 
Trends im Schadenmanagement 2015 - Digitalisierung, Betrugsbekämpfung, Dienstleistermanagement
Mahlow N., Maier S., Müller P., Schmidt J., Wagner J., 2015/10., HEC Lausanne & INNOVALUE Management Advisors.
[serval:BIB_A6138198FAFC]
Asymptotic expansion of Gaussian chaos via probabilistic approach
Hashorva E., Korshunov D., Piterbarg V.I., 2015/09. Extremes, 18 (3) pp. 315-347. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_2D3E2C5A2FA5]
Parisian ruin of self-similar Gaussian risk processes
Debicki K., Hashorva E., Ji L., 2015/09. Journal Applied Probability, 52 (3) pp. 688-702. Peer-reviewed.
[URN][WoS][serval:BIB_3BEA2BFD714B]
Gaussian risk models with financial constraints
Dȩbicki K., Hashorva E., Ji L., 2015/08. Scandinavian Actuarial Journal, 2015 (6) pp. 469-481. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_A5FE75483F5C]
Maxima of a triangular array of multivariate Gaussian sequence
Hashorva E., Peng L., Weng Z., 2015/08. Statistics & Probability Letters, 103 pp. 62-72. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_EDB54BC4716C]
 
Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
Gerber H.U., Shiu E.S.W., Yang H., 2015/07. Insurance: Mathematics and Economics, 64 pp. 313-325. Peer-reviewed.
[DOI][serval:BIB_D42AF54131B5]
On the gamma-reflected processes with fBm input
Liu P., Hashorva E., Ji L., 2015/07. Lithuanian Mathematical Journal, 55 (3) pp. 402-414. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_4564E186792B]
On the asymptotic Laplace method and its application to random chaos
Korshunov D.A., Piterbarg V.I., Hashorva E., 2015/05. Mathematical Notes, 97 (5-6) pp. 878-891. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_2A072A2F2D63]
Tail approximation for reinsurance portfolios of Gaussian-like risks
Farkas J., Hashorva E., 2015/05. Scandinavian Actuarial Journal, 2015 (4) pp. 319-331. Peer-reviewed.
[URN][DOI][WoS][Pmid][serval:BIB_958B16D08BEF]
 
The impact factor of IME (Editorial)
Kaas R., Gerber H., Goovaerts M., Shiu E., Albrecher H., 2015/05. Insurance: Mathematics and Economics, 62 pp. 1-4. Peer-reviewed.
[DOI][WoS][serval:BIB_201788F1BA43]
Extremes of homogeneous Gaussian random fields
Debicki K., Hashorva E., Soja-Kukieła N., 2015/03. Journal of Applied Probability, 52 (1) pp. 55-67. Peer-reviewed.
[URN][WoS][serval:BIB_AB69033FCE83]
Modelling Cause-of-Death Mortality and the Impact of Cause-Elimination
Alai D.H., Arnold (-Gaille) S., Sherris M., 2015/03. Annals of Actuarial Science, 9 (1) pp. 167-186. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_EB61A9EAD969]
Piterbarg theorems for chi-processes with trend
Hashorva E., Ji L., 2015/03. Extremes, 18 (1) pp. 37-64. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_115C72020A13]
Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
Hashorva E., Tan Z., 2015/03. Statistics, 49 (2) pp. 338-360. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_73D3FD64A605]
Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
Das B., Engelke S., Hashorva E., 2015/02. Stochastic Processes and their Applications, 125 (2) pp. 780-796. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_AFBD367D530C]
Approximation of a random process with variable smoothness
Hashorva E., Lifshits M., Seleznjev O., 2015. pp. 189-208 dans Hallin M., Mason D., Pfeifer D., Steinebach J. G. (eds.) Festschrift in honor of Paul Deheuvels, Springer International Publishing.
[URN][DOI][serval:BIB_28AEAC309A4E]
Boundary non-crossing probabilities for fractional Brownian motion with trend
Hashorva E., Mishura Y., Seleznjev O., 2015. Stochastics An International Journal of Probability and Stochastic Processes, 87 (6) pp. 946-965. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_F1898192883D]
 
