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Hans-Ulrich Gerber

Contact

Professor Emeritus
Department of Actuarial Science

Professor Emeritus
Professors Emeriti HEC


Contact
Hans-Ulrich.Gerber@unil.ch
Extranef, room 237
Tel 021.692.33.98
Fax 0216923435

Postal address
Université de Lausanne
Quartier UNIL-Chamberonne
Bâtiment Extranef
1015 Lausanne

Research

Research areas

Risk Theory

Publications

100 last publications ordered by: publication type  -  year

: Peer Reviewed

Articles

Gerber H.U., Shiu E.S.W. ; Yang H. (2019). A constraint-free approach to optimal reinsurance. Scandinavian Actuarial Journal, 2019, 62-79. Peer Reviewed


Gerber H.U., Shiu E.S.W. ; Yang H. (2015). Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Insurance: Mathematics and Economics, 64, 313-325. Peer Reviewed


Kaas R., Gerber H., Goovaerts M., Shiu E. ; Albrecher H. (2015). The impact factor of IME (Editorial). Insurance: Mathematics and Economics, 62, 1-4. Peer Reviewed


Gerber H.U., Shiu E.S.W. ; Yang H. (2013). Valuing equity-linked death benefits in jump diffusion models. Insurance: Mathematics and Economics, 53, 615-623. Peer Reviewed


Gerber H.U., Shiu E.S.W. ; Yang H. (2012). The Omega model: from bankruptcy to occupation times in the red. European Actuarial Journal, 2, 259-272. Peer Reviewed


Gerber H.U., Shiu E.S.W. ; Yang H. (2012). Valuing equity-linked death benefits and other contingent options: a discounted density approach. Insurance: Mathematics & Economics, 51, 73-92. Peer Reviewed


Albrecher H., Gerber H. ; Shiu E. (2011). The optimal dividend barrier in the Gamma-Omega model. European Actuarial Journal, 1, 43-55. Peer Reviewed


Albrecher H. , Gerber H. U. (2011). A note on moments of dividends. Acta Mathematica Applicatae Sinica, 27, 353-354. Peer Reviewed


Albrecher H., Gerber H. ; Yang H. (2010). Reply to discussions on "A direct approach to the discounted penalty function". North American Actuarial Journal, 14, 445-447. Peer Reviewed


Albrecher H., Gerber H.U. ; Yang H. (2010). A direct approach to the discounted penalty function. North American Actuarial Journal, 14, 420-434. Peer Reviewed


Gerber H.U., Shiu E.S.W. ; Yang H. (2010). An elementary approach to discrete models of dividend strategies. Insurance: Mathematics and Economics, 46, 109-116. Peer Reviewed


Gerber H.U. , Yang H. (2010). Obtaining the dividends-penalty identities by interpretation. Insurance: Mathematics and Economics, 47, 206-207. Peer Reviewed


Albrecher H. , Gerber H.U. (2009). On the non-optimality of proportional reinsurance according to the dividend criterion. Bulletin of the Swiss Association of Actuaries, 94-95. Peer Reviewed


Gerber H.U., Shiu E.S.W. ; Yang H. (2009). Crossing Time of Annuities with Exponential Payment Rates. Bulletin of the Swiss Association of Actuaries, 96-100. Peer Reviewed


Avanzi B. , Gerber H.U. (2008). Optimal dividends in the dual model with diffusion. Astin Bulletin, 38, 653-667. Peer Reviewed


Avanzi Benjamin , Gerber Hans U. (2008). Optimal Dividends in the Dual Model with Diffusion. ASTIN Bulletin, 38, 653-667. Peer Reviewed


Gerber H.U., Shiu E. S. W. ; Smith N. (2008). Methods to estimate the optimal dividend barrier and the probability of ruin. Insurance: Mathematics and Economics, 42, 243-254. Peer Reviewed


Gerber H.U. , Smith N. (2008). Optimal dividends with incomplete information in the dual model. Insurance: Mathematics and Economics, 43, 227-233. Peer Reviewed


