{"id":19,"date":"2022-08-16T08:46:45","date_gmt":"2022-08-16T06:46:45","guid":{"rendered":"https:\/\/people.unil.ch\/hansjoergalbrecher\/?page_id=19"},"modified":"2026-04-08T16:23:44","modified_gmt":"2026-04-08T14:23:44","slug":"recent-publications","status":"publish","type":"page","link":"https:\/\/people.unil.ch\/hansjoergalbrecher\/recent-publications\/","title":{"rendered":"Recent Publications"},"content":{"rendered":"\n<div class=\"wp-block-group alignwide\"><div class=\"wp-block-group__inner-container is-layout-flow wp-block-group-is-layout-flow\">\n<p class=\"has-text-align-left add-remove-bottom-margin\" style=\"font-size:9px\"><em>Last updated on April 8, 202<\/em>6<\/p>\n<\/div><\/div>\n\n\n\n<div class=\"wp-block-columns alignwide add-remove-bottom-space is-layout-flex wp-container-core-columns-is-layout-9d6595d7 wp-block-columns-is-layout-flex\">\n<div class=\"wp-block-column is-layout-flow wp-block-column-is-layout-flow\" style=\"flex-basis:67%\">\n<div class=\"wp-block-group add-remove-bottom-space has-small-font-size is-vertical is-nowrap is-layout-flex wp-container-core-group-is-layout-947ac36b wp-block-group-is-layout-flex\">\n<h2 class=\"wp-block-heading has-small-font-size\"><strong>Preprints<\/strong><\/h2>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Optimal abatement schedules for excess carbon emissions towards a net-zero target<\/strong><br>(with N. MULER) <br>submitted <a href=\"https:\/\/www.researchgate.net\/publication\/399827835_Optimal_Abatement_Schedules_for_Excess_Carbon_Emissions_Towards_a_Net-Zero_Target\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Hashpower allocation in pay-per-share blockchain mining pools<\/strong><br>(with J.-P. FOUQUE and P.-O. GOFFARD) <br>submitted <a href=\"https:\/\/www.researchgate.net\/publication\/397646057_Hashpower_allocation_in_pay-per-share_blockchain_mining_pools\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>A storage process with alternating L\u00e9vy input<\/strong><br>(with O. BOXMA, O. KELLA and M. MANDJES) <br>submitted <a href=\"https:\/\/www.researchgate.net\/publication\/397640121_A_storage_process_with_alternating_Levy_input\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>The insurance of climate-related risks: challenges and opportunities<\/strong> <strong>for actuaries<\/strong><br>(with S. LOISEL) <br>submitted <a href=\"https:\/\/www.researchgate.net\/publication\/397221569_The_insurance_of_climate-related_risks_challenges_and_opportunities\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>On effects of present-bias on carbon emission patterns towards a net zero target<\/strong><br>(with J. ZHU) <br>submitted <a href=\"https:\/\/www.researchgate.net\/publication\/397098347_On_effects_of_present-bias_on_carbon_emission_patterns_towards_a_net_zero_target\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Regularized matrix exponential distributions and lapse modelling. The case of the French credit life insurance market<\/strong><br>(with M. BLADT and A. MUELLER) <br>submitted <a href=\"https:\/\/www.researchgate.net\/publication\/393317210_Regularized_matrix_exponential_distributions_and_lapse_modeling_The_case_of_the_French_credit_life_insurance_market\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Bernstein-induced matrix distributions<\/strong><br>(with M. BLADT and P. HALMSTED OLSEN) <br>submitted <a href=\"https:\/\/www.researchgate.net\/publication\/391801646_Bernstein-induced_matrix_distributions\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Spatio-Temporal Non-Stationarity of Flood Risk in the European Alps over the last 1,450 Years<\/strong><br>(with M.L. BATTAGLIOLA, M. BLADT, A. MUELLER and T. SWIERCZYNSKI) <br>submitted <a href=\"https:\/\/www.researchgate.net\/publication\/377436139_Flood_occurrence_in_the_European_Alps_a_study_over_1000_years_based_on_sediment_data\">[.pdf]<\/a><\/li>\n<\/ul>\n<\/div>\n\n\n\n<div class=\"wp-block-group alignwide add-remove-bottom-space is-vertical is-layout-flex wp-container-core-group-is-layout-8cf370e7 wp-block-group-is-layout-flex\" style=\"font-size:11px\">\n<h2 class=\"wp-block-heading has-small-font-size\"><strong>To Appear<\/strong><\/h2>\n\n\n\n<p><\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Cost-of-capital valuation with risky assets<\/strong><br>(with F. LINDSKOG and H. ZUMBACH) <br>ASTIN Bulletin, to appear <a href=\"https:\/\/www.researchgate.net\/publication\/397178508_Cost-of-capital_valuation_with_risky_assets\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Space-grid approximations of hybrid stochastic differential equations and first passage properties<\/strong><br>(with O. PERALTA)<br>Journal of Applied Probability, to appear <a href=\"https:\/\/www.researchgate.net\/publication\/365048072_Space-grid_approximations_of_hybrid_stochastic_differential_equations_and_first_passage_properties\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Statistics of Extremes for the Insurance Industry<\/strong><br>(with J. BEIRLANT) <br>in: Handbook of Statistics of Extremes, Chapman &amp; Hall, to appear<\/li>\n<\/ul>\n<\/div>\n\n\n\n<div class=\"wp-block-group alignwide add-remove-bottom-space is-vertical is-layout-flex wp-container-core-group-is-layout-8cf370e7 wp-block-group-is-layout-flex\" style=\"font-size:11px\">\n<h2 class=\"wp-block-heading has-small-font-size\"><strong>Published<\/strong><\/h2>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Optimal dividends for a NatCat insurer in the presence of a climate tipping point<\/strong><br>(with P. AZCUE and N. MULER) <br>The Canadian Journal of Statistics 54 (2026), e70029<a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/cjs.70029\"> [.pdf]<\/a><\/li>\n\n\n\n<li><strong>Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks<\/strong><br>(with M. DACOROGNA) <br>Scandinavian Actuarial JournalNo. 