Recent Publications

To Appear

• Phase-type representations for exponential distributions
  (with C.B. GARDNER and B.F. NIELSEN)
  Journal of Applied Probabiliy, to appear [.pdf]
• Empirical risk analysis of mining a Proof-of-Work blockchain
  (with D. FINGER and P.O. GOFFARD)
  Decisions in Economics and Finance, to appear [.pdf]
• On the cost of risk misspecification in insurance pricing
  (with D. FINGER and L. WILHELMY)
  Japanese Journal of Statistics and Data Science, to appear [.pdf]
• Statistics of Extremes for the Insurance Industry
  (with J. BEIRLANT)
  in: Handbook of Statistics of Extremes, Chapman & Hall, to appear

Published

• Optimal dividend strategies for a catastrophe insurer
  (with P. AZCUE and N. MULER)
  Frontiers in Mathematical Finance 3. No. 2 (2024), 304-344 [.pdf]
• Informed censoring: the parametric combination of data and expert information
  (with M. BLADT)
  Journal of Statistical Planning and Inference 233 (2024), 106171 [.pdf]
• The matrix sequential probability ratio test and multivariate ruin theory
  (with O. PERALTA)
  2021-2022 MATRIX Annals, Book Series 5, 505-516 [.pdf]
• Optimal dividends under a drawdown constraint and a curious square-root rule
  (with P. AZCUE and N. MULER)
  Finance and Stochastics 27, No. 2 (2023), 341-400 [.pdf]
• Optimal dividend bands revisited: A gradient-based method and evolutionary algorithms
  (with B. GARCIA FLORES)
  Scandinavian Actuarial Journal 2023, No.8 (2023), 788-810 [.pdf]
• Continuous scaled phase-type distributions
  (with M. BLADT, M. BLADT and J. YSLAS ALTAMIRANO)
  Stochastic Models 39 (2023), No.2, 293-322 [.pdf]
• Joint lifetime modelling with matrix distributions
  (with M. BLADT and A. MUELLER)
  Dependence Modeling 11 (2023), 20220153 [.pdf]
• Approximations of copulas via transformed moments
  (with R. MNATSAKANOV and S. LOISEL)
  Methodology and Computing in Applied Probability 24, No.4 (2022), 3175-3193 [.pdf]
• On the Cost-of-Capital Rate under Incomplete Market Valuation
  (with K.T. EISELE, M. STEFFENSEN and M. WUETHRICH)
  Journal of Risk and Insurance 89, No.4 (2022), 1139-1158 [.pdf]
• Penalised likelihood methods for phase-type dimension selection
  (with M. BLADT and A. MUELLER)
  Statistics and Risk Modeling 39, No.3-4 (2002), 75-92. [.pdf]
• Mortality modeling and regression with matrix distributions
  (with M. BLADT, M. BLADT and J. YSLAS ALTAMIRANO)
  Insurance: Mathematics and Economics 107 (2022), 68-87 [.pdf]
• Optimal ratcheting of dividends in a Brownian risk model
  (with P. AZCUE and N. MULER)
  SIAM Journal on Financial Mathematics 13, No. 3 (2022), 657-701 [.pdf]
• Can 7000 Years of Flood History Inform Actual Flood Risk Management? A Case Study on Lake Mondsee, Austria
  (with F. PRETTENTHALER, D. KORTSCHAK, J. KOEBERL and M. STANGL)
  International Journal of Disaster Risk Reduction 81 (2022), 103227 [.pdf]
• On a Markovian game model for competitive insurance pricing
  (with C. MOUMINOUX, C. DUTANG and S. LOISEL)
  Methodology and Computing in Applied Probability 24, No.2 (2022), 1061-1091. [.pdf]
• On the randomized Schmitter problem
  (with J. ARAUJO-ACUNA)
  Methodology and Computing in Applied Probability 24, No.2 (2022), 515-535 [.pdf]
• Blockchain mining in pools: Analyzing the trade-off between profitability and ruin
  (with D. FINGER and P.O. GOFFARD)
  Insurance: Mathematics and Economics 105 (2022), 313-335 [.pdf]
• Asymptotic analysis of generalized Greenwood statistics for very heavy tails
  (with B. GARCIA FLORES)
  Statistics and Probability Letters 185 (2022), 109429 [.pdf]