Avanzi B., Gerber H.U. ; Shiu E.S.W. (2007). Optimal Dividends in the Dual Model. Insurance: Mathematics and Economics, 41, 111-123. Peer Reviewed


Gerber H.U. , Yang H. (2007). Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment. North American Actuarial Journal, 11, 159-169. Peer Reviewed


Cai J., Gerber H.U. ; Yang H. (2006). Optimal Dividends in an Ornstein-Uhlenbeck Type Model with Credit and Debit Interest. North American Actuarial Journal, 10, 94-108. Peer Reviewed


Chan B., Gerber H.U. ; Shiu E.S.W. (2006). Discussion of Xiaowen Zhou's "On a Classical Risk Model with a Constant Dividend Barrier". North American Actuarial Journal, 10, 133-139. Peer Reviewed


Gerber H. U. , Shiu E. S. W. (2006). On Optimal Dividend Strategies in the Compound Poisson Model. North American Actuarial Journal, 10, 76-93. Peer Reviewed


Gerber H. U. , Shiu E. S. W. (2006). On the Merger of Two Companies. North American Actuarial Journal, 10, 60-67. Peer Reviewed


Gerber H. U., Shiu E. S. W. ; Smith N. (2006). Maximizing Dividends without Bankruptcy. Astin Bulletin, 36, 5-23. Peer Reviewed


Gerber H.U., Lin X.S. ; Yang H. (2006). A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier. Astin Bulletin, 36, 489-503. Peer Reviewed


Gerber H.U. , Shiu E.S.W. (2006). On Optimal Dividends: From Reflection to Refraction. Journal of Computational and Applied Mathematics, 186, 4-22. Peer Reviewed


Gerber H. U. , Shiu E. S. W. (2005). The Time Value of ruin in a Sparre Andersen Model. North American Actuarial Journal, 9, 49-84. Peer Reviewed


Gerber H. U. , Shiu E. S. W. (2004). Optimal Dividends : Analysis with Brownian Motion. North American Actuarial Journal, 8, 1-20. Peer Reviewed


Gerber H. U., Leung B. P. K. ; Shiu E. S. W. (2003). Indicator Function and Hattendorff Theorem. North American Actuarial Journal, 7, 38-47. Peer Reviewed


Gerber H. U. , Shiu E. S. W. (2003). Pricing Lookback Options and Dynamic Guarantees. North American Actuarial Journal, 7, 48-67. Peer Reviewed


Gerber H. U. , Shiu E. S. W. (2003). Pricing Perpetual Fund Protection with Withdrawal Option. North American Actuarial Journal, 7, 60-92. Peer Reviewed


Gerber H. U. , Shiu E. S. W. (2003). Geometric Brownian Motion Models for Assets and Liabilities : From Pension Funding to Optimal Dividends. North American Actuarial Journal, 7, 37-56. Peer Reviewed


Gerber H. U. , Shiu E. S. W. (2003). Discussion of "Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process". North American Actuarial Journal, 7, 117-119 and 96-101. Peer Reviewed


Deprez. O. , Furrer C. ; Gerber H.U. (2001). Performanceweitergabe bei einer Mindestverzinsung. Bulletin of the Swiss Association of Actuaries, 2001, 109-121. Peer Reviewed


Cheng S., Gerber H.U. ; Shiu E.S.W. (2000). Discounted probabilities of ruin in the compound binomial model. Insurance: Mathematics and Economics, 26, 239-250. Peer Reviewed


Gerber H.U. , Pafumi G. (2000). Pricing dynamic investment fund protection. North American Actuarial Journal, 4, 28-41. Peer Reviewed


Gerber H.U. , Shiu E.S.W. (2000). Investing for retirement: optimal capital growth and dynamic asset allocation. North American Actuarial Journal, 4, 42-62. Peer Reviewed


Gerber H.U. , Shiu E.S.W. (1999). From ruin theory to pricing reset guarantees and perpetual put options. Insurance: Mathematics and Economics, 24, 3-14. Peer Reviewed


