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1

Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps

Albrecher, Hansjörg, Kortschak, Dominik, Zhou, Xiaowen

Journal:

Applied Mathematical Finance

Year:

2012

Language:

english

File:

PDF, 448 KB

english, 2012

2

On the efficiency of the Asmussen–Kroese-estimator and its application to stop-loss transforms

Jürgen Hartinger, Dominik Kortschak

Journal:

Blätter der DGVFM

Year:

2009

Language:

english

File:

PDF, 317 KB

english, 2009

3

On the efficient evaluation of ruin probabilities for completely monotone claim distributions

Hansjörg Albrecher, Florin Avram, Dominik Kortschak

Journal:

Journal of Computational and Applied Mathematics

Year:

2010

Language:

english

File:

PDF, 765 KB

english, 2010

4

On ruin probability and aggregate claim representations for Pareto claim size distributions

Hansjörg Albrecher, Dominik Kortschak

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 1.85 MB

english, 2009

5

Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks

Kortschak, Dominik

Journal:

Year:

2012

Language:

english

File:

PDF, 525 KB

english, 2012

6

Second Order Corrections for the Limits of Normalized Ruin Times in the Presence of Heavy Tails

Asmussen, Søren, Kortschak, Dominik

Journal:

Stochastic Systems

Year:

2013

Language:

english

File:

PDF, 359 KB

english, 2013

7

Spatial Dependence Modeling of Flood Risk Using Max-Stable Processes: The Example of Austria

Albrecher, HansjÃ¶rg, Kortschak, Dominik, Prettenthaler, Franz

Journal:

Year:

2020

File:

PDF, 984 KB

2020

8

An asymptotic expansion for the tail of compound sums of Burr distributed random variables

Dominik Kortschak, Hansjörg Albrecher

Journal:

Statistics & Probability Letters

Year:

2010

Language:

english

File:

PDF, 903 KB

english, 2010

9

Tail asymptotics for the sum of two heavy-tailed dependent risks

Hansjörg Albrecher, Søren Asmussen, Dominik Kortschak

Journal:

Year:

2006

Language:

english

File:

PDF, 352 KB

english, 2006

10

Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables

Dominik Kortschak, Hansjörg Albrecher

Journal:

Methodology and Computing in Applied Probability

Year:

2009

Language:

english

File:

PDF, 565 KB

english, 2009

11

Efficient simulation of tail probabilities for sums of log-elliptical risks

Kortschak, Dominik, Hashorva, Enkelejd

Journal:

Journal of Computational and Applied Mathematics

Year:

2013

Language:

english

File:

PDF, 451 KB

english, 2013

12

Second Order Asymptotics of Aggregated Log-Elliptical Risk

Kortschak, Dominik, Hashorva, Enkelejd

Journal:

Methodology and Computing in Applied Probability

Year:

2014

Language:

english

File:

PDF, 376 KB

english, 2014

13

Error Rates and Improved Algorithms for Rare Event Simulation with Heavy Weibull Tails

Asmussen, Søren, Kortschak, Dominik

Journal:

Methodology and Computing in Applied Probability

Year:

2015

Language:

english

File:

PDF, 397 KB

english, 2015

14

Tail asymptotics of random sum and maximum of log-normal risks

Hashorva, Enkelejd, Kortschak, Dominik

Journal:

Statistics & Probability Letters

Year:

2014

Language:

english

File:

PDF, 387 KB

english, 2014

15

Editorial Board

Hashorva, Enkelejd, Kortschak, Dominik

Journal:

Journal of Dairy Science

Year:

1983

Language:

english

File:

PDF, 97 KB

english, 1983

16

[IEEE 2012 Winter Simulation Conference - (WSC 2012) - Berlin, Germany (2012.12.9-2012.12.12)] Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC) - On error rates in rare event simulation with heavy tails

Asmussen, Soren, Kortschak, Dominik

Year:

2012

Language:

english

File:

PDF, 212 KB

english, 2012

17

Higher-order expansions for compound distributions and ruin probabilities with subexponential claims

Albrecher, Hansjörg, Hipp, Christian, Kortschak, Dominik

Journal:

Scandinavian Actuarial Journal

Year:

2010

Language:

english

File:

PDF, 278 KB

english, 2010

18

Ruin Problems with Worsening Risks or with Infinite Mean Claims

Kortschak, Dominik, Loisel, Stéphane, Ribereau, Pierre

Journal:

Stochastic Models

Year:

2015

Language:

english

File:

PDF, 196 KB

english, 2015

19

Aggregation of randomly weighted large risks

Asimit, Alexandru V., Hashorva, Enkelejd, Kortschak, Dominik

Journal:

IMA Journal of Management Mathematics

Year:

2015

Language:

english

File:

PDF, 189 KB

english, 2015

20

Risk and Insurability of Storm Damages to Residential Buildings in Austria

Prettenthaler, Franz, Albrecher, Hansjörg, Köberl, Judith, Kortschak, Dominik

Journal:

Geneva Papers on Risk and Insurance - Issues and Practice

Year:

2012

Language:

english

File:

PDF, 1.41 MB

english, 2012

21

Flood occurrence change-point analysis in the paleoflood record from Lake Mondsee (NE Alps)

Albrecher, Hansjörg, Bladt, Martin, Kortschak, Dominik, Prettenthaler, Franz, Swierczynski, Tina

Journal:

Global and Planetary Change

Year:

2019

Language:

english

File:

PDF, 481 KB

english, 2019

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