SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Cramér's estimate for Lévy processes
3 references·4 citing·33 second hop
Cramér's estimate for Lévy processes (1994)Cramér's estimate for Lévy processesFluctuation theory in continuous time (1975)Fluctuation theory in continu…Fluctuation theory in continuous time (1975)Fluctuation theory in continu…Extreme Values in the GI/G/1 Queue (1972)Extreme Values in the GI/G/1 …Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process (2011)Ruin Probability with Parisia…Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results (2008)Exit problem of a two-dimensi…Loss Rates for Lévy Processes with Two Reflecting Barriers (2007)Loss Rates for Lévy Processes…On The Expected Discounted Penalty function for Lévy Risk Processes (2006)On The Expected Discounted Pe…Applied Probability and Queues (1987)Applied Probability and Queues (2003)Stochastic Integration and Differential Equations (2005)Asymptotic Behaviour of the Trajectory Fitting Estimator for Reflected Ornstein–Uhlenbeck Processes (2017)Some Problems in the Theory of Queues (1951)The single server queue in heavy traffic (1961)Multiple channel queues in heavy traffic. I (1970)On Exit and Ergodicity of the Spectrally One-Sided Lévy Process Reflected at Its Infimum (2004)De Finetti’s optimal dividends problem with an affine penalty function at ruin (2009)On the drawdown of completely asymmetric Lévy processes (2012)Aspects of Risk Theory (1991)On the Time Value of Ruin (1998)The Variance Gamma Process and Option Pricing (1998)Distribution of the Present Value of Dividend Payments in a Lévy Risk Model (2007)On a generalization of the Gerber–Shiu function to path-dependent penalties (2009)Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory (2013)Stochastic Processes in Queueing Theory (1976)Risk theory for the compound Poisson process that is perturbed by diffusion (1991)Ruin Probabilities (2000)Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process (2013)Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes (2016)On magnitude, asymptotics and duration of drawdowns for Lévy models (2016)Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insurance and Finance (1999)Asymptotic analysis of Lévy-driven tandem queues (2008)Tail asymptotics for a Lévy-driven tandem queue with an intermediate input (2009)A Two-Dimensional Risk Model with Proportional Reinsurance (2011)On the tails of waiting-time distributions (1975)Laws of Large Numbers for Sums of Extreme Values (1982)The Single Server Queue (1983)The Single Server Queue. (1983)Efficient scalable schemes for monitoring a large number of data streams (2010)Evaluating first-passage probabilities for spectrally one-sided Lévy processes (2000)
this work references cited by second hop

References

  • 1972Extreme Values in the GI/G/1 Queue227 cited
  • 1975Fluctuation theory in continuous time179 cited
  • 1975Fluctuation theory in continuous time146 cited

Cited by

  • 2011Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process84 cited
  • 2006On The Expected Discounted Penalty function for Lévy Risk Processes78 cited
  • 2008Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results64 cited
  • 2007Loss Rates for Lévy Processes with Two Reflecting Barriers54 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work