Gerber Hans U. , Pafumi Gérard (1998). Stop-loss a tempo continuo e protezione dinamica di un fondo d’investimento. Decisions in Economics and Finance, 21, 125-146. Peer Reviewed


Gerber H.U. , Landry B. (1998). On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Insurance: Mathematics and Economics, 22, 263-276. Peer Reviewed


Gerber H.U. , Pafumi G. (1998). Stop-loss a tempo continuo e protezione dinamica di un fondo d'investimento. Rivista di matematica per le scienze economiche e sociali, 21, 125-146. Peer Reviewed


Gerber H.U. , Pafumi G. (1998). Utility functions: from risk theory to finance. North American Actuarial Journal, 2, 74-100. Peer Reviewed


Gerber H.U. , Shiu E.S.W. (1998). Pricing perpetual options for jump processes. North American Actuarial Journal, 2, 101-112. Peer Reviewed


Gerber H.U. , Shiu E.S.W. (1998). On the time value of ruin. North American Actuarial Journal, 2, 48-78. Peer Reviewed


Gerber H.U , Shiu E.S.W. (1997). Le prix d'une option américaine perpétuelle pour des processus à sauts. Bulletin Français d'Actuariat, 1, 83-91. Peer Reviewed


Gerber H.U. , Landry B. (1997). Skewness and stock option prices. North American Actuarial Journal, 1, 50-65. Peer Reviewed


Gerber H.U. , Shiu E.S.W. (1997). The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Insurance: Mathematics and Economics, 21, 129-137. Peer Reviewed


Gerber H.U. , Shiu E.S.W. (1997). On optimal investment strategies. Rivista di matematica per le scienze economiche e sociali, 20, 133-151. Peer Reviewed


Gerber H.U. (1995). A Teacher's Remark on Exact Credibility. Astin Bulletin, 25, 189-192. Peer Reviewed


Gerber Hans U. , Shiu Elias S.W. (1994). Martingale Approach to Pricing Perpetual American Options. ASTIN Bulletin, 24, 195-220. Peer Reviewed


Gerber H. U. , Shiu E.S.W. (1994). From Perpetual Strangles to Russian Options. Insurance: Mathematics and Economics, 15, 121-126. Peer Reviewed


Gerber H.U. (1994). Martingales and tail probabilities. Astin Bulletin, 24, 145-146. Peer Reviewed


Gerber H.U. , Kaas R. (1994). Some Alternatives for the Individual Model. Insurance: Mathematics and Economics, 15, 127-132. Peer Reviewed


Gerber H.U. , Shiu E.S.W. (1994). Option pricing by Esscher transforms. Transactions of the Society of Actuaries, 46.


Gerber H.U. , Shiu E.S.W. (1994). Pricing Financial Contracts with Indexed Homogeneous Payoff. Bulletin of the Swiss Association of Actuaries, 94, 143-166.


Gerber H.U. , Shiu E.S.W. (1994). Martingale Approach to Pricing Perpetual American Options. Astin Bulletin, 24, 195-220. Peer Reviewed


Dufresne F. , Gerber H.U. (1993). The Probability of Ruin for the Inverse Gaussian and Related Processes. Insurance: Mathematics and Economics, 12, 9-22. Peer Reviewed


Dufresne F. , Gerber H.U. (1993). The Probability of Ruin for the Inverse Gaussian and Related Processes. Insurance: Mathematics and Economics, 12, 9-22. Peer Reviewed


Gerber H. U. (1993). Ruin theory beyond chapter 12. Actuarial Research Clearing House, 1-4.


Gerber H. U. , Shiu E. S. W. (1993). Option Pricing by Esscher Transforms. Proceedings of the 24th Astin Colloquium, Cambridge, 2, 305-344.


Gerber H. U. , Shiu E. S. W. (1993). Discussion of the paper "Valuing American options in a Path Simulation Model" by J.A. Tilley. Transactions of the Society of, 44, 524-534.


