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Hans U. Gerber · Study
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Author
Hans U. Gerber
60 works
· latest 2013
· 7 institutions
cluster: provisional
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51
i10
59
Citations
9,082
Works here
60
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Most cited in this library
An introduction to mathematical risk theory
1979 · 914 citations
On the Time Value of Ruin
1998 · 786 citations
Option pricing by Esscher transforms.
1995 · 651 citations
Actuarial Mathematics.
1986 · 623 citations
Risk theory for the compound Poisson process that is perturbed by diffusion
1991 · 298 citations
Works
60 shown
Valuing equity-linked death benefits in jump diffusion models
Insurance Mathematics and Economics
·
2013
·
3 authors
·
Open access
54
citations
The Omega model: from bankruptcy to occupation times in the red
European Actuarial Journal
·
2012
·
3 authors
·
Open access
51
citations
Valuing equity-linked death benefits and other contingent options: A discounted density approach
Insurance Mathematics and Economics
·
2012
·
3 authors
·
Open access
57
citations
The optimal dividend barrier in the Gamma–Omega model
European Actuarial Journal
·
2011
·
3 authors
·
Open access
85
citations
Optimal Dividends in the Dual Model with Diffusion
Astin Bulletin
·
2008
·
2 authors
·
Open access
74
citations
Optimal Dividends in the Dual Model with Diffusion
Astin Bulletin
·
2008
·
2 authors
45
citations
Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
North American Actuarial Journal
·
2007
·
2 authors
61
citations
Optimal dividends in the dual model
Insurance Mathematics and Economics
·
2006
·
3 authors
182
citations
A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
Astin Bulletin
·
2006
·
3 authors
·
Open access
92
citations
Maximizing Dividends without Bankruptcy
Astin Bulletin
·
2006
·
3 authors
·
Open access
49
citations
On Optimal Dividend Strategies In The Compound Poisson Model
North American Actuarial Journal
·
2006
·
2 authors
239
citations
Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
North American Actuarial Journal
·
2006
·
3 authors
72
citations
On optimal dividends: From reflection to refraction
Journal of Computational and Applied Mathematics
·
2005
·
2 authors
·
Open access
86
citations
The Time Value of Ruin in a Sparre Andersen Model
North American Actuarial Journal
·
2005
·
2 authors
241
citations
Optimal Dividends
North American Actuarial Journal
·
2004
·
2 authors
276
citations
Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
North American Actuarial Journal
·
2003
·
2 authors
56
citations
Pricing Perpetual Fund Protection with Withdrawal Option
North American Actuarial Journal
·
2003
·
2 authors
35
citations
Pricing Lookback Options and Dynamic Guarantees
North American Actuarial Journal
·
2003
·
2 authors
69
citations
Discounted probabilities and ruin theory in the compound binomial model
Insurance Mathematics and Economics
·
2000
·
3 authors
98
citations
Pricing Dynamic Investment Fund Protection
North American Actuarial Journal
·
2000
·
2 authors
59
citations
Investing for Retirement
North American Actuarial Journal
·
2000
·
2 authors
33
citations
From ruin theory to pricing reset guarantees and perpetual put options
Insurance Mathematics and Economics
·
1999
·
2 authors
52
citations
Financial Economics: With Applications to Investments, Insurance and Pensions
·
1999
·
11 authors
·
book
145
citations
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
Insurance Mathematics and Economics
·
1998
·
2 authors
180
citations
Utility Functions
North American Actuarial Journal
·
1998
·
2 authors
164
citations
Pricing Perpetual Options for Jump Processes
North American Actuarial Journal
·
1998
·
2 authors
52
citations
On the Time Value of Ruin
North American Actuarial Journal
·
1998
·
2 authors
786
citations
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
Insurance Mathematics and Economics
·
1997
·
2 authors
205
citations
Life Insurance Mathematics
Springer eBooks
·
1997
·
1 author
·
book
113
citations
Actuarial bridges to dynamic hedging and option pricing
Insurance Mathematics and Economics
·
1996
·
2 authors
189
citations
MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
Mathematical Finance
·
1996
·
2 authors
77
citations
Option pricing by Esscher transforms.
IRIS
·
1995
·
2 authors
651
citations
Life Insurance Mathematics
Springer eBooks
·
1995
·
1 author
·
book
248
citations
Martingale Approach to Pricing Perpetual American Options
Astin Bulletin
·
1994
·
2 authors
·
Open access
111
citations
Risk Theory with the Gamma Process
Astin Bulletin
·
1991
·
3 authors
·
Open access
144
citations
Risk theory for the compound Poisson process that is perturbed by diffusion
Insurance Mathematics and Economics
·
1991
·
2 authors
298
citations
When does the surplus reach a given target?
Insurance Mathematics and Economics
·
1990
·
1 author
93
citations
Actuarial Mathematics
Journal of Risk & Insurance
·
1990
·
4 authors
234
citations
Life Insurance Mathematics
Springer eBooks
·
1990
·
1 author
·
book
45
citations
Three Methods to Calculate the Probability of Ruin
Astin Bulletin
·
1989
·
2 authors
·
Open access
73
citations
Mathematical Fun with the Compound Binomial Process
Astin Bulletin
·
1988
·
1 author
·
Open access
170
citations
The surpluses immediately before and at ruin, and the amount of the claim causing ruin
Insurance Mathematics and Economics
·
1988
·
2 authors
108
citations
The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
Insurance Mathematics and Economics
·
1988
·
2 authors
71
citations
Mathematical fun with ruin theory
Insurance Mathematics and Economics
·
1988
·
1 author
57
citations
On the Probability and Severity of Ruin
Astin Bulletin
·
1987
·
3 authors
·
Open access
175
citations
Actuarial Applications of Utility Functions
Springer eBooks
·
1987
·
1 author
·
chapter
5
citations
Actuarial Mathematics.
American Mathematical Monthly
·
1986
·
6 authors
·
other
623
citations
Lebensversicherungsmathematik
Springer eBooks
·
1986
·
1 author
·
book
23
citations
The Reinsurer's Monopoly and the Bowley Solution
Astin Bulletin
·
1985
·
2 authors
·
Open access
47
citations
On convex principles of premium calculation
Insurance Mathematics and Economics
·
1985
·
2 authors
191
citations
Error bounds for the compound poisson approximation
Insurance Mathematics and Economics
·
1984
·
1 author
61
citations
Ruin theory in the linear model
Insurance Mathematics and Economics
·
1982
·
1 author
79
citations
On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums
Insurance Mathematics and Economics
·
1982
·
1 author
69
citations
On the probability of ruin in the presence of a linear dividend barrier
Scandinavian Actuarial Journal
·
1981
·
1 author
83
citations
An introduction to mathematical risk theory
IRIS
·
1979
·
1 author
·
book
914
citations
Pareto-Optimal Risk Exchanges and Related Decision Problems
Astin Bulletin
·
1978
·
1 author
·
Open access
93
citations
Some Inequalities for Stop-Loss Premiums
Astin Bulletin
·
1977
·
4 authors
·
Open access
85
citations
On Additive Premium Calculation Principles
Astin Bulletin
·
1974
·
1 author
·
Open access
96
citations
Games of Economic Survival with Discrete- and Continuous-Income Processes
Operations Research
·
1972
·
1 author
117
citations
An extension of the renewal equation and its application in the collective theory of risk
Scandinavian Actuarial Journal
·
1970
·
1 author
141
citations