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ArticleOccupation times of spectrally negative Lévy processes with applications

David Landriault2011

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Articlebronze2011

Occupation times of spectrally negative Lévy processes with applications

David Landriault · Jean‐François Renaud · Xiaowen Zhou

95 citations·0/0 files stored·Stochastic Processes and their Applications

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Probability and Risk Models Stochastic processes and financial applications Stochastic processes and statistical mechanics

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References

2007Brownian Motion and Stochastic Calculus 1991Brownian motion and stochastic calculus 2012The Theory of Scale Functions for Spectrally Negative Lévy Processes 1997Brownian Excursions and Parisian Barrier Options 2010Smoothness of scale functions for spectrally negative Lévy processes 2013Occupation times of intervals until first passage times for spectrally negative Lévy processes 2011Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes

Cited by

2013An Insurance Risk Model with Parisian Implementation Delays 2011Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process 2013Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory 2016Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes 2016On magnitude, asymptotics and duration of drawdowns for Lévy models 2017Optimality of excess-loss reinsurance under a mean–variance criterion

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Year2011

Typearticle

Published2011-08-02

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations95

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.spa.2011.07.008

openalex_workW1995376772

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2013

Occupation Times of Refracted Lévy Processes

2013FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES