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On the infinite divisibility of the lognormal distribution
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On the infinite divisibility of the lognormal distribution (1977)On the infinite divisibility of the logno…Mathematical Methods in Risk Theory. (1971)Mathematical Methods in Risk …Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …Lévy Processes and Applications (2014)Lévy Processes and Applicatio…Special, conjugate and complete scale functions for spectrally negative Lévy processes (2008)Special, conjugate and comple…Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples (2008)Generalized gamma convolution…Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples (2008)Generalized Gamma Convolution…Exact waiting time and queue size distributions for equilibrium M/G/1 queues with Pareto service (2007)Exact waiting time and queue …Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations (2006)Some classes of multivariate …Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes (2004)Generalized Hyperbolic and In…Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks (2001)Analytical Evaluation of Econ…Perpetuities with thin tails (1996)Perpetuities with thin tailsAn operational calculus for probability distributions via Laplace transforms (1996)An operational calculus for p…On simulation from infinitely divisible distributions (1982)On simulation from infinitely…Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions (1979)Self-decomposability of the g…An extension of the notion of a generalized Γ-convolution (1978)An extension of the notion of…Option pricing: A simplified approach (1979)The Variance Gamma Process and Option Pricing (1998)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Risk management based on stochastic volatility (2003)Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes (2005)On the duality principle in option pricing: semimartingale setting (2008)Generalized Gamma Convolutions and Related Classes of Distributions and Densities (1992)Additive processes and stochastic integrals (2006)Tempering stable processes (2006)STOCHASTIC INTEGRALS WITH RESPECT TO L´ EVY PROCESSES AND INFINITELY DIVISIBLE DISTRIBUTIONS (2011)Continuous Martingales and Brownian Motion (1999)Bilateral Multiple Gamma Returns: Their Risks and Rewards (2018)On the optimal dividend problem for a spectrally negative Lévy process (2007)An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density (2009)General tax Structures and the Lévy Insurance Risk Model (2009)On a generalization of the Gerber–Shiu function to path-dependent penalties (2009)Some stationary processes in discrete and continuous time (1998)Student processes (2005)Constructing hierarchical Archimedean copulas with Lévy subordinators (2009)Distributional properties of the negative binomial Lévy process (2009)Gamma expansion of the Heston stochastic volatility model (2009)Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (2005)On a Theorem of Breiman and a Class of Random Difference Equations (2007)Extreme Value Theory for GARCH Processes (2009)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)Inf-convolution of risk measures and optimal risk transfer (2005)Optimal investment for insurer with jump-diffusion risk process (2005)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)
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References

  • 1970Mathematical Methods in Risk Theory718 cited
  • 1971Mathematical Methods in Risk Theory.494 cited

Cited by

  • 1979Self-decomposability of the generalized inverse Gaussian and hyperbolic distributions135 cited
  • 2004Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes132 cited
  • 1982On simulation from infinitely divisible distributions132 cited
  • 1996Perpetuities with thin tails104 cited
  • 2006Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations103 cited
  • 2008Special, conjugate and complete scale functions for spectrally negative Lévy processes70 cited
  • 2008Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples69 cited
  • 2008Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples66 cited
  • 1978An extension of the notion of a generalized Γ-convolution47 cited
  • 1996An operational calculus for probability distributions via Laplace transforms46 cited
  • 2001Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks44 cited
  • 2007Exact waiting time and queue size distributions for equilibrium M/G/1 queues with Pareto service27 cited

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  • 2014Lévy Processes and Applications27 cited