[BOOK][B] Introductory lectures on fluctuations of Lévy processes with applications
AE Kyprianou - 2006 - books.google.com
Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …
class of stochastic processes around which a robust mathematical theory exists. Their …
[BOOK][B] Fluctuations of Lévy processes with applications: Introductory Lectures
AE Kyprianou - 2014 - books.google.com
Lévy processes are the natural continuous-time analogue of random walks and form a rich
class of stochastic processes around which a robust mathematical theory exists. Their …
class of stochastic processes around which a robust mathematical theory exists. Their …
On the optimal dividend problem for a spectrally negative Lévy process
F Avram, Z Palmowski, MR Pistorius - 2007 - projecteuclid.org
In this paper we consider the optimal dividend problem for an insurance company whose
risk process evolves as a spectrally negative Lévy process in the absence of dividend …
risk process evolves as a spectrally negative Lévy process in the absence of dividend …
[BOOK][B] Fluctuation Theory for Levy Processes: Ecole D'Eté de Probabilités de Saint-Flour XXXV-2005
RA Doney - 2007 - Springer
In this chapter we present some limiting results for a Lévy process as t↓ 0, being mostly
concerned with ideas related to relative stability and attraction to the normal distribution on …
concerned with ideas related to relative stability and attraction to the normal distribution on …
[HTML][HTML] Occupation densities in solving exit problems for Markov additive processes and their reflections
This paper solves exit problems for spectrally negative Markov additive processes and their
reflections. So-called scale matrix, which is a generalization of the scale function of a …
reflections. So-called scale matrix, which is a generalization of the scale function of a …
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
I Czarna, Z Palmowski - Journal of Applied Probability, 2011 - cambridge.org
In this paper we analyze the so-called Parisian ruin probability, which arises when the
surplus process stays below 0 longer than a fixed amount of time ζ> 0. We focus on a …
surplus process stays below 0 longer than a fixed amount of time ζ> 0. We focus on a …
Valuing equity-linked death benefits and other contingent options: A discounted density approach
Motivated by the Guaranteed Minimum Death Benefits in various deferred annuities, we
investigate the calculation of the expected discounted value of a payment at the time of …
investigate the calculation of the expected discounted value of a payment at the time of …
Evaluation of the ultimate performances of a Ca+ single-ion frequency standard
C Champenois, M Houssin, C Lisowski, M Knoop… - Physics Letters A, 2004 - Elsevier
The frequency stability of an optical frequency standard at 729 nm, based on a single
calcium ion, is numerically studied. It is investigated through the Allan deviation, whose …
calcium ion, is numerically studied. It is investigated through the Allan deviation, whose …
Distributional study of de Finetti's dividend problem for a general Lévy insurance risk process
We provide a distributional study of the solution to the classical control problem due to De
Finetti (1957), Gerber (1969), Azcue and Muler (2005), and Avram et al.(2007), which …
Finetti (1957), Gerber (1969), Azcue and Muler (2005), and Avram et al.(2007), which …
[HTML][HTML] Fluctuations of Omega-killed spectrally negative Lévy processes
In this paper we solve the exit problems for (reflected) spectrally negative Lévy processes,
which are exponentially killed with a killing intensity dependent on the present state of the …
which are exponentially killed with a killing intensity dependent on the present state of the …