2 (2026), 135-162 <a href=\"https:\/\/www.tandfonline.com\/doi\/epdf\/10.1080\/03461238.2025.2509974?needAccess=true\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Empirical risk analysis of mining a Proof-of-Work blockchain<\/strong> <br>(with D. FINGER and P.O. GOFFARD) <br>Decisions in Economics and Finance 48 (2025), 1481-1508 <a href=\"https:\/\/www.researchgate.net\/publication\/375082859_Empirical_risk_analysis_of_mining_a_Proof-of-Work_blockchain\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong><strong>Optimal reinsurance from an optimal transport perspective<\/strong><\/strong><br>(with B. ACCIAIO and B. GARCIA FLORES) <br>Insurance: Mathematics and Economics 122 (2025), 194-213 <a href=\"https:\/\/www.researchgate.net\/publication\/374783723_Phase-type_Representations_for_Exponential_Distributions\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Phase-type representations for exponential distributions<\/strong><br>(with C.B. GARDNER and B.F. NIELSEN) <br>Advances in Applied Probability 57, No.3 (2025), 969-999 <a href=\"https:\/\/www.researchgate.net\/publication\/374783723_Phase-type_Representations_for_Exponential_Distributions\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Dividend corridors and a ruin constraint<\/strong><br>(with B. GARCIA FLORES and C. HIPP)<br>Insurance: Mathematics and Economics 121 (2025), 1-25 <a href=\"https:\/\/www.sciencedirect.com\/science\/article\/pii\/S0167668724001240\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>On the cost of risk misspecification in insurance pricing<\/strong><br>(with D. FINGER and L. WILHELMY) <br>Japanese Journal of Statistics and Data Science 7, No.2 (2024), 1111-1153 <a href=\"https:\/\/www.researchgate.net\/publication\/379690186_On_the_cost_of_risk_misspecification_in_insurance_pricing\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Optimal dividend strategies for a catastrophe insurer<\/strong><br>(with P. AZCUE and N. MULER) <br>Frontiers in Mathematical Finance 3. No. 2 (2024), 304-344 <a href=\"https:\/\/www.researchgate.net\/publication\/375520181_Optimal_dividend_strategies_for_a_catastrophe_insurer\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Informed censoring: the parametric combination of data and expert information <\/strong><br>(with M. BLADT) <br>Journal of Statistical Planning and Inference 233 (2024), 106171<a href=\"https:\/\/arxiv.org\/abs\/2206.13091\"> [.pdf]<\/a><\/li>\n\n\n\n<li><strong>The matrix sequential probability ratio test and multivariate ruin theory<\/strong><br>(with O. PERALTA)<br>MATRIX Book Series, Springer Cham, No.5 (2024), 505-516 <a href=\"https:\/\/www.researchgate.net\/publication\/368472827_The_matrix_sequential_probability_ratio_test_and_multivariate_ruin_theory\/references\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Optimal dividends under a drawdown constraint and a curious square-root rule<\/strong><br>(with P. AZCUE and N. MULER)<br>Finance and Stochastics 27, No. 2 (2023), 341-400 <a href=\"https:\/\/link.springer.com\/article\/10.1007\/s00780-023-00500-6\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Optimal dividend bands revisited: A gradient-based method and evolutionary algorithms<\/strong><br>(with B. GARCIA FLORES)<br>Scandinavian Actuarial Journal 2023, No.8 (2023), 788-810 <a href=\"https:\/\/www.researchgate.net\/publication\/361737818_OPTIMAL_DIVIDEND_BANDS_REVISITED_A_GRADIENT-BASED_METHOD_AND_EVOLUTIONARY_ALGORITHMS\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Continuous scaled phase-type distributions<\/strong><br>(with M. BLADT, M. BLADT and J. YSLAS ALTAMIRANO)<br>Stochastic Models 39 (2023), No.2, 293-322 <a href=\"https:\/\/www.researchgate.net\/publication\/349536352_Continuous_scaled_phase-type_distributions\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Joint lifetime modelling with matrix distributions<\/strong><br>(with M. BLADT and A. MUELLER)<br>Dependence Modeling 11 (2023), 20220153 <a href=\"https:\/\/www.researchgate.net\/publication\/361737073_JOINT_LIFETIME_MODELLING_WITH_MATRIX_DISTRIBUTIONS\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Approximations of copulas via transformed moments<\/strong><br>(with R. MNATSAKANOV and S. LOISEL)<br>Methodology and Computing in Applied Probability 24, No.4 (2022), 3175-3193 <a href=\"https:\/\/www.researchgate.net\/publication\/361834994_Approximations_of_copulas_via_transformed_moments\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>On the Cost-of-Capital Rate under Incomplete Market Valuation\n\t<\/strong><br>(with K.T. EISELE, M. STEFFENSEN and M. WUETHRICH)<br>Journal of Risk and Insurance 89, No.4 (2022), 1139-1158 <a href=\"https:\/\/www.researchgate.net\/publication\/359379269_On_the_Cost-of-Capital_Rate_under_Incomplete_Market_Valuation\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Penalised likelihood methods for phase-type dimension selection<\/strong><br>(with M. BLADT and A. MUELLER)<br>Statistics and Risk Modeling 39, No.3-4 (2002), 75-92. <a href=\"https:\/\/www.researchgate.net\/publication\/353333341_Penalised_likelihood_methods_for_phase-type_dimension_selection\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Mortality modeling and regression with matrix distributions<\/strong><br>(with M. BLADT, M. BLADT and J. YSLAS ALTAMIRANO)<br>Insurance: Mathematics and Economics 107 (2022), 68-87 <a href=\"https:\/\/www.researchgate.net\/publication\/355986401_Mortality_modelling_and_regression_with_matrix_distributions\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Optimal ratcheting of dividends in a Brownian risk model<\/strong><br>(with P. AZCUE and N. MULER)<br>SIAM Journal on Financial Mathematics 13, No. 3 (2022), 657-701 <a href=\"https:\/\/www.researchgate.net\/publication\/347486508_Optimal_ratcheting_of_dividends_in_a_Brownian_risk_model\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Can 7000 Years of Flood History Inform Actual Flood Risk Management? A Case Study on Lake Mondsee, Austria<\/strong><br>(with F. PRETTENTHALER, D. KORTSCHAK, J. KOEBERL and M. STANGL)<br>International Journal of Disaster Risk Reduction 81 (2022), 103227 <a href=\"https:\/\/doi.org\/10.1016\/j.ijdrr.2022.103227\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>On a Markovian game model for competitive insurance pricing<\/strong><br>(with C. MOUMINOUX, C. DUTANG and S. LOISEL)<br>Methodology and Computing in Applied Probability 24, No.2 (2022), 1061-1091. [<a href=\"https:\/\/www.researchgate.net\/publication\/354866609_On_a_Markovian_Game_Model_for_Competitive_Insurance_Pricing\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>On the randomized Schmitter problem<\/strong> <br>(with J. ARAUJO-ACUNA)<br>Methodology and