References

• 1998On the Time Value of Ruin786 cited
• 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
• 2004On ruin for the Erlang(n) risk process252 cited
• 1997The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin205 cited
• 2000The moments of the time of ruin, the surplus before ruin, and the deficit at ruin157 cited
• 1999Analysis of a defective renewal equation arising in ruin theory155 cited
• 2005On a general class of renewal risk process: analysis of the Gerber-Shiu function106 cited
• 2014Efficient Option Pricing by Frame Duality with the Fast Fourier Transform87 cited
• 2017Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps79 cited
• 2017A unified approach to Bermudan and barrier options under stochastic volatility models with jumps78 cited
• 2006On The Expected Discounted Penalty function for Lévy Risk Processes78 cited
• 2009On a generalization of the Gerber–Shiu function to path-dependent penalties68 cited
• 2007On the Gerber–Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution64 cited
• 2016An Efficient Transform Method for Asian Option Pricing