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Refracted Lévy processes
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Refracted Lévy processes (2010)Refracted Lévy processesOld and New Examples of Scale Functions for Spectrally Negative Lévy Processes (2011)Old and New Examples of Scale…On the optimal dividend problem for a spectrally negative Lévy process (2007)On the optimal dividend probl…Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process (2007)Distributional Study of De Fi…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…On Optimal Dividend Strategies In The Compound Poisson Model (2006)On Optimal Dividend Strategie…The compound Poisson risk model with a threshold dividend strategy (2005)The compound Poisson risk mod…Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes (2004)Ruin Probabilities and Oversh…Ruin probabilities and overshoots for general Lévy insurance risk processes (2004)Ruin probabilities and oversh…Ruin probabilities and decompositions for general perturbed risk processes (2004)Ruin probabilities and decomp…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Optimal capital structure and endogenous default (2002)Optimal capital structure and…Risk processes perturbed by α-stable Lévy motion (1998)Risk processes perturbed by α…Controlled diffusion models for optimal dividend pay-out (1997)Controlled diffusion models f…Optimization of the flow of dividends (1995)Optimization of the flow of d…Spectrally negative Lévy risk model under Erlangized barrier strategy (2018)Spectrally negative Lévy risk…ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS (2014)ON THE OPTIMAL DIVIDEND PROBL…Occupation Times of Refracted Lévy Processes (2013)Occupation Times of Refracted…Gerber–Shiu Risk Theory (2013)Gerber–Shiu Risk TheoryOptimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes (2012)Optimal Control with Absolute…Lévy processes with adaptable exponent (2009)Lévy processes with adaptable…General tax Structures and the Lévy Insurance Risk Model (2009)General tax Structures and th…A note on scale functions and the time value of ruin for Lévy insurance risk processes (2009)A note on scale functions and…Mathematical Methods in Risk Theory (1970)An introduction to mathematical risk theory (1979)On the Time Value of Ruin (1998)Optimality results for dividend problems in insurance (2009)Strategies for Dividend Distribution: A Review (2009)Applied Probability and Queues (1987)Loss Models: From Data to Decisions (1999)Applied Probability and Queues (2003)A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier (2006)The compound Poisson risk model with multiple thresholds (2007)Brownian Motion and Stochastic Flow Systems. (1987)Controlled markov processes and viscosity solutions (1994)Optimal Dividends (2004)Controlled Markov Processes and Viscosity Solutions (2005)Optimal investment for insurer with jump-diffusion risk process (2005)Fluctuations of Lévy Processes with Applications (2014)Aspects of Risk Theory (1991)Modelling Extremal Events (1997)Ruin Probabilities (2000)Subexponential Distributions (2004)Exit problems for jump processes with applications to dividend problems (2012)Optimal dividend problem with a terminal value for spectrally positive Lévy processes (2013)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Handbook of Brownian Motion — Facts and Formulae (1996)Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads (1996)Credit Risk Modeling and Valuation: An Introduction (2003)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (2009)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Controlled Diffusion Processes (1980)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Modelling of extremal events in insurance and finance (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1997Controlled diffusion models for optimal dividend pay-out396 cited
  • 1995Optimization of the flow of dividends320 cited
  • 2007On the optimal dividend problem for a spectrally negative Lévy process302 cited
  • 2006On Optimal Dividend Strategies In The Compound Poisson Model239 cited
  • 2002Optimal capital structure and endogenous default214 cited
  • 2005The compound Poisson risk model with a threshold dividend strategy167 cited
  • 2004Ruin probabilities and overshoots for general Lévy insurance risk processes151 cited
  • 2004Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes146 cited
  • 2011Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes124 cited
  • 2007Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process95 cited
  • 2004Ruin probabilities and decompositions for general perturbed risk processes94 cited
  • 1998Risk processes perturbed by α-stable Lévy motion93 cited

Cited by

  • 2014ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS

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91 cited
  • 2009A note on scale functions and the time value of ruin for Lévy insurance risk processes86 cited
  • 2013Gerber–Shiu Risk Theory80 cited
  • 2012Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes67 cited
  • 2009General tax Structures and the Lévy Insurance Risk Model66 cited
  • 2018Spectrally negative Lévy risk model under Erlangized barrier strategy53 cited
  • 2013Occupation Times of Refracted Lévy Processes43 cited
  • 2009Lévy processes with adaptable exponent24 cited