Wang, Wenyuan; Ming, Ruixing; Hu, Yijun On de Finetti’s optimal Impulse dividend control problem under chapter 11 bankruptcy. (English) Zbl 07784081 Acta Math. Sci., Ser. B, Engl. Ed. 44, No. 1, 215-233 (2024). MSC: 60G51 91B05 91G05 93E20 PDFBibTeX XMLCite \textit{W. Wang} et al., Acta Math. Sci., Ser. B, Engl. Ed. 44, No. 1, 215--233 (2024; Zbl 07784081) Full Text: DOI
Wang, Wenyuan; Yu, Xiang; Zhou, Xiaowen On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy. (English) Zbl 07783075 Appl. Math. Optim. 89, No. 1, Paper No. 13, 31 p. (2024). MSC: 91G50 91G05 49L20 60G51 93E20 PDFBibTeX XMLCite \textit{W. Wang} et al., Appl. Math. Optim. 89, No. 1, Paper No. 13, 31 p. (2024; Zbl 07783075) Full Text: DOI arXiv
Li, Yingqiu; Wei, Yushao; Hu, Yangli Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time. (English) Zbl 1528.60022 Lith. Math. J. 63, No. 3, 367-381 (2023). Reviewer: Ze-Chun Hu (Chengdu) MSC: 60E10 60G51 91B05 PDFBibTeX XMLCite \textit{Y. Li} et al., Lith. Math. J. 63, No. 3, 367--381 (2023; Zbl 1528.60022) Full Text: DOI
Wang, Zijia; Lkabous, Mohamed Amine; Landriault, David A refracted Lévy process with delayed dividend pullbacks. (English) Zbl 1521.91323 Scand. Actuar. J. 2023, No. 9, 885-906 (2023). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{Z. Wang} et al., Scand. Actuar. J. 2023, No. 9, 885--906 (2023; Zbl 1521.91323) Full Text: DOI
Gao, Hui; Yin, Chuancun A Lévy risk model with ratcheting and barrier dividend strategies. (English) Zbl 07723665 Math. Found. Comput. 6, No. 2, 268-279 (2023). MSC: 60G51 91B05 91G05 PDFBibTeX XMLCite \textit{H. Gao} and \textit{C. Yin}, Math. Found. Comput. 6, No. 2, 268--279 (2023; Zbl 07723665) Full Text: DOI
Cao, Jingyi; Young, Virginia R. Approximating the classical risk process by stable Lévy motion. (English) Zbl 1520.91098 Scand. Actuar. J. 2023, No. 7, 679-707 (2023). MSC: 91B05 60G51 91G05 PDFBibTeX XMLCite \textit{J. Cao} and \textit{V. R. Young}, Scand. Actuar. J. 2023, No. 7, 679--707 (2023; Zbl 1520.91098) Full Text: DOI
Behme, Anita; Strietzel, Philipp Lukas On moments of downward passage times for spectrally negative Lévy processes. (English) Zbl 1516.60028 J. Appl. Probab. 60, No. 2, 452-464 (2023). MSC: 60G51 60G40 91G05 PDFBibTeX XMLCite \textit{A. Behme} and \textit{P. L. Strietzel}, J. Appl. Probab. 60, No. 2, 452--464 (2023; Zbl 1516.60028) Full Text: DOI arXiv
Wang, Wenyuan; Zhang, Zhimin; Jin, Zhuo Tax optimization with a terminal value for the Lévy risk processes. (English) Zbl 07668999 J. Ind. Manag. Optim. 19, No. 8, 6024-6053 (2023). MSC: 91G05 93E20 60G51 PDFBibTeX XMLCite \textit{W. Wang} et al., J. Ind. Manag. Optim. 19, No. 8, 6024--6053 (2023; Zbl 07668999) Full Text: DOI
Surya, Budhi; Wang, Wenyuan; Zhao, Xianghua; Zhou, Xiaowen Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process. (English) Zbl 1511.91119 Scand. Actuar. J. 2023, No. 2, 97-122 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60G51 60J35 PDFBibTeX XMLCite \textit{B. Surya} et al., Scand. Actuar. J. 2023, No. 2, 97--122 (2023; Zbl 1511.91119) Full Text: DOI arXiv