Causes-of-Death Mortality: What Do We Know on their Dependence?
Arnold (-Gaille) S., Sherris M., 2015. North American Actuarial Journal, 19 (2) pp. 116-128. Peer-reviewed.
[DOI][serval:BIB_B61D980795A9]
Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement
Albrecher H., Lautscham V., 2015. Anales del Instituto de Actuarios Espanoles 21 pp. 1-30. Peer-reviewed.
[URN][WoS][serval:BIB_BB0A0C639AEE]
Extremes of aggregated Dirichlet risks
Hashorva E., 2015/01. Journal of Multivariate Analysis, 133 pp. 334-345. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_B7E36AEB9122]
Extremes of order statistics of stationary processes
Dȩbicki K., Hashorva E., Ji L., Ling C., 2015/01. TEST, 24 (2) pp. 229-248. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_B72995471630]
 
Extremes on river networks
Asadi P., Davison A. C., Engelke S., 2015. The Annals of Applied Statistics, 9 (4) pp. 2023-2050. Peer-reviewed.
[DOI][serval:BIB_44070883BA1D]
From Research to Purchase: An Empirical Analysis of Research-Shopping Behavior in the Insurance Sector
Mau S., Pletikosa Cvijikj I., Wagner J., 2015. pp. 573-593 dans Zeitschrift für die gesamte Versicherungswissenschaft, Sonderheft zur Jahrestagung 2015. Peer-reviewed, Springer.
[URN][DOI][serval:BIB_6811B0E942EE]
 
Gestion du risque
Wagner J., 2015., Université de Lausanne.
[serval:BIB_4F3F6CF840A8]
L'avenir de l'assurance vie : une mort lente
Wagner J., 2015. Résultats de sondage, HEC Lausanne, Département de Sciences Actuarielles.
[URN][serval:BIB_092DD834D595]
Limit Laws for Maxima of Contracted Stationary Gaussian Sequences
Hashorva E., Weng Z., 2015. Communications in Statistics - Theory and Methods, 44 (21) pp. 4641-4650. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_74657C75CB80]
 
Mathematical study of mortality dynamics in heterogeneous population composed of subpopulations following the exponential law
Avraam D., de Magalhaes J. P., Arnold S., Vasiev B., 2015. pp. 159-171 dans Manca R., McClean S., Skiadas C.H. (eds.) Stochastic Modeling Techniques and Data Analysis International Conference Book Series chap. 4, ISAST.
[serval:BIB_D081662A851F]
 
Max-stable processes and stationary systems of Lévy particles
Engelke S, Kabluchko Z, 2015. Stochastic Processes and their Applications, 125 (11) pp. 4272-4299. Peer-reviewed.
[DOI][serval:BIB_20B9FB7A9C54]
 
On competitive non-life insurance pricing under incomplete information
Albrecher H., Daily-Amir D., 2015. pp. 41-48 dans Guillen M. (eds.) Current Topics on Risk Analysis: ICRA 6 and Risk 2015 Conference. Peer-reviewed.
[serval:BIB_BA60536E7DA7]
On samanov mixed erlang risks in insurance applications
Hashorva E., Ratovomirija G., 2015/01. ASTIN Bulletin, 45 (1) pp. 175-205. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_3AAE449C5AAA]
Tail Behavior of Weighted Sums of Order Statistics of Dependent Risks
Hashorva E., Li J., 2015/01. Stochastic Models, 31 (1) pp. 1-19. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_DAB19E287EFD]
Tail dependence for two skew slash distributions
Ling C., Peng Z., 2015. Statistics and Its Interfaces, 8 (1) pp. 63-69.
[URN][DOI][serval:BIB_92EF046E24F0]
2014
 
Potential Measures of One-Sided Markov Additive Processes with Reflecting and Terminating Barriers
Ivanovs J., 2014/12. Journal of Applied Probability, 51 (04) pp. 1154-1170. Peer-reviewed.
[DOI][serval:BIB_4568210FA96C]
Second Order Asymptotics of Aggregated Log-Elliptical Risk
Kortschak D., Hashorva E., 2014/12. Methodology and Computing in Applied Probability, 16 (4) pp. 969-985. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_0D95985274DC]
 