Computing in Applied Probability 24, No.2 (2022), 515-535 [<a href=\"https:\/\/www.researchgate.net\/publication\/347558027_On_the_randomized_Schmitter_problem\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Blockchain mining in pools: Analyzing the trade-off between profitability and ruin<\/strong><br>(with D. FINGER and P.O. GOFFARD)<br>Insurance: Mathematics and Economics 105 (2022), 313-335 <a href=\"https:\/\/doi.org\/10.1016\/j.insmatheco.2022.04.004\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Asymptotic analysis of generalized Greenwood statistics for very heavy tails<\/strong><br>(with B. GARCIA FLORES)<br>Statistics and Probability Letters 185 (2022), 109429 <a href=\"https:\/\/doi.org\/10.1016\/j.spl.2022.109429\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>On the profitability of selfish blockchain mining under consideration of ruin<\/strong><br>(with P.O. GOFFARD)<br>Operations Research 70, No.1 (2022), 179-200 <a href=\"https:\/\/www.researchgate.net\/publication\/341713571_On_the_profitability_of_selfish_blockchain_mining_under_consideration_of_ruin\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case<\/strong><br>(with M. BLADT and J. YSLAS ALTAMIRANO)<br>Scandinavian Journal of Statistics 49 (2022), No.1, 44-77 [<a href=\"https:\/\/arxiv.org\/abs\/2006.13003\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>A bivariate Laguerre expansions approach for joint ruin probabilities in&nbsp;a two-dimensional insurance risk process<\/strong><br>(with E.C.K. CHEUNG,H. LIU and J.K. WOO)<br>Insurance: Mathematics &amp; Economics 103 (2022), 96-118 [<a href=\"https:\/\/www.researchgate.net\/publication\/357736441_A_bivariate_Laguerre_expansions_approach_for_joint_ruin_probabilities_in_a_two-dimensional_insurance_risk_process\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails<\/strong><br>(with M. BLADT and E. VATAMIDOU)<br>Methodology and Computing in Applied Probability 23 (2021), 1237-1255 [<a href=\"https:\/\/rdcu.be\/b5S8g\">.pdf]<\/a>&nbsp;<\/li>\n\n\n\n<li><strong>Structured reinsurance deals with reference to relative market performance<\/strong><br>(with L. VINCENT and Y. KRVAVYCH)<br>Insurance: Mathematics &amp; Economics 101 (2021), 125-139 <a href=\"https:\/\/reader.elsevier.com\/reader\/sd\/pii\/S0167668721001189?token=F5E1A8A3CB5796326AC2E72F0CC04F8FFB4664AF7837AC14A65AA1865F8AE77B74DE56992CA30A8EA30116E38EE29F5F&amp;originRegion=eu-west-1&amp;originCreation=20210816064541\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Fitting non-stationary Cox processes: an application to fire insurance data<\/strong> <br>(with J. ARAUJO-ACUNA and J. BEIRLANT)<br>North American Actuarial Journal 25 (2021), No.2, 135-162 [<a href=\"https:\/\/www.researchgate.net\/publication\/336262227_Fitting_non-stationary_Cox_processes_an_application_to_fire_insurance_data\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Trimmed extreme value estimators for censored heavy-tailed data<\/strong><br>(with M. BLADT and J. BEIRLANT)<br>Electronic Journal of Statistics 15 (2021), 3112-3136 [<a href=\"https:\/\/www.researchgate.net\/publication\/350519418_TRIMMED_EXTREME_VALUE_ESTIMATORS_FOR_CENSORED_HEAVY-TAILED_DATA\">.pdf]<\/a>&nbsp;<\/li>\n\n\n\n<li><strong>Tempered Pareto-type modelling using Weibull distributions<\/strong><br> (with J. ARAUJO-ACUNA and J. BEIRLANT)<br>ASTIN Bulletin 51, No.2 (2021), 509-538 [<a href=\"https:\/\/www.researchgate.net\/publication\/340511497_Tempered_Pareto-type_modelling_using_Weibull_distributions\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Multivariate Matrix Mittag-Leffler distributions<\/strong><br>(with M. BLADT and M. BLADT)<br>Ann. Inst. Statist. Math. 73, No.2 (2021), 369-394 [<a href=\"https:\/\/link.springer.com\/article\/10.1007\/s10463-020-00750-7\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Multivariate fractional phase-type distributions<\/strong><br>(with M. BLADT and M. BLADT)<br>Fractional Calculus and Applied Analysis 23, No.5 (2020), 1431-1451 [<a href=\"https:\/\/www.researchgate.net\/publication\/340136009_Multivariate_fractional_phase-type_distributions\">.pdf]<\/a>&nbsp;<\/li>\n\n\n\n<li><strong>Trimming and threshold selection in extremes<\/strong><br>(with M. BLADT and J. BEIRLANT)<br>Extremes 23, No.4 (2020), 629-665 [<a href=\"https:\/\/arxiv.org\/abs\/1903.07942\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Matrix Mittag-Leffler distributions and modeling heavy-tailed risks<\/strong><br>(with M. BLADT and M. BLADT)<br>Extremes 23, No.3 (2020), 425\u2013450 [<a href=\"https:\/\/rdcu.be\/b4AwU\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Combined tail estimation using censored data and expert information<\/strong><br>(with M. BLADT and J. BEIRLANT)<br>Scandinavian Actuarial Journal, No.6 (2020), 503-525 [<a href=\"https:\/\/www.researchgate.net\/publication\/335061981_COMBINED_TAIL_ESTIMATION_USING_CENSORED_DATA_AND_EXPERT_INFORMATION\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>Finite-time ruin probabilities under large-claim reinsurance treaties<\/strong><br>(with B. CHEN, E. VATAMIDOU and B. ZWART)<br>Journal of Applied Probability 57, No.2 (2020), 513-530 [<a href=\"https:\/\/www.researchgate.net\/publication\/333081093_Finite-time_ruin_probabilities_under_large-claim_reinsurance_treaties_for_heavy-tailed_claim_sizes\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>Optimal ratcheting of dividends in insurance<\/strong><br>(with P. AZCUE and N. MULER)<br>SIAM Journal on Control and Optimization 58, No.4 (2020), 1822-1845&nbsp; [<a href=\"https:\/\/www.researchgate.net\/publication\/336578988_Optimal_Ratcheting_of_Dividends_in_Insurance\">.pdf<\/a>]&nbsp; [<a href=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2023\/01\/OnlineAppendix.pdf\">Online Appendix]<\/a>&nbsp;<\/li>\n\n\n\n<li><strong>Spatial dependence modelling of flood risk using max-stable processes: The example of Austria<\/strong> <br>(with D. KORTSCHAK and F. PRETTENTHALER)<br>Water 12, No.6 (2020), 1805 <a href=\"https:\/\/www.mdpi.com\/2073-4441\/12\/6\/1805\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Editorial for Issue 10\/1 of the European Actuarial Journal<\/strong> <a href=\"https:\/\/link.springer.com\/article\/10.1007\/s13385-020-00233-2\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>On