Xin, Li; Feng, Jiang Liquidation risk for exponential spectrally negative Lévy processes. (Chinese. English summary) Zbl 07801181 Acta Math. Appl. Sin. 45, No. 5, 732-751 (2022). MSC: 62P05 91B30 PDFBibTeX XMLCite \textit{L. Xin} and \textit{J. Feng}, Acta Math. Appl. Sin. 45, No. 5, 732--751 (2022; Zbl 07801181) Full Text: Link
Strietzel, Philipp Lukas; Behme, Anita Moments of the ruin time in a Lévy risk model. (English) Zbl 1508.91486 Methodol. Comput. Appl. Probab. 24, No. 4, 3075-3099 (2022). MSC: 91G05 60G51 60G40 PDFBibTeX XMLCite \textit{P. L. Strietzel} and \textit{A. Behme}, Methodol. Comput. Appl. Probab. 24, No. 4, 3075--3099 (2022; Zbl 1508.91486) Full Text: DOI arXiv
Horton, Emma; Watson, Alexander R. Strong laws of large numbers for a growth-fragmentation process with bounded cell sizes. (English) Zbl 1505.60080 ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1799-1826 (2022). MSC: 60J80 37A30 47D06 35Q92 PDFBibTeX XMLCite \textit{E. Horton} and \textit{A. R. Watson}, ALEA, Lat. Am. J. Probab. Math. Stat. 19, No. 2, 1799--1826 (2022; Zbl 1505.60080) Full Text: arXiv Link
Liu, Zhang; Chen, Ping Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes. (English) Zbl 07632264 Commun. Stat., Simulation Comput. 51, No. 12, 7226-7245 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{Z. Liu} and \textit{P. Chen}, Commun. Stat., Simulation Comput. 51, No. 12, 7226--7245 (2022; Zbl 07632264) Full Text: DOI
Zhang, Aili Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process. (English) Zbl 1502.60066 Bull. Iran. Math. Soc. 48, No. 4, 1895-1917 (2022). MSC: 60G51 91G10 60G40 PDFBibTeX XMLCite \textit{A. Zhang}, Bull. Iran. Math. Soc. 48, No. 4, 1895--1917 (2022; Zbl 1502.60066) Full Text: DOI
Wang, Wenyuan; Wang, Yuebao; Chen, Ping; Wu, Xueyuan Dividend and capital injection optimization with transaction cost for Lévy risk processes. (English) Zbl 1494.49019 J. Optim. Theory Appl. 194, No. 3, 924-965 (2022). MSC: 49K45 49N25 91B05 91B32 91B70 62P05 PDFBibTeX XMLCite \textit{W. Wang} et al., J. Optim. Theory Appl. 194, No. 3, 924--965 (2022; Zbl 1494.49019) Full Text: DOI
Xu, Ran; Wang, Wenyuan; Garrido, Jose Optimal dividend strategy under Parisian ruin with affine penalty. (English) Zbl 1492.93207 Methodol. Comput. Appl. Probab. 24, No. 3, 1385-1409 (2022). MSC: 93E20 60G51 91B05 PDFBibTeX XMLCite \textit{R. Xu} et al., Methodol. Comput. Appl. Probab. 24, No. 3, 1385--1409 (2022; Zbl 1492.93207) Full Text: DOI
Zhao, Yongxia; Dong, Hua; Zhong, Wei Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon. (English) Zbl 07562258 Commun. Stat., Theory Methods 51, No. 14, 4757-4780 (2022). MSC: 93E20 91G80 PDFBibTeX XMLCite \textit{Y. Zhao} et al., Commun. Stat., Theory Methods 51, No. 14, 4757--4780 (2022; Zbl 07562258) Full Text: DOI
Randon-Furling, Julien; Salminen, Paavo; Vallois, Pierre On a first hit distribution of the running maximum of Brownian motion. (English) Zbl 1491.60145 Stochastic Processes Appl. 150, 1204-1221 (2022). MSC: 60J65 60G17 60G40 60G51 60G52 PDFBibTeX XMLCite \textit{J. Randon-Furling} et al., Stochastic Processes Appl. 150, 1204--1221 (2022; Zbl 1491.60145) Full Text: DOI arXiv
