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Occupation times of spectrally negative Lévy processes with applications
7 references·14 citing·32 second hop
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 2012The Theory of Scale Functions for Spectrally Negative Lévy Processes259 cited
  • 1997Brownian Excursions and Parisian Barrier Options255 cited
  • 2010Smoothness of scale functions for spectrally negative Lévy processes162 cited
  • 2013Occupation times of intervals until first passage times for spectrally negative Lévy processes124 cited
  • 2011Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes124 cited

Cited by

  • 2013An Insurance Risk Model with Parisian Implementation Delays90 cited
  • 2011Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process84 cited
  • 2013Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory59 cited
  • 2016Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes55 cited
  • 2016On magnitude, asymptotics and duration of drawdowns for Lévy models53 cited
  • 2017Optimality of excess-loss reinsurance under a mean–variance criterion44 cited
  • 2013Occupation Times of Refracted Lévy Processes43 cited
  • 2015

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Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
42 cited
  • 2013FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES42 cited
  • 2014On pre-exit joint occupation times for spectrally negative Lévy processes41 cited
  • 2013The Joint Laplace Transforms for Diffusion Occupation Times40 cited
  • 2016Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations38 cited
  • 2016Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view28 cited
  • 2014Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code21 cited