marine liability portfolio modeling<\/strong><br>(with W. GUEVARA-ALARCON and P. CHOWDHURY)<br>ASTIN Bulletin 50, No.1 (2020), 61\u201393. [<a href=\"https:\/\/www.researchgate.net\/publication\/331522488\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>On market share drivers in the Swiss mandatory health insurance sector<\/strong><br>(with D. DAILY-AMIR, M. BLADT and J. WAGNER)<br> Risks 7, No.4 (2019), 114 <a href=\"https:\/\/www.mdpi.com\/2227-9091\/7\/4\/114\/pdf\">[pdf]<\/a><\/li>\n\n\n\n<li><strong>Ruin probability approximations in Sparre Andersen models with completely monotone claims<\/strong><br>(with E. VATAMIDOU)<br>Risks 7, No.4 (2019), 104 [<a href=\"https:\/\/www.researchgate.net\/publication\/336312162_Ruin_probability_approximations_in_Sparre_Andersen_models_with_completely_monotone_claims\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Insurance: Models, Digitalization, and Data Science<\/strong><br>(with A. BOMMIER, D. FILIPOVIC, P. KOCH, S. LOISEL and H. SCHMEISER)<br>European Actuarial Journal 9, No.2 (2019), 349-360 [<a href=\"https:\/\/www.researchgate.net\/publication\/332801334_Insurance_Models_Digitalization_and_Data_Science\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Inhomogeneous phase-type distributions and heavy tails<\/strong><br>(with M. BLADT)<br>Journal of Applied Probability 56, No.4 (2019), 1044-1064 [<a href=\"https:\/\/www.researchgate.net\/publication\/329566944_INHOMOGENEOUS_PHASE-TYPE_DISTRIBUTIONS_AND_HEAVY_TAILS\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>Flood occurrence change-point analysis in the paleoflood record from Lake Mondsee (NE Alps)<\/strong><br>(with M. BLADT, D. KORTSCHAK, F. PRETTENTHALER and T. SWIERCZYNSKI)<br>Global and Planetary Change 178 (2019), 65-76 [<a href=\"https:\/\/reader.elsevier.com\/reader\/sd\/pii\/S0921818118305514?token=EA5CCA73A0EFB0BFE4FB5D6E4223A6A902258479155183BE1B0CDD2ECB0F82EB75663AE07D0196123329CBD1B40F0E40\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>On randomized reinsurance contracts<\/strong><br>(with A. CANI)<br>Insurance: Mathematics and Economics 84 (2019), 67-78 [<a href=\"https:\/\/www.researchgate.net\/publication\/319764169_On_Randomized_Reinsurance_Contracts\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>The single server queue with mixing dependencies<\/strong><br>(with Y. RAAIJMAKERS and O. BOXMA)<br>Methodology and Computing in Applied Probability 21 (2019), 1023-1044 [<a href=\"https:\/\/www.researchgate.net\/publication\/313881574_The_Single_Server_Queue_with_Mixing_Dependencies\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>Dividends: From Refracting to Ratcheting<\/strong><br>(with N. BAEUERLE and M. BLADT)<br>Insurance: Mathematics and Economics 83 (2018), 47-58 <a href=\"https:\/\/www.researchgate.net\/publication\/327712351_Dividends_From_refracting_to_ratcheting\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Asset-Liability Management for Long-Term Insurance Business<\/strong><br>(with D. BAUER, P. EMBRECHTS, D. FILIPOVIC, P. KOCH, R. KORN, S. LOISEL, A. PELSSER, F. SCHILLER, H. SCHMEISER and J. WAGNER)<br>European Actuarial Journal 8 (2018), 9-25 <a href=\"https:\/\/www.researchgate.net\/publication\/324539398_Asset-liability_management_for_long-term_insurance_business\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Linking dividends and capital injections &#8211; a probabilistic approach<\/strong><br>(with J. IVANOVS)<br>Scandinavian Actuarial Journal No.1 (2018), 76-83 [<a href=\"https:\/\/www.researchgate.net\/publication\/311964504_Linking_dividends_and_capital_injections_-_a_probabilistic_approach\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>Strikingly simple identities relating exit problems for Levy processes under continuous and Poisson observations<\/strong><br>(with J. IVANOVS)<br>Stochastic Processes and Applications 127 (2017), 643-656 <a href=\"https:\/\/www.researchgate.net\/publication\/280065518_Strikingly_simple_identities_relating_exit_problems_for_Levy_processes_under_continuous_and_Poisson_observations\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>On the joint distribution of tax payments and capital injections for a Levy risk model<\/strong><br>(with J. IVANOVS)<br>Probability and Mathematical Statistics 37, No.2 (2017), 219-227 <a href=\"https:\/\/www.researchgate.net\/publication\/311964576_On_the_joint_distribution_of_tax_payments_and_capital_injections_for_a_Levy_risk_model\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Risk theory with affine dividend payment strategies<\/strong><br>(with A. CANI)<br>in: <em>Number Theory &#8211; Diophantine Problems, Uniform Distribution and Applications, Festschrift for Robert F. Tichy.<\/em><br>pp. 25-60, Springer, 2017 <a href=\"https:\/\/www.researchgate.net\/publication\/308379617_Risk_theory_with_affine_dividend_payment_strategies\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>On Flood Risk Pooling in Europe<\/strong><br>(with F. PRETTENTHALER, P. ASADI and J. KOEBERL)<br>Natural Hazards 88, No.1 (2017), 1-20 [<a href=\"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s11069-016-2616-2.pdf\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Optimal Dividend Strategies for Two Collaborating Insurance Companies<\/strong><br>(with P. AZCUE and N. MULER)<br>Advances in Applied Probability 45, No.2 (2017), 515-548 <a href=\"https:\/\/www.researchgate.net\/publication\/276280854_Optimal_Dividend_Strategies_for_Two_Collaborating_Insurance_Companies\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>A queueing model with randomized depletion of inventory<\/strong><br>(with O. BOXMA, R. ESSIFI and R. KUIJSTERMANS)<br>Probability in Engineering and Information Sciences 31, No.1 (2017), 43-59 <a href=\"https:\/\/www.researchgate.net\/publication\/299470220_A_queueing_model_with_randomized_depletion_of_inventory\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>On Effects of Asymmetric Information on Non-Life Insurance Prices under Competition<\/strong><br>(with D. DAILY-AMIR)<br>International Journal of Data Analysis Techniques and Strategies 9, No.4 (2017), 287-299 <a href=\"https:\/\/www.researchgate.net\/publication\/321637737_On_effects_of_asymmetric_information_on_non-life_insurance_prices_under_competition\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Old-age