Hansjörg Furrer

Publications

• FURRER, H.J. (2012). Über die Konvergenz zentrierter und normierter Summen von Zufallsvariablen und ihre Auswirkungen auf die Risikomessung. Preprint. pdf



• FURRER, H.J. (2007). Leonhard Euler and Financial Risk Management. Swiss Life internal presentation. pdf



• EMBRECHTS, P. and FURRER, H.J., and KAUFMANN, R. (2003). Quantifying Regulatory Capital for Operational Risk. Derivatives Use, Trading and Regulation, Vol. 9, No 3. postscript (216k) pdf (240k)



• EMBRECHTS, P. and FURRER, H.J. (2003). VaR, Stress Testing and Related Risk Management Techniques for Hedge Funds. To appear in Managing the Risks of Alternative Investment Strategies, edited by L. Jaeger.



• EMBRECHTS, P. and FREY, R.. and FURRER, H.J. (2001). Stochastic Processes in Insurance and Finance. Handbook of Statistics. (North Holland) Vol. 19, 365-412. postscript (750k) pdf (750k)
  
  
• FURRER, H.J. (1999). Methoden der Extremwerttheorie zur Bestimmung eines Einzelschaden-Exzedenten im Krankenversicherungsbereich. Blätter der Deutschen Gesellscaft für Versicherungsmathematik, Band XXIV, Heft 1, 87-102.



• FURRER, H.J.(1998). Risk processes perturbed by a-stable Lévy motion. Scand. Actuarial J., 1, 59-74. postscript (341k) pdf (303k)



• FURRER, H.J. and MICHNA, Z. and WERON, A.(1997). Stable Lévy motion approximation in collective risk theory. Insurance: Mathematics and Economics, 20, 97-114. postscript (269k) pdf (262k)



• FURRER, H.J. and SCHMIDLI, H. (1994). Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion. Insurance: Mathematics and Economics, 15, 23-36,