Wang, Wenyuan; Xu, Ran General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes. (English) Zbl 1499.60152 J. Ind. Manag. Optim. 18, No. 2, 795-823 (2022). MSC: 60G51 91G50 60E10 PDFBibTeX XMLCite \textit{W. Wang} and \textit{R. Xu}, J. Ind. Manag. Optim. 18, No. 2, 795--823 (2022; Zbl 1499.60152) Full Text: DOI
Zhang, Aili; Chen, Ping; Li, Shuanming; Wang, Wenyuan Risk modelling on liquidations with Lévy processes. (English) Zbl 1510.60033 Appl. Math. Comput. 412, Article ID 126584, 23 p. (2022). MSC: 60G51 91B05 91G05 PDFBibTeX XMLCite \textit{A. Zhang} et al., Appl. Math. Comput. 412, Article ID 126584, 23 p. (2022; Zbl 1510.60033) Full Text: DOI arXiv
Li, Bo; Hua, Yun; Zhou, Xiaowen How long does the surplus stay close to its historical high? (English) Zbl 1500.60048 Stochastics 93, No. 3, 402-427 (2021). Reviewer: Pavel Gapeev (London) MSC: 60J45 60G51 PDFBibTeX XMLCite \textit{B. Li} et al., Stochastics 93, No. 3, 402--427 (2021; Zbl 1500.60048) Full Text: DOI arXiv
Carvajal Pinto, Mónica B.; Van Schaik, Kees Optimally stopping at a given distance from the ultimate supremum of a spectrally negative Lévy process. (English) Zbl 1493.60070 Adv. Appl. Probab. 53, No. 1, 279-299 (2021). MSC: 60G40 60G51 62M20 PDFBibTeX XMLCite \textit{M. B. Carvajal Pinto} and \textit{K. Van Schaik}, Adv. Appl. Probab. 53, No. 1, 279--299 (2021; Zbl 1493.60070) Full Text: DOI arXiv
Wang, Wenyuan; Wu, Xueyuan; Chi, Cheng Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes. (English) Zbl 1479.91343 Eur. Actuar. J. 11, No. 1, 285-317 (2021). MSC: 91G05 91B64 60G51 PDFBibTeX XMLCite \textit{W. Wang} et al., Eur. Actuar. J. 11, No. 1, 285--317 (2021; Zbl 1479.91343) Full Text: DOI arXiv Link
Li, Yingqiu; Wei, Yushao; Peng, Zhaohui Occupation times for spectrally negative Lévy processes on the last exit time. (English) Zbl 1482.60062 Stat. Probab. Lett. 175, Article ID 109111, 10 p. (2021). MSC: 60G51 60J55 PDFBibTeX XMLCite \textit{Y. Li} et al., Stat. Probab. Lett. 175, Article ID 109111, 10 p. (2021; Zbl 1482.60062) Full Text: DOI
Chen, Man; Wu, Xianyuan; Zhou, Xiaowen A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process. (English) Zbl 1469.60144 Front. Math. China 16, No. 2, 325-343 (2021). MSC: 60G51 31C45 47A68 PDFBibTeX XMLCite \textit{M. Chen} et al., Front. Math. China 16, No. 2, 325--343 (2021; Zbl 1469.60144) Full Text: DOI
Wang, Wenyuan; Zhou, Xiaowen A drawdown reflected spectrally negative Lévy process. (English) Zbl 1469.60151 J. Theor. Probab. 34, No. 1, 283-306 (2021). MSC: 60G51 60E10 60J35 PDFBibTeX XMLCite \textit{W. Wang} and \textit{X. Zhou}, J. Theor. Probab. 34, No. 1, 283--306 (2021; Zbl 1469.60151) Full Text: DOI arXiv
Wang, Wenyuan; Zhou, Xiaowen Draw-down Parisian ruin for spectrally negative Lévy processes. (English) Zbl 1473.60079 Adv. Appl. Probab. 52, No. 4, 1164-1196 (2020). MSC: 60G51 60E10 60J35 PDFBibTeX XMLCite \textit{W. Wang} and \textit{X. Zhou}, Adv. Appl. Probab. 52, No. 4, 1164--1196 (2020; Zbl 1473.60079) Full Text: DOI arXiv
Landriault, David; Willmot, Gordon E. On series expansions for scale functions and other ruin-related quantities. (English) Zbl 1447.91142 Scand. Actuar. J. 2020, No. 4, 292-306 (2020). MSC: 91G05 60G51 PDFBibTeX XMLCite \textit{D. Landriault} and \textit{G. E. Willmot}, Scand. Actuar. J. 2020, No. 4, 292--306 (2020; Zbl 1447.91142) Full Text: DOI