Gerber H. U. (1992). From the generalized gamma to the generalized negative binomial distribution. Insurance: Mathematics and Economics, 10, 303-309.


Gerber H. U. (1992). On the probability of ruin for infinitely divisible claim amount. Insurance: Mathematics and Economics, 11, 163-166.


Gerber H. U. (1992). A survey of some results of classical ruin theory. Geld, Banken und Versicherungen, VVW Karlsruhe, 43-52.


Dufresne F. , Gerber H. U. (1991). Rational ruin problems - a note for the teacher. Insurance: Mathematics and Economics, 10, 21-29.


Dufresne F. , Gerber H. U. (1991). Risk theory for the compound Poisson process that is perturbed by diffusion. Insurance: Mathematics and Economics, 10.


Dufresne F., Gerber H. U. ; Shiu E. S. W. (1991). Risk theory with the gamma process. ASTIN Bulletin, 21, 177-192.


Dufresne F. , Gerber H.U. (1991). Risk theory for the compound Poisson process that is perturbed by diffusion. Insurance: Mathematics and Economics, 10, 51-59. Peer Reviewed


Dufresne F. , Gerber H.U. (1991). Rational ruin problems - A note for the teacher. Insurance: Mathematics and Economics, 10, 21-29. Peer Reviewed


Dufresne F., Gerber H.U. ; Shiu E.S.W. (1991). Risk theory with the gamma process. ASTIN Bulletin, 21, 177-192. Peer Reviewed


Dufresne François, Gerber Hans U. ; Shiu Elias S. W. (1991). Risk Theory with the Gamma Process. ASTIN Bulletin, 21, 177-192. Peer Reviewed


Gerber H.U. (1990). Great expectations - Advanced problem 6576. American Mathematical Monthly, 97, 930-932.


Gerber H.U. (1990). When does the surplus reach a given target?. Insurance: Mathematics and Economics, 9, 115-119.


Gerber H.U. (1990). From the comvolution of uniform distributions to the probability of ruin. Bulletin of the Swiss Association of Actuaries, 283-292.


Dufresne F. , Gerber H.U. (1989). Three methods to calculate the probability of ruin. ASTIN Bulletin, 19, 71-90. Peer Reviewed


Dufresne F. Gerber H.U. (1989). Three methods to calculate the probability of ruin. ASTIN Bulletin, 19, 71-90.


Dufresne F. , Gerber H.U. (1988). The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Insurance: Mathematics and Economics, 7, 193-199. Peer Reviewed


Dufresne F. , Gerber H.U. (1988). The probability and severity of ruin for combinations of exponential claim amount distribution and their translations. Insurance: Mathematics and Economics, 7, 75-80. Peer Reviewed


Dufresne F. , Gerber H.U. (1988). The probability and severity of ruin for combinations of exponential claim amount distributions and their translations. Insurance: Mathematics and Economics, 7, 75-80.


Dufresne F. Gerber H.U. (1988). The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Insurance: Mathematics and Economics, 7, 193-199.


Gerber H.U. (1988). Mathematical fun with the compound binomial process. Astin Bulletin, 18, 161-168.


Gerber H.U. (1988). Bewertung des Risikos einer Pensionskasse. Münchner Blätter der Versicherungsmathematik, 1-26.


Gerber H.U. (1988). Mathematical fun with ruin theory. Insurance: Mathematics and Economics, 7, 15-23.


Gerber H.U. Shiu E.S.W. (1988). Non-uniqueness of option prices. Insurance: Mathematics and Economics, 7, 67-69.


Gerber Hans U., Goovaerts Marc J. ; Kaas Rob (1987). On the Probability and Severity of Ruin. ASTIN Bulletin, 17, 151-163. Peer Reviewed


Gerber H.U. (1987). Some moment inequalities and their applications. Transactions of the Society of Actuaries, 38, 75-104.