Time-evolution of age-dependent mortality patterns in mathematical model of heterogeneous human population
Avraam D., Arnold (-Gaille) S., Jones D., Vasiev B., 2014/12. Experimental Gerontology, 60 pp. 18-30. Peer-reviewed.
[DOI][WoS][serval:BIB_37606231269D]
Asymptotics for a discrete-time risk model with the emphasis on financial risk
Hashorva E., Li J., 2014/10. Probability in the Engineering and Informational Sciences, 28 (4) pp. 573-588. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_C0CE68FF57CA]
Approximation of passage times of gamma-reflected processes with fBm input
Hashorva E., Ji L., 2014/09. Journal of Applied Probability, 51 (3) pp. 713-726. Peer-reviewed.
[URN][WoS][serval:BIB_3A375409985A]
Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
Dębicki K., Hashorva E., Ji L., 2014/09. Extremes, 17 (3) pp. 411-429. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_2BF281D58DFD]
Possible Market Implications of Unisex Insurance Pricing
Schmeiser H., Störmer T., Wagner J., 2014/07. Geneva Association, Insurance Economics Newsletter 70 pp. 2-4.
[URN][serval:BIB_D04F7EBE4DBD]
 
Extremes of perturbed bivariate Rayleigh risks
Hashorva E., Nadarajah S., Pogany TK., 2014/06. Revstat Statistical Journal, 12 (2) pp. 157-168. Peer-reviewed.
[WoS][serval:BIB_C2269A30C77E]
On simple ruin expressions in dependent Sparre Andersen risk models
Albrecher H., Boxma O.J., Ivanovs J., 2014/03. Journal of Applied Probability, 51 (1) pp. 293-296. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_C8E3EB5BD34A]
 
A Correction Note on: When the "Bull" Meets the "Bear"-A First Passage Time Problem for a Hidden Markov Process
Hieber Peter, 2014. Methodology and Computing in Applied Probability, 16 (3) pp. 771-776.
[DOI][serval:BIB_5E191E0E27F2]
A duality result for the generalized Erlang risk model
Ji L., Zhang C., 2014. Risks, 2 pp. 456--466. Peer-reviewed.
[URN][serval:BIB_40F20144A7F6]
A new Proof for the Lévy Construction of Second Kind for Stable Laws
Neuenschwander D., 2014. Journal of Mathematical Sciences, 200 (4) pp. 473-475. Peer-reviewed.
[URN][DOI][serval:BIB_81CB31C35935]
Aggregation of log-linear risks
Embrechts P., Hashorva E., Mikosch T., 2014. Journal of Applied Probability, 51A pp. 203-212. Peer-reviewed.
[URN][serval:BIB_38E1EC0CE805]
 
Asset and Liability Management for Actuaries
Wagner J., 2014., University of Lausanne.
[serval:BIB_2A888AF259FE]
Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
Hashorva E., Ji L., 2014. Communications in Statistics - Theory and Methods, 43 (10-12) pp. 2540-2548. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_5C63D6C5433F]
Berman's inequality under random scaling
Hashorva E., Weng Z., 2014. Statistics and Its Interface, 7 (3) pp. 339-349. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_9AA1607568A9]
Boundary noncrossings of additive Wiener fields
Hashorva E., Mishura Y., 2014. Lithuanian Mathematical Journal, 54 (3) pp. 277-289. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_CD06405DABD4]
 
Causes-of-Death Mortality: What Do We Know on their Dependence?
Arnold-Gaille S., Sherris M., 2014/01. Monograph of the Living to 100 Symposium. Peer-reviewed.
[serval:BIB_F375202AF3DF]
 
Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar Marcos, Hieber Peter, Scherer Matthias, 2014. Review of Derivatives Research, 17 (2) pp. 191-216.
[DOI][serval:BIB_771FBB17900A]
 
