Parisian ruin probability for spectrally negative Lévy processes [PDF]
, 2011 In this note we give, for a spectrally negative Levy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below zero, with a length that exceeds a certain fixed period r.
R. Loeffen, Irmina Czarna, Z. Palmowski
semanticscholar +1 more source
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 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
Optimality of Threshold Strategies for Spectrally Negative Lévy Processes and a Positive Terminal Value at Creeping Ruin [PDF]
North American Actuarial Journal, 2021 This article investigates a dividend optimization problem with a positive creeping-associated terminal value at ruin for spectrally negative Lévy processes. We consider an insurance company whose surplus process evolves according to a spectrally negative
Chong-Rui Zhu
semanticscholar +1 more source
AASLD practice guidance on drug, herbal, and dietary supplement–induced liver injury
, 2022 Hepatology, EarlyView.
Robert J. Fontana +6 more
wiley +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
The W, Z scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems [PDF]
E S A I M: Probability & Statistics, 2017 In the last years there appeared a great variety of identities for first passage problems of spectrally negative Lévy processes, which can all be expressed in terms of two “q-harmonic functions” (or scale functions) W and Z.
F. Avram, D. Grahovac, Ceren Vardar-Acar
semanticscholar +1 more source
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
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