Occupation times of intervals until first passage times for spectrally negative Lévy processes [PDF]
Stochastic Processes and their Applications, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Loeffen, Ronnie L. +2 more
openaire +8 more sources
Potential Densities for Taxed Spectrally Negative Lévy Risk Processes
Risks, 2019 This paper revisits the spectrally negative Lévy risk process embedded with the general tax structure introduced in Kyprianou and Zhou (2009). A joint Laplace transform is found concerning the first down-crossing time below level 0.
Wenyuan Wang, Xiaowen Zhou
doaj +1 more source
On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory [PDF]
, 2014 The field of risk theory has traditionally focused on ruin-related quantities. In particular, the socalled Expected Discounted Penalty Function has been the object of a thorough study over the years.
Ben-Salah, Zied +3 more
core +3 more sources
De Finetti’s Control Problem with Parisian Ruin for Spectrally Negative Lévy Processes
Risks, 2019 We consider de Finetti’s stochastic control problem when the (controlled) process is allowed to spend time under the critical level. More precisely, we consider a generalized version of this control problem in a spectrally negative Lévy model ...
Jean-François Renaud
doaj +1 more source
On the time spent in the red by a refracted L\'evy risk process [PDF]
, 2013 In this paper, we introduce an insurance ruin model with adaptive premium rate, thereafter refered to as restructuring/refraction, in which classical ruin and bankruptcy are distinguished.
Renaud, Jean-François
core +2 more sources
Risks, 2019 First, we give a closed-form formula for first passage time of a reflected Brownian motion with drift. This corrects a formula by Perry et al. (2004). Second, we show that the maximum before a fixed drawdown is exponentially distributed for any drawdown,
Eberhard Mayerhofer
doaj +1 more source
Probabilistic aspects of critical growth-fragmentation equations [PDF]
, 2015 The self-similar growth-fragmentation equation describes the evolution of a medium in which particles grow and divide as time proceeds, with the growth and splitting of each particle depending only upon its size.
Bertoin, Jean, Watson, Alexander R.
core +2 more sources
Optimal Bail-Out Dividend Problem with Transaction Cost and Capital Injection Constraint
Risks, 2019 We consider the optimal bail-out dividend problem with fixed transaction cost for a Lévy risk model with a constraint on the expected present value of injected capital.
Mauricio Junca +2 more
doaj +1 more source
Power identities for Lévy risk models under taxation and capital injections
Stochastic Systems, 2014 In this paper we study a spectrally negative Lévy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus process subject to tax
Hansjörg Albrecher, Jevgenijs Ivanovs
doaj +1 more source
Asymptotic behavior of local times of compound Poisson processes with drift in the infinite variance case [PDF]
, 2012 Consider compound Poisson processes with negative drift and no negative jumps, which converge to some spectrally positive L\'evy process with non-zero L\'evy measure.
Lambert, Amaury, Simatos, Florian
core +3 more sources