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Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
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Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes (2016)Gerber–Shiu distribution at Parisian ruin…Exit identities for Lévy processes observed at Poisson arrival times (2016)Exit identities for Lévy proc…Fluctuations of Lévy Processes with Applications (2014)Fluctuations of Lévy Processe…Parisian ruin probability for spectrally negative Lévy processes (2013)Parisian ruin probability for…Occupation times of intervals until first passage times for spectrally negative Lévy processes (2013)Occupation times of intervals…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…Occupation times of spectrally negative Lévy processes with applications (2011)Occupation times of spectrall…A note on scale functions and the time value of ruin for Lévy insurance risk processes (2009)A note on scale functions and…On the Time Value of Ruin (1998)On the Time Value of RuinThe joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)The joint distribution of the…Brownian Excursions and Parisian Barrier Options (1997)Brownian Excursions and Paris…Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)Ruin Probabilities (2010)On pre-exit joint occupation times for spectrally negative Lévy processes (2014)Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes (2017)Spectrally negative Lévy risk model under Erlangized barrier strategy (2018)An introduction to mathematical risk theory (1979)Option pricing by Esscher transforms. (1995)Optimal Dividends (2004)Insurance Risk and Ruin (2005)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory (2013)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)Insurance Risk Models (1994)On the discounted penalty at ruin in a jump-diffusion and the perpetual put option (1998)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)An Introduction to Copulas (1999)Theory of rational option pricing (2005)Regularly varying measures on metric spaces: Hidden regular variation and hidden jumps (2014)Alpha-robust mean-variance reinsurance-investment strategy (2016)Randomization and the American Put (1998)Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view (2016)Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations (2016)Stochastic Processes in Queueing Theory (1976)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)On a generalization of the Gerber–Shiu function to path-dependent penalties (2009)Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes (2012)Dividend Problem with Parisian Delay for a Spectrally Negative Lévy Risk Process (2013)On magnitude, asymptotics and duration of drawdowns for Lévy models (2016)
this work references cited by second hop

References

  • 1998On the Time Value of Ruin786 cited
  • 2014Fluctuations of Lévy Processes with Applications375 cited
  • 1997Brownian Excursions and Parisian Barrier Options255 cited
  • 1997The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin205 cited
  • 2013Occupation times of intervals until first passage times for spectrally negative Lévy processes124 cited
  • 2016Exit identities for Lévy processes observed at Poisson arrival times104 cited
  • 2013Parisian ruin probability for spectrally negative Lévy processes97 cited
  • 2011Occupation times of spectrally negative Lévy processes with applications95 cited
  • 2013An Insurance Risk Model with Parisian Implementation Delays90 cited
  • 2009A note on scale functions and the time value of ruin for Lévy insurance risk processes86 cited
  • 2011Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process84 cited

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