• On the profitability of selfish blockchain mining under consideration of ruin
  (with P.O. GOFFARD)
  Operations Research 70, No.1 (2022), 179-200 [.pdf]
• Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
  (with M. BLADT and J. YSLAS ALTAMIRANO)
  Scandinavian Journal of Statistics 49 (2022), No.1, 44-77 [.pdf]
• A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
  (with E.C.K. CHEUNG,H. LIU and J.K. WOO)
  Insurance: Mathematics & Economics 103 (2022), 96-118 [.pdf]
• Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
  (with M. BLADT and E. VATAMIDOU)
  Methodology and Computing in Applied Probability 23 (2021), 1237-1255 [.pdf] 
• Structured reinsurance deals with reference to relative market performance
  (with L. VINCENT and Y. KRVAVYCH)
  Insurance: Mathematics & Economics 101 (2021), 125-139 [.pdf]
• Fitting non-stationary Cox processes: an application to fire insurance data
  (with J. ARAUJO-ACUNA and J. BEIRLANT)
  North American Actuarial Journal 25 (2021), No.2, 135-162 [.pdf]
• Trimmed extreme value estimators for censored heavy-tailed data
  (with M. BLADT and J. BEIRLANT)
  Electronic Journal of Statistics 15 (2021), 3112-3136 [.pdf] 
• Tempered Pareto-type modelling using Weibull distributions
  (with J. ARAUJO-ACUNA and J. BEIRLANT)
  ASTIN Bulletin 51, No.2 (2021), 509-538 [.pdf]
• Multivariate Matrix Mittag-Leffler distributions
  (with M. BLADT and M. BLADT)
  Ann. Inst. Statist. Math. 73, No.2 (2021), 369-394 [.pdf]
• Multivariate fractional phase-type distributions
  (with M. BLADT and M. BLADT)
  Fractional Calculus and Applied Analysis 23, No.5 (2020), 1431-1451 [.pdf] 
• Trimming and threshold selection in extremes
  (with M. BLADT and J. BEIRLANT)
  Extremes 23, No.4 (2020), 629-665 [.pdf]
• Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
  (with M. BLADT and M. BLADT)
  Extremes 23, No.3 (2020), 425–450 [.pdf]
• Combined tail estimation using censored data and expert information
  (with M. BLADT and J. BEIRLANT)
  Scandinavian Actuarial Journal, No.6 (2020), 503-525 [.pdf]
• Finite-time ruin probabilities under large-claim reinsurance treaties
  (with B. CHEN, E. VATAMIDOU and B. ZWART)
  Journal of Applied Probability 57, No.2 (2020), 513-530 [.pdf]
• Optimal ratcheting of dividends in insurance
  (with P. AZCUE and N. MULER)
  SIAM Journal on Control and Optimization 58, No.4 (2020), 1822-1845  [.pdf]  [Online Appendix] 
• Spatial dependence modelling of flood risk using max-stable processes: The example of Austria
  (with D. KORTSCHAK and F. PRETTENTHALER)
  Water 12, No.6 (2020), 1805 [.pdf]
• Editorial for Issue 10/1 of the European Actuarial Journal [.pdf]
• On marine liability portfolio modeling
  (with W. GUEVARA-ALARCON and P. CHOWDHURY)
  ASTIN Bulletin 50, No.1 (2020), 61–93. [.pdf]
• On market share drivers in the Swiss mandatory health insurance sector
  (with D. DAILY-AMIR, M. BLADT and J. WAGNER)
  Risks 7, No.4 (2019), 114 [pdf]
• Ruin probability approximations in Sparre Andersen models with completely monotone claims
  (with E. VATAMIDOU)
  Risks 7, No.4 (2019), 104 [.pdf]
• Insurance: Models, Digitalization, and Data Science
  (with A. BOMMIER, D. FILIPOVIC, P. KOCH, S. LOISEL and H. SCHMEISER)
  European Actuarial Journal 9, No.2 (2019), 349-360 [.pdf]
• Inhomogeneous phase-type distributions and heavy tails
  (with M. BLADT)
  Journal of Applied Probability 56, No.4 (2019), 1044-1064 [.pdf]
• Flood occurrence change-point analysis in the paleoflood record from Lake Mondsee (NE Alps)
  (with M. BLADT, D. KORTSCHAK, F. PRETTENTHALER and T. SWIERCZYNSKI)