Entwicklungen im Schadenmanagement: Strategische Themenfelder und Prozessmodell-Benchmark
Mahlow N., Wagner J., 2014. I.VW Management-Information, No. 3 pp. 29-32.
[serval:BIB_0B7CEF014C27]
Exact boundaries in sequential testing for phase-type distributions
Albrecher H., Asadi P., Ivanovs J., 2014. Journal of Applied Probability, 51A pp. 347-358. Peer-reviewed.
[URN][DOI][serval:BIB_C66F4FE69CC8]
Extremes and First Passage Times of Correlated Fractional Brownian Motions
Hashorva E., Ji L., 2014. Stochastic Models, 30 (3) pp. 272-299. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_A9C044F8EA48]
Finite-time ruin probability of aggregate Gaussian processes
Debicki K., Hashorva E., Ji L., Tan Z., 2014. Markov Processes and Related Fields, 20 (3) pp. 435-450. Peer-reviewed.
[URN][WoS][serval:BIB_6008D94CEB95]
 
First-passage times of regime switching models
Hieber Peter, 2014. Statistics and Probability Letters, 92 pp. 148-157.
[DOI][serval:BIB_257BBF0BBB51]
Gaussian approximation of perturbed chi-square risks
Debicki K., Hashorva E., Ji L., 2014. Statistics and Its Interface, 7 (3) pp. 363-373. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_C3A1838B8494]
 
Insurance Economics
Wagner J., 2014., University of Lausanne.
[serval:BIB_04EC4473E6B4]
Invalidität in der Schweiz - Einflussfaktoren und zukünftige Entwicklung
Curtius C., Flückiger E., Heimer A., Kieser U., Knöpfel R., Müller K., Schmeiser H., Simon K., Wagner J., 2014. 40, Institute of Insurance Economics, University of St. Gallen and PKRück.
[URN][serval:BIB_89232424B5B6]
Joint asymptotic distributions of smallest and largest insurance claims
Albrecher H., Robert C.Y., Teugels J.L., 2014. Risks, 2 (3) pp. 289-314. Peer-reviewed.
[URN][DOI][serval:BIB_B3F04E90B8D8]
Limit properties of exceedances point processes of scaled stationary Gaussian sequences
Hashorva E., Peng Z., Weng Z., 2014. Probability and Mathematical Statistics, 34 (1) pp. 45-59. Peer-reviewed.
[URN][WoS][serval:BIB_2D6432CC14F5]
Maxima and minima of complete and incomplete stationary sequences
Hashorva E., Weng Z., 2014. Stochastics An International Journal of Probability and Stochastic Processes, 86 (5) pp. 707-720. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_6EDF16449105]
Modeling of censored bivariate extremal events
Hashorva E., Ling C., Peng Z., 2014. Journal of the Korean Statistical Society, 43 (3) pp. 323-338. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_C3FB10FFC52E]
On Chung's Law of Large Numbers on Simply Connected Step 2-Nilpotent Lie Groups
Neuenschwander D., 2014. Journal of Mathematical Sciences, 196 (1) pp. 75-77. Peer-reviewed.
[URN][DOI][serval:BIB_D3B8D9C954A2]
On Multivariate Power Series of Random Variables Satisfying Some Hierarchy Conditions
Neuenschwander D., 2014. Journal of Mathematical Sciences, 200 (4) pp. 476-479. Peer-reviewed.
[URN][DOI][serval:BIB_C85E575F59AD]
On Piterbarg Max-Discretisation Theorem for Standardised Maximum of Stationary Gaussian Processes
Tan Z., Hashorva E., 2014. Methodology and Computing in Applied Probability, 16 (1) pp. 169-185. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_EA3345D9E0C9]
On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
Tan Z., Hashorva E., 2014. Journal of Mathematical Analysis and Applications, 409 (1) pp. 299-314. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_0E398DD87431]
On the probability of conjunctions of stationary Gaussian processes
Dȩbicki K., Hashorva E., Ji L., Tabiś K., 2014. Statistics & Probability Letters, 88 pp. 141-148. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_8591F77E59C3]
Power identities for Lévy risk models under taxation and capital injections
Albrecher H., Ivanovs J., 2014. Stochastic Systems, 4 (1) pp. 157-172. Peer-reviewed.
[URN][DOI][serval:BIB_D210A60D8A6D]
Pricing-Strategien in der KFZ-Versicherung
Hartmann M., Laas D., Nützenadel C., Schmeiser H., Wagner J., 2014., Institute of Insurance Economics, University of St. Gallen and Solution Providers.
[URN][serval:BIB_26119F8EBFAE]
 