provision: past, present, future<\/strong><br>(with P. EMBRECHTS, D. FILIPOVIC, G. HARRISON, P. KOCH, S. LOISEL, P. VANINI and J. WAGNER)<br>European Actuarial Journal 6, No.2 (2016), 287-306 <a href=\"https:\/\/www.researchgate.net\/publication\/305713583_Old-age_provision_past_present_future\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Exit identities for Levy processes observed at Poisson arrival times<\/strong><br>(with J. IVANOVS and X. ZHOU)<br>Bernoulli 22, No.3 (2016), 1364-1382 <a href=\"https:\/\/www.researchgate.net\/publication\/260780088_Exit_identities_for_Levy_processes_observed_at_Poisson_arrival_times\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Asymmetric Information and Insurance<\/strong><br>Cahiers de l&rsquo;Institute Louis Bachelier 20 (2016), 12-15 <a href=\"https:\/\/www.researchgate.net\/publication\/367204803_Asymmetric_Information_and_Insurance\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement<\/strong><br>(with V. LAUTSCHAM)<br>Anales del Instituto de Actuarios Espanoles 21, No.3 (2015), 1-30 <a href=\"https:\/\/www.researchgate.net\/publication\/282362818_Dividends_and_the_Time_of_Ruin_under_Barrier_Strategies_with_a_Capital-Exchange_Agreement\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Joint asymptotic distributions of smallest and largest insurance claims<\/strong><br>(with C. ROBERT and J.L. TEUGELS)<br>Risks 2 (2014), 289-314 [<a href=\"https:\/\/www.mdpi.com\/2227-9091\/2\/3\/289\/pdf\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Exact boundaries in sequential testing for phase-type distributions<\/strong><br>(with P. ASADI and J. IVANOVS)<br>Journal of Applied Probability 51A (2014), 347-358 [<a href=\"https:\/\/arxiv.org\/pdf\/1306.2783\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Power identities for Levy risk models under taxation and capital injections<\/strong><br>(with J. IVANOVS)<br>Stochastic Systems 4, No.1 (2014), 157-172 [<a href=\"https:\/\/arxiv.org\/abs\/1310.3052v2\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>On simple ruin expressions in dependent Sparre Andersen risk models<\/strong><br>(with O. BOXMA and J. IVANOVS)<br>Journal of Applied Probability 51, No.1 (2014), 293-296 <a href=\"https:\/\/www.researchgate.net\/publication\/260780131_On_Simple_Ruin_Expressions_in_Dependent_Sparre_Andersen_Risk_Models\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>The tax identity for Markov additive risk processes<\/strong><br>(with F. AVRAM, C. CONSTANTINESCU and J. IVANOVS)<br>Methodology and Computing in Applied Probability 16 (2014), 245-258 <a href=\"https:\/\/www.researchgate.net\/publication\/249008508_The_Tax_Identity_For_Markov_Additive_Risk_Processes\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>A risk model with an observer in a Markov environment<\/strong><br>(with J. IVANOVS)<br>Risks 1, No.3 (2013), 148-161 <a href=\"https:\/\/www.researchgate.net\/publication\/257657068_A_Risk_Model_with_an_Observer_in_a_Markov_Environment\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Implied liquidity: model sensitivity<\/strong><br>(with F. GUILLAUME and W. SCHOUTENS)<br>Journal of Empirical Finance 23 (2013), 48-67 [<a href=\"https:\/\/www.sciencedirect.com\/science\/article\/abs\/pii\/S0927539813000339\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Equalization Reserves for Natural Catastrophes and Shareholder Value: a Simulation Study<\/strong><br>(with M. DACOROGNA, M. MOLLER and S. SAHITI)<br>European Actuarial Journal 3, No.1 (2013), 1-21 <a href=\"https:\/\/www.researchgate.net\/publication\/257803287_Equalization_reserves_for_natural_catastrophes_and_shareholder_value_a_simulation_study\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Competition among non-life insurers under solvency constraints: a game-theoretic approach<\/strong><br>(with C. DUTANG and S. LOISEL)<br>European Journal of Operational Research 231 (2013), 702-711 <a href=\"https:\/\/www.researchgate.net\/publication\/260780605_Competition_among_non-life_insurers_under_solvency_constraints_A_game-theoretic_approach\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>From ruin to bankruptcy for compound Poisson surplus processes<\/strong><br>(with V. LAUTSCHAM)<br>ASTIN Bulletin 43 , No.2 (2013), 213-243 <a href=\"https:\/\/www.researchgate.net\/publication\/259433944_From_ruin_to_bankruptcy_for_compound_poisson_surplus_processes\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Exact and asymptotic results for insurance risk models with surplus-dependent premiums<\/strong><br>(with C. CONSTANTINESCU, Z. PALMOWSKI, G. REGENSBURGER and M. ROSENKRANZ)<br>SIAM Journal of Applied Mathematics 73, No.1 (2013), 47-66 <a href=\"https:\/\/www.researchgate.net\/publication\/51948440_Exact_and_Asymptotic_Results_for_Insurance_Risk_Models_with_Surplus-dependent_Premiums\">[.pdf]<\/a><\/li>\n\n\n\n<li><strong>Randomized observation times for the compound Poisson risk model: The discounted penalty function<\/strong><br>(with E.C.K. CHEUNG and S. THONHAUSER)<br>Scandinavian Actuarial Journal No.6 (2013), 424-452 [<a href=\"https:\/\/www.researchgate.net\/publication\/260780439_Randomized_observation_times_for_the_compound_Poisson_risk_model_The_discounted_penalty_function\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Asymptotic results for renewal risk models with risky investments<\/strong><br>(with C. CONSTANTINESCU and E. THOMANN)<br>Stochastic Processes and their Applications 122, No.11 (2012), 3767-3789 [<a href=\"https:\/\/www.researchgate.net\/publication\/249009152_Asymptotic_results_for_renewal_risk_models_with_risky_investments\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Tail asymptotics for dependent subexponential differences<\/strong><br>(with S. ASMUSSEN and D. KORTSCHAK)<br>Siberian Mathematical Journal 53, No.6 (2012), 1209-1230 [<a href=\"https:\/\/www.researchgate.net\/publication\/257845956_Tail_asymptotics_for_dependent_subexponential_differences\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Risk and insurability of storm damages to residential buildings in Austria<\/strong><br>(with J. K\u00f6BERL, D. KORTSCHAK and F. PRETTENTHALER)<br>Geneva Papers on Risk