  Global and Planetary Change 178 (2019), 65-76 [.pdf]
• On randomized reinsurance contracts
  (with A. CANI)
  Insurance: Mathematics and Economics 84 (2019), 67-78 [.pdf]
• The single server queue with mixing dependencies
  (with Y. RAAIJMAKERS and O. BOXMA)
  Methodology and Computing in Applied Probability 21 (2019), 1023-1044 [.pdf]
• Dividends: From Refracting to Ratcheting
  (with N. BAEUERLE and M. BLADT)
  Insurance: Mathematics and Economics 83 (2018), 47-58 [.pdf]
• Asset-Liability Management for Long-Term Insurance Business
  (with D. BAUER, P. EMBRECHTS, D. FILIPOVIC, P. KOCH, R. KORN, S. LOISEL, A. PELSSER, F. SCHILLER, H. SCHMEISER and J. WAGNER)
  European Actuarial Journal 8 (2018), 9-25 [.pdf]
• Linking dividends and capital injections – a probabilistic approach
  (with J. IVANOVS)
  Scandinavian Actuarial Journal No.1 (2018), 76-83 [.pdf]
• Strikingly simple identities relating exit problems for Levy processes under continuous and Poisson observations
  (with J. IVANOVS)
  Stochastic Processes and Applications 127 (2017), 643-656 [.pdf]
• On the joint distribution of tax payments and capital injections for a Levy risk model
  (with J. IVANOVS)
  Probability and Mathematical Statistics 37, No.2 (2017), 219-227 [.pdf]
• Risk theory with affine dividend payment strategies
  (with A. CANI)
  in: Number Theory – Diophantine Problems, Uniform Distribution and Applications, Festschrift for Robert F. Tichy.
  pp. 25-60, Springer, 2017 [.pdf]
• On Flood Risk Pooling in Europe
  (with F. PRETTENTHALER, P. ASADI and J. KOEBERL)
  Natural Hazards 88, No.1 (2017), 1-20 [.pdf]
• Optimal Dividend Strategies for Two Collaborating Insurance Companies
  (with P. AZCUE and N. MULER)
  Advances in Applied Probability 45, No.2 (2017), 515-548 [.pdf]
• A queueing model with randomized depletion of inventory
  (with O. BOXMA, R. ESSIFI and R. KUIJSTERMANS)
  Probability in Engineering and Information Sciences 31, No.1 (2017), 43-59 [.pdf]
• On Effects of Asymmetric Information on Non-Life Insurance Prices under Competition
  (with D. DAILY-AMIR)
  International Journal of Data Analysis Techniques and Strategies 9, No.4 (2017), 287-299 [.pdf]
• Old-age provision: past, present, future
  (with P. EMBRECHTS, D. FILIPOVIC, G. HARRISON, P. KOCH, S. LOISEL, P. VANINI and J. WAGNER)
  European Actuarial Journal 6, No.2 (2016), 287-306 [.pdf]
• Exit identities for Levy processes observed at Poisson arrival times
  (with J. IVANOVS and X. ZHOU)
  Bernoulli 22, No.3 (2016), 1364-1382 [.pdf]
• Asymmetric Information and Insurance
  Cahiers de l’Institute Louis Bachelier 20 (2016), 12-15 [.pdf]
• Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement
  (with V. LAUTSCHAM)
  Anales del Instituto de Actuarios Espanoles 21, No.3 (2015), 1-30 [.pdf]
• Joint asymptotic distributions of smallest and largest insurance claims
  (with C. ROBERT and J.L. TEUGELS)
  Risks 2 (2014), 289-314 [.pdf]
• Exact boundaries in sequential testing for phase-type distributions
  (with P. ASADI and J. IVANOVS)
  Journal of Applied Probability 51A (2014), 347-358 [.pdf]
• Power identities for Levy risk models under taxation and capital injections
  (with J. IVANOVS)
  Stochastic Systems 4, No.1 (2014), 157-172 [.pdf]
• On simple ruin expressions in dependent Sparre Andersen risk models
  (with O. BOXMA and J. IVANOVS)
  Journal of Applied Probability 51, No.1 (2014), 293-296 [.pdf]
• The tax identity for Markov additive risk processes
  (with F. AVRAM, C. CONSTANTINESCU and J. IVANOVS)
