Zobrazeno 1 - 10
of 374
pro vyhledávání: '"Albrecher Hansjörg"'
Publikováno v:
Dependence Modeling, Vol 11, Iss 1, Pp 1044-1064 (2023)
Acyclic phase-type (PH) distributions have been a popular tool in survival analysis, thanks to their natural interpretation in terms of aging toward its inevitable absorption. In this article, we consider an extension to the bivariate setting for the
Externí odkaz:
https://doaj.org/article/f74480e014684c9caf9c47c48d01047e
We use the randomization idea and proof techniques from optimal transport to study optimal reinsurance problems. We start by providing conditions for a class of problems that allow us to characterize the support of optimal treaties, and show how this
Externí odkaz:
http://arxiv.org/abs/2312.06811
In this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifetime of the company and the portfolio contains claims due to natural ca
Externí odkaz:
http://arxiv.org/abs/2311.05781
Autor:
Albrecher, Hansjoerg, Peralta, Oscar
Hybrid stochastic differential equations are a useful tool to model continuously varying stochastic systems which are modulated by a random environment that may depend on the system state itself. In this paper, we establish the pathwise convergence o
Externí odkaz:
http://arxiv.org/abs/2211.01844
We reconsider the study of optimal dividend strategies in the Cram\'er-Lundberg risk model. It is well-known that the solution of the classical dividend problem is in general a band strategy. However, the numerical techniques for the identification o
Externí odkaz:
http://arxiv.org/abs/2207.01329
Autor:
Albrecher, Hansjörg, Bladt, Martin
The statistical censoring setup is extended to the situation when random measures can be assigned to the realization of datapoints, leading to a new way of incorporating expert information into the usual parametric estimation procedures. The asymptot
Externí odkaz:
http://arxiv.org/abs/2206.13091
In this paper we address the problem of optimal dividend payout strategies from a surplus process governed by Brownian motion with drift under a drawdown constraint, i.e. the dividend rate can never decrease below a given fraction $a$ of its historic
Externí odkaz:
http://arxiv.org/abs/2206.12220
The resource-consuming mining of blocks on a blockchain equipped with a proof of work consensus protocol bears the risk of ruin, namely when the operational costs for the mining exceed the received rewards. In this paper we investigate to what extent
Externí odkaz:
http://arxiv.org/abs/2109.03085