and Insurance: Issues and Practice 37 (2012), 340-364 [<a href=\"https:\/\/link.springer.com\/content\/pdf\/10.1057\/gpp.2012.15.pdf\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>On optimal dividend strategies in insurance with a random time horizon<\/strong><br>(with S. THONHAUSER)<br>in: <em>Stochastic processes, finance and control, Festschrift for Robert Elliott<\/em>, Advances inStatistics, Probability and Actuarial Science, Vol.1, World Scientific, 2012, pp. 157-180 [<a href=\"https:\/\/www.researchgate.net\/publication\/260783147_On_optimal_dividend_strategies_in_insurance_with_a_random_time_horizon\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Pricing of Parisian options for a jump-diffusion model with two-sided jumps<\/strong><br>(with D. KORTSCHAK and X. ZHOU)<br>Applied Mathematical Finance 19, No.2 (2012), 97-129 [<a href=\"https:\/\/www.researchgate.net\/publication\/233033437_Pricing_of_Parisian_Options_for_a_Jump-Diffusion_Model_with_Two-Sided_Jumps\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Optimal dividend-payout in random discrete time<\/strong><br>(with N. BAEUERLE and S. THONHAUSER)<br>Statistics and Risk Modeling 28, No.3 (2011), 251-276 [<a href=\"https:\/\/www.researchgate.net\/publication\/223130666_Optimal_dividend-payout_in_random_discrete_time\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>The optimal dividend barrier in the Gamma-Omega model<\/strong><br>(with H.U. GERBER and E. SHIU)<br>European Actuarial Journal 1, No.1 (2011), 43-55 [<a href=\"https:\/\/www.researchgate.net\/publication\/226533156_The_optimal_dividend_barrier_in_the_Gamma-Omega_model\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Randomized observation times for the compound Poisson risk model: Dividends<\/strong><br>(with E.C.K. CHEUNG and S. THONHAUSER)<br>ASTIN Bulletin 41, No.2 (2011), 645-672 [<a href=\"https:\/\/www.researchgate.net\/publication\/257459936_Randomized_observation_periods_for_the_compound_Poisson_risk_model_Dividends\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Ruin excursions, the G\/G\/\u221e queue and tax payments in renewal risk models<\/strong><br>(with S. BORST, O.BOXMA and J. RESING)<br>Journal of Applied Probability 48A (2011), 3-14 [<a href=\"https:\/\/www.researchgate.net\/publication\/258234137_Ruin_excursions_the_GG_queue_and_tax_payments_in_renewal_risk_models\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>A note on moments of dividends<\/strong><br>(with H.U. GERBER)<br>Acta Mathematica Applicatae Sinica 27, No.3 (2011), 353-354 [<a href=\"https:\/\/www.researchgate.net\/publication\/225668483_A_note_on_moments_of_dividends\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Ruin theory with excess of loss reinsurance and reinstatements<\/strong><br>(with S. HAAS)<br>Applied Mathematics and Computation 217, No. 20 (2011), 8031-8043&nbsp; [<a href=\"https:\/\/www.researchgate.net\/publication\/220560195_Ruin_theory_with_excess_of_loss_reinsurance_and_reinstatements\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Properties of a risk measure derived from ruin theory<\/strong><br>(with M. DENUIT and J. TRUFIN)<br>The Geneva Risk and Insurance Review 36 (2011), 174-188 [<a href=\"https:\/\/www.researchgate.net\/publication\/46136811_Properties_of_a_Risk_Measure_Derived_from_Ruin_Theory\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Ruin problems under IBNR Dynamics<\/strong><br>(with M. DENUIT and J. TRUFIN)<br>Applied Stochastic Models in Business and Industry 27, No.6 (2011), 619-632 [<a href=\"https:\/\/www.researchgate.net\/publication\/227663809_Ruin_problems_under_IBNR_dynamics\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Explicit ruin formulas for models with dependence among risks<\/strong><br>(with C. CONSTANTINESCU and S. LOISEL)<br>Insurance: Mathematics &amp; Economics 48, No.2 (2011), 265-270&nbsp; [<a href=\"https:\/\/www.researchgate.net\/publication\/49137389_Explicit_Ruin_Formulas_for_Models_With_Dependence_Among_Risks\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility<\/strong><br>(with S. THONHAUSER)<br>Stochastic Models 27, No.1 (2011), 120-140 [<a href=\"https:\/\/www.researchgate.net\/publication\/260780816_Optimal_Dividend_Strategies_for_a_Compound_Poisson_Process_Under_Transaction_Costs_and_Power_Utility\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>A direct approach to the discounted penalty function<\/strong><br>(with H. GERBER and H. YANG)<br>North American Actuarial Journal 14, No.4 (2010), 420-434 [<a href=\"https:\/\/www.tandfonline.com\/doi\/pdf\/10.1080\/10920277.2010.10597599?needAccess=true\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>An asymptotic expansion for the tail of compound sums of Burr distributed random variables<\/strong><br>(with D. KORTSCHAK)<br>Statistics and Probability Letters 80, No. 7-8 (2010), 612-620 [<a href=\"https:\/\/www.researchgate.net\/publication\/46508033_An_asymptotic_expansion_for_the_tail_of_compound_sums_of_Burr_distributed_random_variables\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>On the efficient evaluation of ruin probabilities for completely monotone claim size distributions<\/strong><br>(with F. AVRAM and D. KORTSCHAK)<br>Journal of Computational and Applied Mathematics 233, No.10 (2010), 2724-2736 [<a href=\"https:\/\/www.researchgate.net\/publication\/222415654_On_the_efficient_evaluation_of_ruin_probabilities_for_completely_monotone_claim_distributions\">.pdf]<\/a><\/li>\n\n\n\n<li><strong>Higher-order expansions for compound distributions and ruin probabilities with subexponential claims<\/strong><br>(with C. HIPP and D. KORTSCHAK)<br>Scandinavian Actuarial Journal No.2 (2010), 105-135 [<a href=\"https:\/\/www.researchgate.net\/publication\/241057459_Higher-order_expansions_for_compound_distributions_and_ruin_probabilities_with_subexponential_claims\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>Asymptotics of the Sample Coefficient of Variation and the Sample Dispersion<\/strong><br>(with S.A. LADOUCETTE and J.L. TEUGELS)<br>Journal of Statistical Planning and Inference 140, No. 2 (2010), 358-368 [<a href=\"https:\/\/www.researchgate.net\/publication\/228527933_Asymptotics_of_the_sample_coefficient_of_variation_and_the_sample_dispersion\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>Semi-static