  Methodology and Computing in Applied Probability 16 (2014), 245-258 [.pdf]
• A risk model with an observer in a Markov environment
  (with J. IVANOVS)
  Risks 1, No.3 (2013), 148-161 [.pdf]
• Implied liquidity: model sensitivity
  (with F. GUILLAUME and W. SCHOUTENS)
  Journal of Empirical Finance 23 (2013), 48-67 [.pdf]
• Equalization Reserves for Natural Catastrophes and Shareholder Value: a Simulation Study
  (with M. DACOROGNA, M. MOLLER and S. SAHITI)
  European Actuarial Journal 3, No.1 (2013), 1-21 [.pdf]
• Competition among non-life insurers under solvency constraints: a game-theoretic approach
  (with C. DUTANG and S. LOISEL)
  European Journal of Operational Research 231 (2013), 702-711 [.pdf]
• From ruin to bankruptcy for compound Poisson surplus processes
  (with V. LAUTSCHAM)
  ASTIN Bulletin 43 , No.2 (2013), 213-243 [.pdf]
• Exact and asymptotic results for insurance risk models with surplus-dependent premiums
  (with C. CONSTANTINESCU, Z. PALMOWSKI, G. REGENSBURGER and M. ROSENKRANZ)
  SIAM Journal of Applied Mathematics 73, No.1 (2013), 47-66 [.pdf]
• Randomized observation times for the compound Poisson risk model: The discounted penalty function
  (with E.C.K. CHEUNG and S. THONHAUSER)
  Scandinavian Actuarial Journal No.6 (2013), 424-452 [.pdf]
• Asymptotic results for renewal risk models with risky investments
  (with C. CONSTANTINESCU and E. THOMANN)
  Stochastic Processes and their Applications 122, No.11 (2012), 3767-3789 [.pdf]
• Tail asymptotics for dependent subexponential differences
  (with S. ASMUSSEN and D. KORTSCHAK)
  Siberian Mathematical Journal 53, No.6 (2012), 1209-1230 [.pdf]
• Risk and insurability of storm damages to residential buildings in Austria
  (with J. KöBERL, D. KORTSCHAK and F. PRETTENTHALER)
  Geneva Papers on Risk and Insurance: Issues and Practice 37 (2012), 340-364 [.pdf]
• On optimal dividend strategies in insurance with a random time horizon
  (with S. THONHAUSER)
  in: Stochastic processes, finance and control, Festschrift for Robert Elliott, Advances inStatistics, Probability and Actuarial Science, Vol.1, World Scientific, 2012, pp. 157-180 [.pdf]
• Pricing of Parisian options for a jump-diffusion model with two-sided jumps
  (with D. KORTSCHAK and X. ZHOU)
  Applied Mathematical Finance 19, No.2 (2012), 97-129 [.pdf]
• Optimal dividend-payout in random discrete time
  (with N. BAEUERLE and S. THONHAUSER)
  Statistics and Risk Modeling 28, No.3 (2011), 251-276 [.pdf]
• The optimal dividend barrier in the Gamma-Omega model
  (with H.U. GERBER and E. SHIU)
  European Actuarial Journal 1, No.1 (2011), 43-55 [.pdf]
• Randomized observation times for the compound Poisson risk model: Dividends
  (with E.C.K. CHEUNG and S. THONHAUSER)
  ASTIN Bulletin 41, No.2 (2011), 645-672 [.pdf]
• Ruin excursions, the G/G/∞ queue and tax payments in renewal risk models
  (with S. BORST, O.BOXMA and J. RESING)
  Journal of Applied Probability 48A (2011), 3-14 [.pdf]
• A note on moments of dividends
  (with H.U. GERBER)
  Acta Mathematica Applicatae Sinica 27, No.3 (2011), 353-354 [.pdf]
• Ruin theory with excess of loss reinsurance and reinstatements
  (with S. HAAS)
  Applied Mathematics and Computation 217, No. 20 (2011), 8031-8043  [.pdf]
• Properties of a risk measure derived from ruin theory
  (with M. DENUIT and J. TRUFIN)
  The Geneva Risk and Insurance Review 36 (2011), 174-188 [.pdf]
• Ruin problems under IBNR Dynamics
  (with M. DENUIT and J. TRUFIN)
  Applied Stochastic Models in Business and Industry 27, No.6 (2011), 619-632 [.pdf]
• Explicit ruin formulas for models with dependence among risks
