Occupation times of intervals until first passage times for spectrally negative Lévy processes [PDF]
Stochastic Processes and their Applications, 2014 In this paper, we identify Laplace transforms of occupation times of intervals until first passage times for spectrally negative Lévy processes. New analytical identities for scale functions are derived and therefore the results are explicitly stated in terms of the scale functions of the process.
Loeffen, Ronnie L. +2 more
exaly +7 more sources
Potential Densities for Taxed Spectrally Negative Lévy Risk Processes [PDF]
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 +4 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 +3 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
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
Fluctuations of an omega-type killed process in discrete time
Modern Stochastics: Theory and ApplicationsThe theory of the so-called ${\mathcal{W}_{q}}$ and ${\mathcal{Z}_{q}}$ scale functions is developped for the fluctuations of right-continuous discrete time and space killed random walks.
Meral Şimşek +2 more
doaj +1 more source
Global disruption of coral broadcast spawning associated with artificial light at night. [PDF]
Nat Commun, 2023 Davies TW +6 more
europepmc +1 more source
Editorial for special issue on advances in Actuarial Science and quantitative finance. [PDF]
Methodol Comput Appl Probab, 2022 Feng R +3 more
europepmc +1 more source
The Markovian Shot-noise Risk Model: A Numerical Method for Gerber-Shiu Functions. [PDF]
Methodol Comput Appl Probab, 2023 Pojer S, Thonhauser S.
europepmc +1 more source