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On the threshold dividend strategy for a generalized jump–diffusion risk model
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On the threshold dividend strategy for a generalized jump–diffusion risk model (2010)On the threshold dividend strategy for a …Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…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…On ruin for the Erlang(n) risk process (2004)On ruin for the Erlang(n) ris…The classical risk model with a constant dividend barrier: analysis of the Gerber–Shiu discounted penalty function (2003)The classical risk model with…First passage times of a jump diffusion process (2003)First passage times of a jump…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Analysis of a defective renewal equation arising in ruin theory (1999)Analysis of a defective renew…On the Time Value of Ruin (1998)On the Time Value of RuinOn the discounted penalty at ruin in a jump-diffusion and the perpetual put option (1998)On the discounted penalty at …Risk theory for the compound Poisson process that is perturbed by diffusion (1991)Risk theory for the compound …Fluctuation theory in continuous time (1975)Fluctuation theory in continu…Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …An introduction to mathematical risk theory (1979)Optimality results for dividend problems in insurance (2009)Strategies for Dividend Distribution: A Review (2009)Stochastic Processes in Queueing Theory (1976)On the time to ruin for Erlang(2) risk processes (2001)The Time Value of Ruin in a Sparre Andersen Model (2005)On a risk model with dependence between interclaim arrivals and claim sizes (2006)Introduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)Extreme Values, Regular Variation and Point Processes (1987)On minimizing the ruin probability by investment and reinsurance (2002)The application of continuous-time random walks in finance and economics (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Option pricing by Esscher transforms. (1995)Optimal Dividends (2004)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)Actuarial Mathematics. (1986)Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions (2010)Option pricing when underlying stock returns are discontinuous (1976)How Much of Corporate-Treasury Yield Spread Is Due to Credit Risk?: A New Calibration Approach (2003)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)Limit Theorems for Stochastic Processes (2003)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Modeling financial contagion using mutually exciting jump processes (2015)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Controlled diffusion models for optimal dividend pay-out (1997)Optimal investment for insurer with jump-diffusion risk process (2005)
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References

  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 1998On the Time Value of Ruin786 cited
  • 1970Mathematical Methods in Risk Theory718 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • 1999Stochastic Processes for Insurance and Finance499 cited
  • 2003First passage times of a jump diffusion process435 cited
  • 1991Risk theory for the compound Poisson process that is perturbed by diffusion298 cited
  • 2004On ruin for the Erlang(n) risk process252 cited
  • 2006On Optimal Dividend Strategies In The Compound Poisson Model239 cited
  • 2003The classical risk model with a constant dividend barrier: analysis of the Gerber–Shiu discounted penalty function219 cited
  • 1998On the discounted penalty at ruin in a jump-diffusion and the perpetual put option180 cited
  • 1975Fluctuation theory in continuous time179 cited
  • 2005The compound Poisson risk model with a threshold dividend strategy167 cited
  • 1999Analysis of a defective renewal equation arising in ruin theory155 cited
  • 2004

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Ruin probabilities and overshoots for general Lévy insurance risk processes
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