  (with C. CONSTANTINESCU and S. LOISEL)
  Insurance: Mathematics & Economics 48, No.2 (2011), 265-270  [.pdf]
• Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility
  (with S. THONHAUSER)
  Stochastic Models 27, No.1 (2011), 120-140 [.pdf]
• A direct approach to the discounted penalty function
  (with H. GERBER and H. YANG)
  North American Actuarial Journal 14, No.4 (2010), 420-434 [.pdf]
• An asymptotic expansion for the tail of compound sums of Burr distributed random variables
  (with D. KORTSCHAK)
  Statistics and Probability Letters 80, No. 7-8 (2010), 612-620 [.pdf]
• On the efficient evaluation of ruin probabilities for completely monotone claim size distributions
  (with F. AVRAM and D. KORTSCHAK)
  Journal of Computational and Applied Mathematics 233, No.10 (2010), 2724-2736 [.pdf]
• Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
  (with C. HIPP and D. KORTSCHAK)
  Scandinavian Actuarial Journal No.2 (2010), 105-135 [.pdf]
• Asymptotics of the Sample Coefficient of Variation and the Sample Dispersion
  (with S.A. LADOUCETTE and J.L. TEUGELS)
  Journal of Statistical Planning and Inference 140, No. 2 (2010), 358-368 [.pdf]
• Semi-static hedging strategies for exotic options
  (with P. MAYER)
  in: Alternative Investments and Strategies (R. Kiesel et al., Eds.), World Scientific, 2010, pp. 345-373 [.pdf]
• An algebraic operator approach to the analysis of Gerber-Shiu functions
  (with C. CONSTANTINESCU, G. PIRSIC, G. REGENSBURGER, M. ROSENKRANZ)
  Insurance: Mathematics & Economics 46, No.1 (2010), 42-51 [.pdf]
• Reinsurance
  in: Encyclopedia of Quantitative Finance, Wiley, Chichester, 2010, pp. 1539-1543  [.pdf]
• A numerical approach to ruin models with excess of loss reinsurance and reinstatements
  (with S. HAAS)
  Proceedings of COMPSTAT 2010, Springer, 135-145.
• On the non-optimality of proportional reinsurance according to the dividend criterion
  (with H. GERBER)
  Bull. Swiss Association of Actuaries, No. 1 (2009), 94-95 [ .pdf ]
• Optimality Results for Dividend Problems in Insurance
  (with S. THONHAUSER)
  RACSAM Rev. R. Acad. Cien. Serie A. Mat. 103, No.2 (2009),  295-320 [.pdf]
• Impact of underwriting cycles on the solvency of an insurance company
  (with M. DENUIT and J. TRUFIN)
  North American Actuarial Journal 13, No.3 (2009), 385-403 [.pdf]
• A combinatorial identity for a problem in asymptotic statistics
  (with K. SCHEICHER and J.L. TEUGELS)
  Applicable Analysis and Discrete Mathematics 3, No.1 (2009), 64-68 [.pdf]
• On ruin probability and aggregate claim representations for Pareto claim size distributions
  (with D. KORTSCHAK)
  Insurance: Mathematics and Economics 45, No.3 (2009), 362-373. [.pdf]
• The tax identity in risk theory – a simple proof and an extension
  (with S. BORST, O. BOXMA and J. RESING)
  Insurance: Mathematics & Economics 44 (2009), 304-306 [.pdf]
• Quantitativer Nachvollzug des NATKAT-Modells fuer Oesterreich
  (with D. KORTSCHAK)
  in: Hochwasser und dessen Versicherung in Oesterreich, Verlag der Oesterreichischen Akademie der Wissenschaften, 2009.
• Anreiztheoretische Analyse des NATKAT-Modells fuer Oesterreich
  (with D. KORTSCHAK and F. PRETTENTHALER)
  in: Hochwasser und dessen Versicherung in Oesterreich, Verlag der Oesterreichischen Akademie der Wissenschaften, 2009.
• Asymptotic results for the sum of dependent non-identically distributed random variables
  (with D. KORTSCHAK)
  Methodology and Computing in Applied Probability 11, No.3 (2009), 279-306 [.pdf]

Publications before 2009 can be found here