Hansjoerg Albrecher

University of Lausanne

Quartier Chambronne

Lausanne, Vaud CH-1015

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

7

DOWNLOADS

1,064

SSRN CITATIONS

5

CROSSREF CITATIONS

5

Scholarly Papers (7)

1.

Asset-Liability Management for Long-Term Insurance Business

Swiss Finance Institute Research Paper No. 17-69
Number of pages: 18 Posted: 21 Dec 2017 Last Revised: 09 Jan 2018
University of Lausanne, University of Wisconsin-Madison, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, University of Zurich - Department of Banking and Finance, University of Kaiserslautern - Department of Mathematics, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA), Maastricht University, MunichRe, University of Muenster - Faculty of Economics and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 295 (132,154)
Citation 4

Abstract:

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asset-liability management, long-term insurance, valuation, insurance products, investments, models

2.

Insurance: Models, Digitalization, and Data Science

Swiss Finance Institute Research Paper No. 19-26
Number of pages: 14 Posted: 03 May 2019 Last Revised: 09 May 2019
University of Lausanne, ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich, Ecole Polytechnique Fédérale de Lausanne, University of Zurich - Department of Banking and Finance, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA) and University of Muenster - Faculty of Economics
Downloads 281 (138,928)
Citation 1

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3.

Old-Age Provision: Past, Present, Future

European Actuarial Journal, Forthcoming, Swiss Finance Institute Research Paper No. 16-55
Number of pages: 22 Posted: 17 Sep 2016 Last Revised: 20 Sep 2016
University of Lausanne, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, Georgia State University - J. Mack Robinson College of Business, University of Zurich - Department of Banking and Finance, University of Claude Bernard Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Basel and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Downloads 159 (235,980)
Citation 2

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Pension funding gap, Demographic and societal challenges, Valuation of pension liabilities, Economic and regulatory capital models, Role of financial markets

4.

Implied Liquidity: Model Sensitivity

Number of pages: 32 Posted: 10 Nov 2012
Florence Guillaume, Wim Schoutens and Hansjoerg Albrecher
Independent, KU Leuven - Department of Mathematics and University of Lausanne
Downloads 148 (250,319)
Citation 2

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implied liquidity, conic finance, model sensitivity, pre-and post crisis liquidity

5.

Dividends: From Refracting to Ratcheting

Swiss Finance Institute Research Paper No. 18-32
Number of pages: 22 Posted: 08 May 2018
Hansjoerg Albrecher, Nicole Bäuerle and Martin Bladt
University of Lausanne, University of Karlsruhe and University of Lausanne
Downloads 80 (382,667)

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optimal dividends, risk theory, Levy risk model, scale functions, diffusion

6.

On Randomized Reinsurance Contracts

Swiss Finance Institute Research Paper No. 18-33
Number of pages: 31 Posted: 08 May 2018 Last Revised: 15 May 2018
Hansjoerg Albrecher and Arian Cani
University of Lausanne and University of Lausanne
Downloads 68 (418,773)

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optimal reinsurance, randomization, stop-loss treaties, cost of capital, mean-excess function

7.

Equalization Reserves for Natural Catastrophes and Shareholder Value: A Simulation Study

European Actuarial Journal, Vol. 3 (1) , page 1-21, 2012
Number of pages: 23 Posted: 01 Aug 2013
DEAR-Consulting, University of Lausanne, SCOR and SCOR
Downloads 33 (565,714)

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reserves, shareholder value, risk adjusted performance