Li, Bo; Zhou, Xiaowen Local times for spectrally negative Lévy processes. (English) Zbl 1434.60211 Potential Anal. 52, No. 4, 689-711 (2020). MSC: 60J55 60J45 60G51 PDFBibTeX XMLCite \textit{B. Li} and \textit{X. Zhou}, Potential Anal. 52, No. 4, 689--711 (2020; Zbl 1434.60211) Full Text: DOI arXiv
Noba, Kei Generalized scale functions of standard processes with no positive jumps. (English) Zbl 1445.60065 Electron. Commun. Probab. 25, Paper No. 8, 12 p. (2020). MSC: 60J99 60J45 60G51 PDFBibTeX XMLCite \textit{K. Noba}, Electron. Commun. Probab. 25, Paper No. 8, 12 p. (2020; Zbl 1445.60065) Full Text: DOI arXiv Euclid
Noba, Kei; Pérez, José-Luis; Yu, Xiang On the bailout dividend problem for spectrally negative Markov additive models. (English) Zbl 1461.60030 SIAM J. Control Optim. 58, No. 2, 1049-1076 (2020). MSC: 60G51 93E20 91G80 PDFBibTeX XMLCite \textit{K. Noba} et al., SIAM J. Control Optim. 58, No. 2, 1049--1076 (2020; Zbl 1461.60030) Full Text: DOI arXiv
Wang, Wenyuan; Chen, Ping; Li, Shuanming Generalized expected discounted penalty function at general drawdown for Lévy risk processes. (English) Zbl 1435.91162 Insur. Math. Econ. 91, 12-25 (2020). MSC: 91G05 60G51 60K10 PDFBibTeX XMLCite \textit{W. Wang} et al., Insur. Math. Econ. 91, 12--25 (2020; Zbl 1435.91162) Full Text: DOI arXiv
Al Ghanim, Dalal; Loeffen, Ronnie; Watson, Alexander R. The equivalence of two tax processes. (English) Zbl 1431.91242 Insur. Math. Econ. 90, 1-6 (2020). MSC: 91B64 60G51 93E20 91G05 PDFBibTeX XMLCite \textit{D. Al Ghanim} et al., Insur. Math. Econ. 90, 1--6 (2020; Zbl 1431.91242) Full Text: DOI arXiv
Wang, Wenyuan; Zhang, Zhimin Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time. (English) Zbl 1427.60084 Adv. Appl. Probab. 51, No. 3, 865-897 (2019). MSC: 60G51 91B05 93E20 PDFBibTeX XMLCite \textit{W. Wang} and \textit{Z. Zhang}, Adv. Appl. Probab. 51, No. 3, 865--897 (2019; Zbl 1427.60084) Full Text: DOI arXiv
Avram, Florin; Goreac, Dan A Pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time. (English) Zbl 1426.91292 Scand. Actuar. J. 2019, No. 9, 799-823 (2019). MSC: 91G50 60G51 60J70 PDFBibTeX XMLCite \textit{F. Avram} and \textit{D. Goreac}, Scand. Actuar. J. 2019, No. 9, 799--823 (2019; Zbl 1426.91292) Full Text: DOI arXiv
Avram, F.; Banik, A. D.; Horvath, A. Ruin probabilities by Padé’s method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails. (English) Zbl 1422.91323 Eur. Actuar. J. 9, No. 1, 273-299 (2019). MSC: 91B30 60G51 62P05 PDFBibTeX XMLCite \textit{F. Avram} et al., Eur. Actuar. J. 9, No. 1, 273--299 (2019; Zbl 1422.91323) Full Text: DOI
Vidmar, Matija First passage upwards for state-dependent-killed spectrally negative Lévy processes. (English) Zbl 1415.60050 J. Appl. Probab. 56, No. 2, 472-495 (2019). MSC: 60G51 60J25 60G44 PDFBibTeX XMLCite \textit{M. Vidmar}, J. Appl. Probab. 56, No. 2, 472--495 (2019; Zbl 1415.60050) Full Text: DOI arXiv