Pricing: Kampf geht weiter?
Laas D., Schmeiser H., Wagner J., 2014. Schweizer Versicherung, No. 7 pp. 54-55.
[serval:BIB_75D37A6D2B27]
Random shifting and scaling of insurance risks
Hashorva E., Ji L., 2014. Risks, 2 pp. 277-288. Peer-reviewed.
[URN][DOI][serval:BIB_DCDA4C16ED7F]
 
Réduire le taux de conversion est discutable.
Arnold Séverine, 2014. L'Express-L'Impartial, Le Nouvelliste, La Côte and Le Journal du Jura.
[serval:BIB_DCEB2EF262A8]
Second-order tail asymptotics of deflated risks
Hashorva E., Ling C., Peng Z., 2014. Insurance: Mathematics and Economics, 56 pp. 88-101. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_E848BFDFB6AB]
Steigende Kosten für Garantien
Wagner J., 2014. AWP Soziale Sicherheit, 40 (7) p. 6.
[URN][serval:BIB_D65BF6A8F826]
Tail asymptotic expansions for L-statistics
Hashorva E., Ling C., Peng Z., 2014. Science China Mathematics, 57 (10) pp. 1993-2012. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_3C07CE4D788A]
Tail asymptotic of Weibull-type risks
Hashorva E., Weng Z., 2014. Statistics, 48 (5) pp. 1155-1165. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_497D87F7B42C]
Tail asymptotics of random sum and maximum of log-normal risks
Hashorva E., Kortschak D., 2014. Statistics & Probability Letters, 87 pp. 167-174. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_7021541DF351]
The tax identity for Markov additive risk processes
Albrecher H., Avram F., Constantinescu C., Ivanovs J., 2014. Methodology and Computing in Applied Probability, 16 (1) pp. 245-258. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_160358A3F7AB]
2013
Competition among non-life insurers under solvency constraints: a game-theoretic approach
Dutang C., Albrecher H., Loisel S., 2013/12. European Journal of Operational Research, 231 (3) pp. 702-711. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_FB452024BF1F]
A risk model with an observer in a Markov environment
Albrecher H., Ivanovs J., 2013/11. Risks, 1 (3) pp. 148-161. Peer-reviewed.
[URN][DOI][serval:BIB_07934B6E1EC0]
Randomized observation times for the compound Poisson risk model: The discounted penalty function
Albrecher H., Cheung E.C.K., Thonhauser S., 2013/11. Scandinavian Actuarial Journal 6 pp. 424-452. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_909A5710D0BC]
 
Valuing equity-linked death benefits in jump diffusion models
Gerber H.U., Shiu E.S.W., Yang H., 2013/11. Insurance: Mathematics and Economics, 53 (3) pp. 615-623. Peer-reviewed.
[DOI][serval:BIB_0872A6FBF3F0]
Implied liquidity: model sensitivity
Albrecher H., Guillaume F., Schoutens W., 2013/09. Journal of Empirical Finance, 23 pp. 48-67. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_684A38270F66]
Equalization Reserves for Natural Catastrophes and Shareholder Value: a Simulation Study
Dacorogna M., Albrecher H., Moller M., Sahiti S., 2013/07. European Actuarial Journal, 3 (1) pp. 1-21. Peer-reviewed.
[URN][DOI][serval:BIB_420FD3304B07]
Uniqueness of the embedding continuous convolution semigroup of a Gaussian probability measure on the affine group and an application in mathematical finance
Neuenschwander D., 2013/07. Monatshefte für Mathematik, 171 (1) pp. 91-101. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_0CB0D7488F91]
Minima and maxima of elliptical triangular arrays and spherical processes
Hashorva E., 2013/06. Bernoulli, 19 (3) pp. 886-904. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_31C3A8C84464]
From ruin to bankruptcy for compound Poisson surplus processes
Albrecher H., Lautscham V., 2013/05. ASTIN Bulletin, 43 (2) pp. 213-243. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_2AC28A84C071]
Exact tail asymptotics of the supremum of strongly dependent gaussian processes over a random interval
Tan Z., Hashorva E., 2013/03. Lithuanian Mathematical Journal, 53 (1) pp. 91-102. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_BB0C85967FF9]
 