Gerber H.U. Goovaerts M.J. Kaas R. (1987). On the probability and severity of ruin. Astin Bulletin, 17, 151-163.


Gerber H.U. Valderrama Ospina A. (1987). A simple proof of Feller's characterization of the compound Poisson distribution. Insurance: Mathematics and Economics, 6, 63-64.


Gerber H.U. Heijnen B. (1986). On the small risk approximation. Insurance: Mathematics and Economics, 5, 151-157.


Chan F.Y. Gerber H.U. (1985). The reinsurer's monopoly and the Bowley solution. Astin Bulletin, 15, 141-148.


Deprez O. Gerber H.U. (1985). On convex principles of premium calculation. Insurance: Mathematics and Economics, 4, 179-189.


Gerber H.U. (1985). On additive principles of premium calculation. Insurance: Mathematics and Economics, 4, 249-251.


Gerber H.U. Schürger K. (1985). On the monotonicity of stop-loss premiums. Insurance: Mathematics and Economics, 4, 135.


Gerber H.U. (1984). Equilibria in a proportional reinsurance market. Insurance: Mathematics and Economics, 3, 97-100.


Gerber H.U. (1984). Chains of reinsurance. Insurance: Mathematics and Economics, 3, 43-48.


Gerber H.U. (1984). Wronski's formula and the resultant of two polynomials. American Mathematical Monthly, 91, 644-646.


Gerber H.U. (1984). Error bounds for the compound Poisson approximation. Insurance: Mathematics and Economics, 3, 191-194.


Gerber H.U. Seal H.L. (1984). Mixed Poisson processes and the probability of ruin. Insurance: Mathematis and Economics, 189-190.


Gerber H.U. (1983). On the asymptotic behavior of the mixed Poisson process. Scandinavian Actuarial Journal, 256.


Curriculum

Education

Professor at the University of Lausanne
Since 1981

Professor at the University of Michigan
1970-1971, 1972-1981

Invited Visiting Professor at the University of Rochester
1969-1970

PhD in Mathematics, ETH Zurich
1969

Work experience

Swiss Life
1971-1972

Other activities

Associate of the Society of Actuaries
1974

Actuary SAA of the Swiss Association of Actuaries

Insurance: Mathematics and Economics
Editor

North American Actuarial Journal
Associate Editor

Association Royale des Actuaires Belges <br> Istituto Italiano degli Attuari <br> Union Strasbourgeoise des Actuaires
Corresponding member

Academic honors

Doctor Honoris Causa (University of Waterloo, Canada)
Année : 2013


Honorary Professor at the University of Hong Kong
2011-2017
Année : 2011


Doctor Honoris Causa (Université Claude Bernard, Lyon 1)
Année : 2010


Insurance: Mathematics and Economics Award
Année : 2006


Honorary Member of the Swiss Association of Actuaries
Année : 2005


Distinguished Visiting Professor at the University of Hong Kong
2005-2011
Année : 2005


Halmstad Prize (with E. Shiu)
Année : 2002


Doctor Honoris Causa (Catholic University of Leuven)
Année : 2001


Annual Prize of the Society of Actuaries (with G. Pafumi)
Année : 2001


Halmstad Prize (with E. Shiu)
Année : 2000


Annual Prize of the Society of Actuaries (with G. Pafumi)
Année : 1999


Honorary Editor, Actuarial Communications (Journal of Actuarial Committee, Shanghai Insurance Institute)
Année : 1999


Edward A. Lew award (with E. Shiu)
Année : 1999


Annual Prize of the Society of Actuaries (with E. Shiu)
Année : 1996


Halmstad Prize (with E. Shiu)
Année : 1996


Centennial Gold Medal for Outstanding Scientific Achievements Within the Actuarial Profession (Awarded by the International Actuarial Association)
Année : 1995


First Warren Professor of Actuarial Science at the University of Manitoba
Année : 1989


Keywords

  • actuarial science (6)
  • applied probability (3)
  • financial models
  • risk theory

 
 
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