We consider an active run-and-tumble particle (RTP) in d dimensions and compute exactly
the probability S (t) that the x component of the position of the RTP does not change sign up …

After having worked in the domain of Gaussian queues for about a decade, we got the idea
to look at similar problems, but now in the context of Lévy-driven queues. That step felt as …

We introduce a simple model of diffusive jump process where a fee is charged for each
jump. The nonlinear cost function is such that slow jumps incur a flat fee, while for fast jumps …

We consider a two-dimensional optimal dividend problem in the context of two insurance
companies with compound Poisson surplus processes, who collaborate by paying each …

In this paper, we consider a two-dimensional insurance risk model where each business line
faces not only stand-alone claims but also common shocks that induce dependent losses to …

In this paper we consider an extension of the two-dimensional risk model introduced in
Avram, Palmowski and Pistorius (2008a). To this end, we assume that there are two …

The ruin probability in the classical Brownian risk model can be explicitly calculated for both
finite and infinite time horizon. This is not the case for the simultaneous ruin probability in the …

We study multidimensional Cram\'er-Lundberg risk processes where agents, located on a
large sparse network, receive losses form their neighbors. To reduce the dimensionality of …

In this paper, a multi-dimensional risk model with common shocks is studied. Using a simple
probabilistic approach via observing the risk processes at claim instants, recursive integral …

In this paper we are interested in optimizing proportional reinsurance and investment
policies in a multidimensional Lévy-driven insurance model. The criterion is that of …