Switzerland: Current Retirement System and Future Prospects
Durand O., Gaille S., 2013/03. Life and Pensions Newsletter of the Geneva Association, 52.
[serval:BIB_623AA64BFF4F]
 
A note on killing with applications in risk theory
Ivanovs J., 2013. Insurance: Mathematics and Economics, 52 (1) pp. 29-34. Peer-reviewed.
[DOI][WoS][serval:BIB_9947710F504B]
 
Another look into decomposition results
Ivanovs J., Kella O., 2013. Queueing Systems, 75 (1) pp. 19-28. Peer-reviewed.
[serval:BIB_F513FD632685]
Dependence modelling in multivariate claims run-off triangles
Merz M., Wüthrich M.V., Hashorva E., 2013. Annals of Actuarial Science, 7 (1) pp. 3-25. Peer-reviewed.
[URN][DOI][serval:BIB_B30BDC26031E]
 
Double-barrier first-passage times of jump-diffusion processes
Fernández Lexuri, Hieber Peter, Scherer Matthias, 2013. Monte Carlo Methods and Applications, 19 (2) pp. 107-141.
[DOI][serval:BIB_C48D3A07ABD2]
ECOMOR and LCR reinsurance with gamma-like claims
Hashorva E., Li J., 2013. Insurance: Mathematics and Economics, 53 (1) pp. 206-215. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_DA6EFD7EACD3]
Efficient simulation of tail probabilities for sums of log-elliptical risks
Kortschak D., Hashorva E., 2013. Journal of Computational and Applied Mathematics, 247 pp. 53-67. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_365632A11557]
Exact and asymptotic results for insurance risk models with surplus-dependent premiums
Albrecher H., Constantinescu C., Palmowski Z., Regensburger M., Rosenkranz M., 2013. SIAM Journal of Applied Mathematics, 73 (1) pp. 47-66. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_94AD2C27B90A]
Exact asymptotics and limit theorems for supremum of stationary chi-processes over a random interval
Tan Z., Hashorva E., 2013. Stochastic Processes and their Applications, 123 (8) pp. 2983-2998. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_52769A515A90]
Exact tail asymptotics of aggregated parametrised risk
Hashorva E., 2013. Journal of Mathematical Analysis and Applications, 400 (1) pp. 187-199. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_EFFEAB695D27]
Extremes and products of multivariate AC-product risks
Yang Y., Hashorva E., 2013. Insurance: Mathematics and Economics, 52 (2) pp. 312-319. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_A55E3D12FFCE]
 
Forecasting Mortality Trends allowing for Cause-of-Death Mortality Dependence
Arnold (-Gaille) S., Sherris M., 2013. North American Actuarial Journal, 17 (4) pp. 273-282. Peer-reviewed.
[DOI][serval:BIB_1A3C42800269]
 
Introduction to Quantitative Methods for Financial Markets
Albrecher H., Binder A., Lautscham V., Mayer P., 2013. 191, Birkhaeuser.
[DOI][serval:BIB_63155B912144]
 
Large deviations for proportions of observations which fall in random sets determined by order statistics
Hashorva E., Macci C., Pacchiarotti B., 2013. Methodology and Computing in Applied Probability, 15 (4) pp. 875-896. Peer-reviewed.
[DOI][WoS][serval:BIB_974A2C159C44]
Large deviations of Shepp statistics for fractional Brownian motion
Hashorva E., Tan Z., 2013. Statistics & Probability Letters, 83 (10) pp. 2242-2247. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_B529358D3324]
 
Limit laws for extremes of dependent stationary Gaussian arrays
Hashorva E., Weng Z., 2013. Statistics & Probability Letters, 83 (1) pp. 320-330. Peer-reviewed.
[DOI][WoS][serval:BIB_F365CC91F3BA]
 
Limit theorems for extremes of strongly dependent cyclo-stationary χ-processes
Tan Z., Hashorva E., 2013. Extremes, 16 (2) pp. 241-254. Peer-reviewed.
[DOI][WoS][serval:BIB_AD20FDA1442F]
 
Modeling credit portfolio derivatives, including both a default and a prepayment feature
Hieber Peter, Scherer Matthias, 2013. Applied Stochastic Models in Business and Industry, 19 (5) pp. 479-495.
[DOI][serval:BIB_287E55F4AB6F]
 