hedging strategies for exotic options<\/strong><br>(with P. MAYER)<br>in: <em>Alternative Investments and Strategies<\/em> (R. Kiesel et al., Eds.), World Scientific, 2010, pp. 345-373 [<a href=\"https:\/\/www.researchgate.net\/publication\/260782395_Semi-static_hedging_strategies_for_exotic_options\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>An algebraic operator approach to the analysis of Gerber-Shiu functions<\/strong><br>(with C. CONSTANTINESCU, G. PIRSIC, G. REGENSBURGER, M. ROSENKRANZ)<br>Insurance: Mathematics &amp; Economics 46, No.1 (2010), 42-51 [<a href=\"https:\/\/www.researchgate.net\/publication\/46489283_An_algebraic_operator_approach_to_the_analysis_of_Gerber-Shiu_functions\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>Reinsurance<\/strong><br>in: <em>Encyclopedia of Quantitative Finance<\/em>, Wiley, Chichester, 2010, pp. 1539-1543&nbsp; [<a href=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2023\/07\/Reinsurance.pdf\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>A numerical approach to ruin models with excess of loss reinsurance and reinstatements<\/strong><br>(with S. HAAS)<br>Proceedings of COMPSTAT 2010, Springer, 135-145.<\/li>\n\n\n\n<li><strong>On the non-optimality of proportional reinsurance according to the dividend criterion<\/strong><br>(with H. GERBER)<br>Bull. Swiss Association of Actuaries, No. 1 (2009), 94-95 [<a href=\"https:\/\/www.researchgate.net\/publication\/260780841_On_the_non-optimality_of_proportional_reinsurance_according_to_the_dividend_criterion\"> .pdf <\/a>]<\/li>\n\n\n\n<li><strong>Optimality Results for Dividend Problems in Insurance<\/strong><br>(with S. THONHAUSER)<br>RACSAM Rev. R. Acad. Cien. Serie A. Mat. 103, No.2 (2009),&nbsp; 295-320 [<a href=\"https:\/\/www.researchgate.net\/publication\/226649376_Optimality_results_for_dividend_problems_in_insurance\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>Impact of underwriting cycles on the solvency of an insurance company<\/strong><br>(with M. DENUIT and J. TRUFIN)<br>North American Actuarial Journal 13, No.3 (2009), 385-403 [<a href=\"https:\/\/www.soa.org\/library\/journals\/north-american-actuarial-journal\/2009\/no-03\/naaj-2009-vol13-no3-trufin.pdf\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>A combinatorial identity for a problem in asymptotic statistics<\/strong><br>(with K. SCHEICHER and J.L. TEUGELS)<br>Applicable Analysis and Discrete Mathematics 3, No.1 (2009), 64-68 [<a href=\"https:\/\/www.researchgate.net\/publication\/26587138_A_combinatorial_identity_for_a_problem_in_asymptotic_statistics\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>On ruin probability and aggregate claim representations for Pareto claim size distributions<\/strong><br>(with D. KORTSCHAK)<br>Insurance: Mathematics and Economics 45, No.3 (2009), 362-373. [<a href=\"https:\/\/www.researchgate.net\/publication\/46489316_On_ruin_probability_and_aggregate_claim_representations_for_Pareto_claim_size_distributions\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>The tax identity in risk theory &#8211; a simple proof and an extension<\/strong><br>(with S. BORST, O. BOXMA and J. RESING)<br>Insurance: Mathematics &amp; Economics 44 (2009), 304-306 [<a href=\"https:\/\/www.researchgate.net\/publication\/46489364_The_tax_identity_in_risk_theory_--_a_simple_proof_and_an_extension\">.pdf<\/a>]<\/li>\n\n\n\n<li><strong>Quantitativer Nachvollzug des NATKAT-Modells fuer Oesterreich<\/strong><br>(with D. KORTSCHAK)<br>in: <em>Hochwasser und dessen Versicherung in Oesterreich<\/em>, Verlag der Oesterreichischen Akademie der Wissenschaften, 2009.<\/li>\n\n\n\n<li><strong>Anreiztheoretische Analyse des NATKAT-Modells fuer Oesterreich<\/strong><br>(with D. KORTSCHAK and F. PRETTENTHALER)<br>in: <em>Hochwasser und dessen Versicherung in Oesterreich<\/em>, Verlag der Oesterreichischen Akademie der Wissenschaften, 2009.<\/li>\n\n\n\n<li><strong>Asymptotic results for the sum of dependent non-identically distributed random variables<\/strong><br>(with D. KORTSCHAK)<br>Methodology and Computing in Applied Probability 11, No.3 (2009), 279-306 [<a href=\"https:\/\/www.researchgate.net\/publication\/225358711_Asymptotic_Results_for_the_Sum_of_Dependent_Non-identically_Distributed_Random_Variables\">.pdf<\/a>]<\/li>\n<\/ul>\n\n\n\n<p>Publications before 2009 can be found <a href=\"https:\/\/scholar.google.ch\/citations?user=cBmA7-MAAAAJ&amp;hl=en\">here<\/a><\/p>\n<\/div>\n<\/div>\n\n\n\n<div class=\"wp-block-column is-layout-flow wp-block-column-is-layout-flow\" style=\"flex-basis:33%\">\n<p class=\"add-remove-bottom-space { has-normal-font-size\"><strong>Books<\/strong><\/p>\n\n\n\n<figure class=\"wp-block-table is-style-stripes add-remove-bottom-space recentpub-books\" style=\"font-size:11px\"><table><tbody><tr><td><a rel=\"noreferrer noopener\" href=\"https:\/\/www.wiley.com\/en-gb\/Reinsurance%3A+Actuarial+and+Statistical+Aspects-p-9780470772683\" target=\"_blank\"><img alt=\"\" loading=\"lazy\" decoding=\"async\" width=\"348\" height=\"499\" class=\"wp-image-67\" style=\"width: 80px\" src=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover1.jpg\" alt=\"\" srcset=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover1.jpg 348w, https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover1-209x300.jpg 209w\" sizes=\"auto, (max-width: 348px) 100vw, 348px\" \/><\/a><br><br><\/td><td><strong>Reinsurance: Actuarial and Statistical Aspects<\/strong><br>(with J. BEIRLANT and J. TEUGELS)<br>Wiley Series in Probability and Statistics, Wiley, Chichester, 2017<br>368p., ISBN: 978-0-470-77268-3.<br><a href=\"https:\/\/www.wiley.com\/en-gb\/Reinsurance%3A+Actuarial+and+Statistical+Aspects-p-9780470772683\">[Link]<\/a>&nbsp;&nbsp;<a href=\"https:\/\/cran.r-project.org\/web\/packages\/ReIns\/index.html\">[R Package ReIns]<\/a><br><a href=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2023\/07\/CorrR.pdf\">[List of Misprints and Amendments]<br><\/a><br><br><br><\/td><\/tr><tr><td><a href=\"https:\/\/www.worldscientific.com\/worldscibooks\/10.1142\/7431#t=aboutBook\" target=\"_blank\" rel=\"noreferrer noopener\"><img alt=\"\" loading=\"lazy\" decoding=\"async\" width=\"341\" height=\"503\" class=\"wp-image-68\" style=\"width: 80px\" src=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover2.jpg\" alt=\"\" srcset=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover2.jpg 341w, https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover2-203x300.jpg 203w\" sizes=\"auto, (max-width: 341px) 100vw, 341px\" \/><\/a><br><br><br><\/td><td><strong>Ruin Probabilities<\/strong><br>(with S. ASMUSSEN)<br>Second Edition, 620 p., Advanced Series in Statistical Science<br>and Applied Probability 14, World Scientific, New Jersey, 2010<br>ISBN: 978-981-4282-52-9.