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On The Expected Discounted Penalty function for Lévy Risk Processes
16 references·5 citing·33 second hop
On The Expected Discounted Penalty function for Lévy Risk Processes (2006)On The Expected Discounted Penalty functi…Modern Actuarial Risk Theory (2008)Modern Actuarial Risk TheoryRuin 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…Lévy processes : theory and applications (2001)Lévy processes : theory and a…Ruin Probabilities (2000)Ruin ProbabilitiesThe Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…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 …The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)The joint distribution of the…Simulation and Chaotic Behaviour of α-Stable Stochastic Processes. (1995)Simulation and Chaotic Behavi…Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes (1993)Simulation and Chaotic Behavi…Risk Theory with the Gamma Process (1991)Risk Theory with the Gamma Pr…Risk theory for the compound Poisson process that is perturbed by diffusion (1991)Risk theory for the compound …Aspects of Risk Theory (1991)Aspects of Risk TheoryActuarial Mathematics (1986)Actuarial MathematicsGames of Economic Survival with Discrete- and Continuous-Income Processes (1972)Games of Economic Survival wi…Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory (2013)Exact joint laws associated w…Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model (2010)Non-parametric estimation of …On a generalization of the Gerber–Shiu function to path-dependent penalties (2009)On a generalization of the Ge…Fourier Inversion Formulas in Option Pricing and Insurance (2007)Fourier Inversion Formulas in…Distribution of the Present Value of Dividend Payments in a Lévy Risk Model (2007)Distribution of the Present V…An introduction to mathematical risk theory (1979)Option pricing by Esscher transforms. (1995)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)Actuarial Mathematics. (1986)Strategies for Dividend Distribution: A Review (2009)Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions (2010)Insurance Risk Models (1994)The moments of the time of ruin, the surplus before ruin, and the deficit at ruin (2000)On a risk model with dependence between interclaim arrivals and claim sizes (2006)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)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)The concept of comonotonicity in actuarial science and finance: applications (2002)Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)Risk measures and comonotonicity (2006)13 Financial applications of stable distributions (1996)Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Series Representations of Lévy Processes from the Perspective of Point Processes (2001)A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)Modeling Financial Data with Stable Distributions (2003)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)On Optimal Dividend Strategies In The Compound Poisson Model (2006)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)Application of Generalized Hyperbolic Lévy Motions to Finance (2001)Measures of risk (2002)Non-parametric calibration of jump–diffusion option pricing models (2004)
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  • 1991Risk theory for the compound Poisson process that is perturbed by diffusion298 cited
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  • 1972Games of Economic Survival with Discrete- and Continuous-Income Processes

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Cited by

  • 2009On a generalization of the Gerber–Shiu function to path-dependent penalties68 cited
  • 2007Distribution of the Present Value of Dividend Payments in a Lévy Risk Model67 cited
  • 2013Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory59 cited
  • 2007Fourier Inversion Formulas in Option Pricing and Insurance47 cited
  • 2010Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model45 cited