Li, Bo; Vu, Nhat Linh; Zhou, Xiaowen Exit problems for general draw-down times of spectrally negative Lévy processes. (English) Zbl 1415.60048 J. Appl. Probab. 56, No. 2, 441-457 (2019). MSC: 60G51 60E10 60J35 PDFBibTeX XMLCite \textit{B. Li} et al., J. Appl. Probab. 56, No. 2, 441--457 (2019; Zbl 1415.60048) Full Text: DOI arXiv
Li, Manman; Yin, George Optimal threshold strategies with capital injections in a spectrally negative Lévy risk model. (English) Zbl 1438.91176 J. Ind. Manag. Optim. 15, No. 2, 517-535 (2019). MSC: 91G50 91G05 93E20 60G51 PDFBibTeX XMLCite \textit{M. Li} and \textit{G. Yin}, J. Ind. Manag. Optim. 15, No. 2, 517--535 (2019; Zbl 1438.91176) Full Text: DOI
Dong, Hua; Yin, Chuancun; Dai, Hongshuai Spectrally negative Lévy risk model under Erlangized barrier strategy. (English) Zbl 1419.91356 J. Comput. Appl. Math. 351, 101-116 (2019). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{H. Dong} et al., J. Comput. Appl. Math. 351, 101--116 (2019; Zbl 1419.91356) Full Text: DOI
You, Honglong; Cai, Chunhao Nonparametric estimation for a spectrally negative Lévy process based on high frequency data. (English) Zbl 1402.62262 J. Comput. Appl. Math. 345, 196-205 (2019). MSC: 62P05 62G05 60G51 91B30 PDFBibTeX XMLCite \textit{H. You} and \textit{C. Cai}, J. Comput. Appl. Math. 345, 196--205 (2019; Zbl 1402.62262) Full Text: DOI
Noba, Kei; Pérez, José-Luis; Yamazaki, Kazutoshi; Yano, Kouji On optimal periodic dividend and capital injection strategies for spectrally negative Lévy models. (English) Zbl 1419.91380 J. Appl. Probab. 55, No. 4, 1272-1286 (2018). MSC: 91B30 60G51 93E20 PDFBibTeX XMLCite \textit{K. Noba} et al., J. Appl. Probab. 55, No. 4, 1272--1286 (2018; Zbl 1419.91380) Full Text: DOI arXiv
Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin Dividends: from refracting to ratcheting. (English) Zbl 1417.91260 Insur. Math. Econ. 83, 47-58 (2018). MSC: 91B30 60G51 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Insur. Math. Econ. 83, 47--58 (2018; Zbl 1417.91260) Full Text: DOI
Cai, Chunhao; Li, Bo Occupation times of intervals until last passage times for spectrally negative Lévy processes. (English) Zbl 1434.60128 J. Theor. Probab. 31, No. 4, 2194-2215 (2018). Reviewer: Alexander Schnurr (Siegen) MSC: 60G51 60J55 60J76 91G20 91G05 PDFBibTeX XMLCite \textit{C. Cai} and \textit{B. Li}, J. Theor. Probab. 31, No. 4, 2194--2215 (2018; Zbl 1434.60128) Full Text: DOI arXiv
Landriault, David; Li, Bin; Wong, Jeff T. Y.; Xu, Di Poissonian potential measures for Lévy risk models. (English) Zbl 1416.91198 Insur. Math. Econ. 82, 152-166 (2018). MSC: 91B30 60G51 60K10 PDFBibTeX XMLCite \textit{D. Landriault} et al., Insur. Math. Econ. 82, 152--166 (2018; Zbl 1416.91198) Full Text: DOI Link
Ben Salah, Zied; Garrido, José On fair reinsurance premiums; capital injections in a perturbed risk model. (English) Zbl 1416.91157 Insur. Math. Econ. 82, 11-20 (2018). MSC: 91B30 60G51 60K10 PDFBibTeX XMLCite \textit{Z. Ben Salah} and \textit{J. Garrido}, Insur. Math. Econ. 82, 11--20 (2018; Zbl 1416.91157) Full Text: DOI arXiv
Wang, Wenyuan; Zhou, Xiaowen General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes. (English) Zbl 1396.91314 J. Appl. Probab. 55, No. 2, 513-542 (2018). MSC: 91B30 60G51 93E20 PDFBibTeX XMLCite \textit{W. Wang} and \textit{X. Zhou}, J. Appl. Probab. 55, No. 2, 513--542 (2018; Zbl 1396.91314) Full Text: DOI
