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Parisian ruin of self-similar Gaussian risk processes
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Parisian ruin of self-similar Gaussian risk processes (2015)Parisian ruin of self-similar Gaussian ri…On asymptotic constants in the theory of extremes for Gaussian processes (2014)On asymptotic constants in th…Parisian ruin probability for spectrally negative Lévy processes (2013)Parisian ruin probability for…On the supremum of γ -reflected processes with fractional Brownian motion as input (2013)On the supremum of γ -reflect…Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process (2013)Dividend Problem with Parisia…An Insurance Risk Model with Parisian Implementation Delays (2013)An Insurance Risk Model with …Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process (2011)Ruin Probability with Parisia…Ruin Probabilities (2010)Ruin ProbabilitiesSelfsimilar Processes (2009)Selfsimilar ProcessesLarge Deviations for Gaussian Queues (2007)Large Deviations for Gaussian…Fractional Brownian motion as a weak limit of Poisson shot noise processes—with applications to finance (2004)Fractional Brownian motion as…Extremes of Gaussian processes over an infinite horizon (2004)Extremes of Gaussian processe…Ruin probability for Gaussian integrated processes (2002)Ruin probability for Gaussian…Extremes of a certain class of Gaussian processes (1999)Extremes of a certain class o…Self‐similar processes in collective risk theory (1998)Self‐similar processes in col…Modelling Extremal Events (1997)Modelling Extremal EventsBrownian Excursions and Parisian Barrier Options (1997)Brownian Excursions and Paris…The Pricing of Options and Corporate Liabilities (1973)The pricing of call and put options on foreign exchange (1983)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH (1996)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Models and Applications (2004)Extremes and related properties of random sequences and processes (1984)Large deviations and overflow probabilities for the general single-server queue, with applications (1995)Stochastic Flows and Stochastic Differential Equations (1998)Extremes of multidimensional Gaussian processes (2010)Extremes of vector-valued Gaussian processes: Exact asymptotics (2015)A storage model with self-similar input (1994)Exact overflow asymptotics for queues with many Gaussian inputs (2003)On the Time Value of Ruin (1998)Randomization and the American Put (1998)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations (2016)On the ruin probability for physical fractional Brownian motion (2004)Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes (2016)On magnitude, asymptotics and duration of drawdowns for Lévy models (2016)The asymptotic variance of departures in critically loaded queues (2011)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)Exponents, Symmetry Groups and Classification of Operator Fractional Brownian Motions (2011)Quantification of Long-Range Persistence in Geophysical Time Series: Conventional and Benchmark-Based Improvement Techniques (2013)Stochastic integration for tempered fractional Brownian motion (2014)Randomly weighted sums of subexponential random variables with application to capital allocation (2014)Exit identities for Lévy processes observed at Poisson arrival times (2016)Quantifying Distributional Model Risk via Optimal Transport (2019)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 2010Ruin Probabilities572 cited
  • 1997Brownian Excursions and Parisian Barrier Options255 cited
  • 1999Extremes of a certain class of Gaussian processes146 cited
  • 2009Selfsimilar Processes146 cited
  • 2007Large Deviations for Gaussian Queues113 cited
  • 2002Ruin probability for Gaussian integrated processes100 cited
  • 2013Parisian ruin probability for spectrally negative Lévy processes97 cited
  • 2013An Insurance Risk Model with Parisian Implementation Delays90 cited
  • 2004Extremes of Gaussian processes over an infinite horizon86 cited
  • 2011Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process84 cited
  • 2004Fractional Brownian motion as a weak limit of Poisson shot noise processes—with applications to finance74 cited
  • 2014On asymptotic constants in the theory of extremes for Gaussian processes66 cited
  • 2013Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process42 cited
  • 1998Self‐similar processes in collective risk theory41 cited
  • 2013On the supremum of γ -reflected processes with fractional Brownian motion as input

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