On beta-product convolutions
Hashorva E., 2013. Scandinavian Actuarial Journal, 2013 (1) pp. 69-83. Peer-reviewed.
[DOI][WoS][serval:BIB_66BAB8F28695]
On Extremal Behavior of Gaussian Chaos
Korshunov D.A., Piterbarg V.I., Hashorva E., 2013. Doklady Mathematics, 88 (2) pp. 566-568. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_CA92F58E8411]
On Piterbarg theorem for the maxima of stationary Gaussian sequences
Hashorva E., Peng Z., Weng Z., 2013. Lithuanian Mathematical Journal, 53 (3) pp. 280-292. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_CD322A8CC956]
On the supremum of gamma-reflected processes with fractional Brownian motion as input
Hashorva E., Ji L., Piterbarg V. I., 2013. Stochastic Processes and their Applications, 123 (11) pp. 4111-4127. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_28B3A7E8CADC]
 
Scale Mixtures of Kotz-Dirichlet Distributions
Balakrishnan N., Hashorva E., 2013. Journal of Multivariate Analysis, 113 pp. 48-58. Peer-reviewed.
[DOI][WoS][serval:BIB_DE7A9619F7F6]
 
Two coupled Lévy queues with independent input
Boxma O., Ivanovs J., 2013. Stochastic Systems, 3 (2) pp. 574-590. Peer-reviewed.
[serval:BIB_4FBCD6BF32D2]
2012
 
The Omega model: from bankruptcy to occupation times in the red
Gerber H.U., Shiu E.S.W., Yang H., 2012/12. European Actuarial Journal, 2 (2) pp. 259-272. Peer-reviewed.
[DOI][serval:BIB_4F61231721C9]
Asymptotic results for renewal risk models with risky investments
Albrecher H., Constantinescu C., Thomann E., 2012/11. Stochastic Processes And Their Applications, 122 (11) pp. 3767-3789. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_974980D9A010]
Tail asymptotics for dependent subexponential differences
Albrecher H., Asmussen S., Kortschak D., 2012/11. Siberian Mathematical Journal, 53 (6) pp. 965-983. Peer-reviewed.
[URN][DOI][WoS][serval:BIB_FE67F9C33AA1]
 
Gaussian approximation of conditional elliptical copulas
Hashorva E., Jaworski P., 2012/10. Journal of Multivariate Analysis, 111 pp. 397-407. Peer-reviewed.
[DOI][WoS][serval:BIB_73AC00E6840B]
 
Location invariant Weiss-Hill estimator
Ling Chengxiu, Peng Zuoxiang, Nadarajah Saralees, 2012/06. Extremes, 15 (2) pp. 197-230. Peer-reviewed.
[DOI][serval:BIB_C1B04DEA1318]
 
Risk and insurability of storm damages to residential buildings in Austria
Prettenthaler F., Albrecher H., Köberl J., Kortschak D., 2012/04. The Geneva Papers on Risk and Insurance - Issues and Practice, 37 (2) pp. 340-364. Peer-reviewed.
[DOI][WoS][serval:BIB_C96BE4A6814E]
 
Valuing equity-linked death benefits and other contingent options: a discounted density approach
Gerber H.U., Shiu E.S.W., Yang H., 2012/04. Insurance: Mathematics & Economics, 51 (1) pp. 73-92. Peer-reviewed.
[serval:BIB_954CA7C615E3]
 
A note on first-passage times of continuously time-changed Brownian motion
Hieber Peter, 2012. Statistics and Probability Letters, 82 (1) pp. 165-172.
[DOI][serval:BIB_4EEAE5C7C198]
 
A relaxed ruin condition in insurance
Albrecher H., 2012. p. 11 dans The Mathematics and Statistics of Quantitative Risk Management, Oberwolfach Report 7.
[serval:BIB_76A97C11596D]
 
Analysis of the multiple roots of the Lundberg fundamental equation in the PH(n) risk model
Ji L, Zhang C, 2012. Applied Stochastic Models in Business and Industry, 28 pp. 73-90. Peer-reviewed.
[DOI][serval:BIB_D0FEEA6D4154]
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