Li, Bin; Willmot, Gordon E.; Wong, Jeff T. Y. A temporal approach to the Parisian risk model. (English) Zbl 1396.60045 J. Appl. Probab. 55, No. 1, 302-317 (2018). MSC: 60G40 60G51 PDFBibTeX XMLCite \textit{B. Li} et al., J. Appl. Probab. 55, No. 1, 302--317 (2018; Zbl 1396.60045) Full Text: DOI
Li, Bo; Zhou, Xiaowen On weighted occupation times for refracted spectrally negative Lévy processes. (English) Zbl 1404.60066 J. Math. Anal. Appl. 466, No. 1, 215-237 (2018). MSC: 60G51 60H10 PDFBibTeX XMLCite \textit{B. Li} and \textit{X. Zhou}, J. Math. Anal. Appl. 466, No. 1, 215--237 (2018; Zbl 1404.60066) Full Text: DOI arXiv
Wang, Wenyuan; Wu, Xueyuan; Peng, Xingchun; Yuen, Kam C. A note on joint occupation times of spectrally negative Lévy risk processes with tax. (English) Zbl 1392.60044 Stat. Probab. Lett. 140, 13-22 (2018). MSC: 60G51 60E10 PDFBibTeX XMLCite \textit{W. Wang} et al., Stat. Probab. Lett. 140, 13--22 (2018; Zbl 1392.60044) Full Text: DOI
Wang, Wenyuan; Ming, Ruixing Two-side exit problems for taxed Lévy risk process involving the general draw-down time. (English) Zbl 1390.60172 Stat. Probab. Lett. 138, 66-74 (2018). MSC: 60G51 60E10 60J35 PDFBibTeX XMLCite \textit{W. Wang} and \textit{R. Ming}, Stat. Probab. Lett. 138, 66--74 (2018; Zbl 1390.60172) Full Text: DOI
Cai, Chunhao; Chen, Nan; You, Honglong Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation. (English) Zbl 1391.62193 J. Comput. Appl. Math. 328, 432-442 (2018). MSC: 62P05 60G51 62G05 62N05 91B30 PDFBibTeX XMLCite \textit{C. Cai} et al., J. Comput. Appl. Math. 328, 432--442 (2018; Zbl 1391.62193) Full Text: DOI
Li, Yingqiu; Yin, Chuancun; Zhou, Xiaowen On the last exit times for spectrally negative Lévy processes. (English) Zbl 1400.60068 J. Appl. Probab. 54, No. 2, 474-489 (2017). MSC: 60G51 60K30 PDFBibTeX XMLCite \textit{Y. Li} et al., J. Appl. Probab. 54, No. 2, 474--489 (2017; Zbl 1400.60068) Full Text: DOI arXiv
Boxma, Onno J.; Frostig, Esther; Perry, David A reinsurance risk model with a threshold coverage policy: the Gerber-Shiu penalty function. (English) Zbl 1401.60083 J. Appl. Probab. 54, No. 1, 267-285 (2017). MSC: 60G51 91B30 PDFBibTeX XMLCite \textit{O. J. Boxma} et al., J. Appl. Probab. 54, No. 1, 267--285 (2017; Zbl 1401.60083) Full Text: DOI
Avram, Florin; Zhou, Xiaowen On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications. (English) Zbl 1382.60071 Theory Probab. Math. Stat. 95, 17-40 (2017) and Teor. Jmovirn. Mat. Stat. 95, 14-36 (2016). MSC: 60G51 60K30 60J75 PDFBibTeX XMLCite \textit{F. Avram} and \textit{X. Zhou}, Theory Probab. Math. Stat. 95, 17--40 (2017; Zbl 1382.60071) Full Text: DOI arXiv
Gajek, Lesław; Kuciński, Łukasz Complete discounted cash flow valuation. (English) Zbl 1416.91395 Insur. Math. Econ. 73, 1-19 (2017). MSC: 91G50 60G51 93E20 PDFBibTeX XMLCite \textit{L. Gajek} and \textit{Ł. Kuciński}, Insur. Math. Econ. 73, 1--19 (2017; Zbl 1416.91395) Full Text: DOI