<br>[<a href=\"https:\/\/www.worldscientific.com\/worldscibooks\/10.1142\/7431#t=aboutBook\">Link]<\/a> &nbsp;&nbsp;[<a href=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2023\/07\/Corr.pdf\">List of Misprints and Amendments<\/a><a href=\"https:\/\/www.hec.unil.ch\/halbrecher\/rp2.html\">]<\/a><br><br><br><\/td><\/tr><tr><td><a href=\"https:\/\/www.springer.com\/mathematics\/applications\/book\/978-3-0348-0518-6\" target=\"_blank\" rel=\"noreferrer noopener\"><img alt=\"\" loading=\"lazy\" decoding=\"async\" width=\"153\" height=\"216\" class=\"wp-image-69\" style=\"width: 80px\" src=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover3.jpg\" alt=\"\"><\/a><br><br><\/td><td><strong>Introduction to Quantitative Methods for Financial Markets<\/strong><br>(with A. BINDER, V. LAUTSCHAM and P. MAYER)<br>Compact Textbooks in Mathematics, Birkh\u00e4user, Basel, 2013<br>191 p., ISBN 978-3-0348-0518-6.<br>[<a href=\"https:\/\/www.springer.com\/mathematics\/applications\/book\/978-3-0348-0518-6\">Link<\/a>]<br><br><br><\/td><\/tr><tr><td><a href=\"https:\/\/verlag.oeaw.ac.at\/Reihen\/Studien-zum-Klimawandel-in-Oesterreich\" target=\"_blank\" rel=\"noreferrer noopener\"><img alt=\"\" loading=\"lazy\" decoding=\"async\" width=\"135\" height=\"188\" class=\"wp-image-70\" style=\"width: 80px\" src=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover4.gif\" alt=\"\"><\/a><br><br><br><\/td><td><strong>Sturmsch\u00e4den: Modellierung der versicherten Sch\u00e4den in \u00f6sterreich<\/strong><br>(with F. PRETTENTHALER (Eds.))<br>Studien zum Klimawandel in \u00f6sterreich,<br>Verlag der \u00f6sterreichischen Akademie der Wissenschaften, Wien, 2012,<br>132 p., ISBN 978-3-7001-7310-6.<br>[<a href=\"https:\/\/verlag.oeaw.ac.at\/Reihen\/Studien-zum-Klimawandel-in-Oesterreich\">Link<\/a>]<br><br><\/td><\/tr><tr><td><a href=\"https:\/\/epub.oeaw.ac.at\/6753-2\" target=\"_blank\" rel=\"noreferrer noopener\"><img alt=\"\" loading=\"lazy\" decoding=\"async\" width=\"250\" height=\"365\" class=\"wp-image-71\" style=\"width: 80px\" src=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover5.jpg\" alt=\"\" srcset=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover5.jpg 250w, https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover5-205x300.jpg 205w\" sizes=\"auto, (max-width: 250px) 100vw, 250px\" \/><\/a><br><br><br><\/td><td><strong>Hochwasser und dessen Versicherung in \u00f6sterreich<\/strong><br>(with F. PRETTENTHALER (Eds.))<br>Studien zum Klimawandel in \u00f6sterreich,<br>Verlag der \u00f6sterreichischen Akademie der Wissenschaften, Wien, 2009,<br>161 p. ISBN 978-3-7001-6753-2.<br>[<a href=\"https:\/\/epub.oeaw.ac.at\/6753-2\">Link<\/a>]<br><br><br><\/td><\/tr><tr><td><a href=\"https:\/\/www.degruyter.com\/document\/doi\/10.1515\/9783110213140\/html\" target=\"_blank\" rel=\"noreferrer noopener\"><img alt=\"\" loading=\"lazy\" decoding=\"async\" width=\"150\" height=\"211\" class=\"wp-image-72\" style=\"width: 80px\" src=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover6.gif\" alt=\"\"><\/a><br><br><br><\/td><td><strong>Advanced Financial Modelling<\/strong><br>(with W. RUNGGALDIER and W. SCHACHERMAYER (Eds.))<br>Radon Series of Computational and Applied Mathematics,<br>de Gruyter, Berlin, 2009. 453 p. ISBN 978-3-11-021313-3.<br>[<a href=\"https:\/\/www.hec.unil.ch\/halbrecher\/files\/preface.pdf\">Preface and Table of Contents<\/a>]<br><br><br><\/td><\/tr><tr><td><a rel=\"noreferrer noopener\" href=\"https:\/\/www.springer.com\/birkhauser\/mathematics\/book\/978-3-7643-8783-9\" target=\"_blank\"><img alt=\"\" loading=\"lazy\" decoding=\"async\" width=\"153\" height=\"222\" class=\"wp-image-73\" style=\"width: 80px\" src=\"https:\/\/people.unil.ch\/hansjoergalbrecher\/files\/2022\/08\/cover7.jpg\" alt=\"\"><\/a><\/td><td><strong>Einf\u00fchrung in die Finanzmathematik<\/strong><br>(with A. BINDER and P. MAYER)<br>Mathematik Kompakt, Birkh\u00e4user Verlag Basel,<br>2009. 163 p. ISBN 978-3764387839.<br>[<a href=\"https:\/\/www.hec.unil.ch\/halbrecher\/files\/ToC.pdf\">Table of Contents<\/a>] &nbsp; [<a href=\"https:\/\/www.springer.com\/birkhauser\/mathematics\/book\/978-3-7643-8783-9\">Link<\/a>]<br><br><br><\/td><\/tr><\/tbody><\/table><\/figure>\n<\/div>\n<\/div>\n","protected":false},"excerpt":{"rendered":"<p>Last updated on April 8, 2026 Preprints To Appear Published Publications before 2009 can be found here Books Reinsurance: Actuarial and Statistical Aspects(with J. BEIRLANT and J. TEUGELS)Wiley&hellip;<\/p>\n","protected":false},"author":1001133,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"_seopress_robots_primary_cat":"","_seopress_titles_title":"","_seopress_titles_desc":"","_seopress_robots_index":"","footnotes":""},"class_list":["post-19","page","type-page","status-publish","has-post-thumbnail"],"_links":{"self":[{"href":"https:\/\/people.unil.ch\/hansjoergalbrecher\/wp-json\/wp\/v2\/pages\/19","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/people.unil.ch\/hansjoergalbrecher\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/people.unil.ch\/hansjoergalbrecher\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/people.unil.ch\/hansjoergalbrecher\/wp-json\/wp\/v2\/users\/1001133"}],"replies":[{"embeddable":true,"href":"https:\/\/people.unil.ch\/hansjoergalbrecher\/wp-json\/wp\/v2\/comments?post=19"}],"version-history":[{"count":5,"href":"https:\/\/people.unil.ch\/hansjoergalbrecher\/wp-json\/wp\/v2\/pages\/19\/revisions"}],"predecessor-version":[{"id":831,"href":"https:\/\/people.unil.ch\/hansjoergalbrecher\/wp-json\/wp\/v2\/pages\/19\/revisions\/831"}],"wp:attachment":[{"href":"https:\/\/people.unil.ch\/hansjoergalbrecher\/wp-json\/wp\/v2\/media?parent=19"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}