Last updated on June 4, 2024
Preprints
- Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks
(with M. DACOROGNA)
submitted [.pdf] - Flood occurrence in the European Alps: a study over 1000 years based on sediment data
(with M.L. BATTAGLIOLA, M. BLADT, A. MUELLER and T. SWIERCZYNSKI)
submitted [.pdf] - Optimal reinsurance from an optimal transport perspective
(with B. ACCIAIO and B. GARCIA FLORES)
submitted [.pdf] - Phase-type representations for exponential distributions with a multivariate perspective
(with C. BRIMNES GARDNER and B.F. NIELSEN)
submitted [.pdf] - Dividend corridors and a ruin constraint
(with B. GARCIA FLORES and C. HIPP)
submitted [.pdf] - Space-grid approximations of hybrid stochastic differential equations and first passage properties
(with O. PERALTA)
submitted [.pdf]
To Appear
- 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
Books
Reinsurance: Actuarial and Statistical Aspects (with J. BEIRLANT and J. TEUGELS) Wiley Series in Probability and Statistics, Wiley, Chichester, 2017 368p., ISBN: 978-0-470-77268-3. [Link] [R Package ReIns] [List of Misprints and Amendments] | |
Ruin Probabilities (with S. ASMUSSEN) Second Edition, 620 p., Advanced Series in Statistical Science and Applied Probability 14, World Scientific, New Jersey, 2010 ISBN: 978-981-4282-52-9. [Link] [List of Misprints and Amendments] | |
Introduction to Quantitative Methods for Financial Markets (with A. BINDER, V. LAUTSCHAM and P. MAYER) Compact Textbooks in Mathematics, Birkhäuser, Basel, 2013 191 p., ISBN 978-3-0348-0518-6. [Link] | |
Sturmschäden: Modellierung der versicherten Schäden in österreich (with F. PRETTENTHALER (Eds.)) Studien zum Klimawandel in österreich, Verlag der österreichischen Akademie der Wissenschaften, Wien, 2012, 132 p., ISBN 978-3-7001-7310-6. [Link] | |
Hochwasser und dessen Versicherung in österreich (with F. PRETTENTHALER (Eds.)) Studien zum Klimawandel in österreich, Verlag der österreichischen Akademie der Wissenschaften, Wien, 2009, 161 p. ISBN 978-3-7001-6753-2. [Link] | |
Advanced Financial Modelling (with W. RUNGGALDIER and W. SCHACHERMAYER (Eds.)) Radon Series of Computational and Applied Mathematics, de Gruyter, Berlin, 2009. 453 p. ISBN 978-3-11-021313-3. [Preface and Table of Contents] | |
Einführung in die Finanzmathematik (with A. BINDER and P. MAYER) Mathematik Kompakt, Birkhäuser Verlag Basel, 2009. 163 p. ISBN 978-3764387839. [Table of Contents] [Link] |