Jin, Can; Li, Shuanming; Wu, Xueyuan On the occupation times in a delayed Sparre Andersen risk model with exponential claims. (English) Zbl 1371.91094 Insur. Math. Econ. 71, 304-316 (2016). MSC: 91B30 62P05 60G51 60K10 PDFBibTeX XMLCite \textit{C. Jin} et al., Insur. Math. Econ. 71, 304--316 (2016; Zbl 1371.91094) Full Text: DOI Link
Guérin, Hélène; Renaud, Jean-François Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view. (English) Zbl 1337.60090 Adv. Appl. Probab. 48, No. 1, 274-297 (2016). MSC: 60G51 60J60 60J75 91G20 91G80 PDFBibTeX XMLCite \textit{H. Guérin} and \textit{J.-F. Renaud}, Adv. Appl. Probab. 48, No. 1, 274--297 (2016; Zbl 1337.60090) Full Text: DOI arXiv Euclid
Ben-Salah, Zied; Guérin, Hélène; Morales, Manuel; Omidi Firouzi, Hassan On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory. (English) Zbl 1396.91292 Eur. Actuar. J. 5, No. 2, 381-425 (2015). Reviewer: Tamás Mátrai (Budapest) MSC: 91B30 60J75 60G51 PDFBibTeX XMLCite \textit{Z. Ben-Salah} et al., Eur. Actuar. J. 5, No. 2, 381--425 (2015; Zbl 1396.91292) Full Text: DOI arXiv
Frostig, Esther The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process. (English) Zbl 1326.60063 J. Appl. Probab. 52, No. 3, 665-687 (2015). MSC: 60G51 91B30 PDFBibTeX XMLCite \textit{E. Frostig}, J. Appl. Probab. 52, No. 3, 665--687 (2015; Zbl 1326.60063) Full Text: DOI Euclid
Landriault, David; Shi, Tianxiang First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications. (English) Zbl 1401.91160 Scand. Actuar. J. 2014, No. 4, 368-382 (2014). MSC: 91B30 91G20 60J75 60G51 PDFBibTeX XMLCite \textit{D. Landriault} and \textit{T. Shi}, Scand. Actuar. J. 2014, No. 4, 368--382 (2014; Zbl 1401.91160) Full Text: DOI
Renaud, Jean-François On the time spent in the red by a refracted Lévy risk process. (English) Zbl 1321.60099 J. Appl. Probab. 51, No. 4, 1171-1188 (2014). Reviewer: Alexander Schnurr (Siegen) MSC: 60G51 91B30 PDFBibTeX XMLCite \textit{J.-F. Renaud}, J. Appl. Probab. 51, No. 4, 1171--1188 (2014; Zbl 1321.60099) Full Text: arXiv Euclid
Hsiau, Shoou-Ren; Lin, Yi-Shen; Yao, Yi-Ching Logconcave reward functions and optimal stopping rules of threshold form. (English) Zbl 1325.60062 Electron. J. Probab. 19, Paper No. 120, 18 p. (2014). MSC: 60G40 60G50 60G51 62L15 60J10 60J65 PDFBibTeX XMLCite \textit{S.-R. Hsiau} et al., Electron. J. Probab. 19, Paper No. 120, 18 p. (2014; Zbl 1325.60062) Full Text: DOI
Egami, Masahiko; Yamazaki, Kazutoshi On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models. (English) Zbl 1398.60062 Adv. Appl. Probab. 46, No. 1, 139-167 (2014). MSC: 60G40 60J75 91G40 PDFBibTeX XMLCite \textit{M. Egami} and \textit{K. Yamazaki}, Adv. Appl. Probab. 46, No. 1, 139--167 (2014; Zbl 1398.60062) Full Text: DOI arXiv Euclid
Albrecher, Hansjörg; Avram, Florin; Constantinescu, Corina; Ivanovs, Jevgenijs The tax identity for Markov additive risk processes. (English) Zbl 1286.91062 Methodol. Comput. Appl. Probab. 16, No. 1, 245-258 (2014). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 60G51 60J75 60K37 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Methodol. Comput. Appl. Probab. 16, No. 1, 245--258 (2014; Zbl 1286.91062) Full Text: DOI Link
Shen, Ying; Yin, Chuan-Cun; Yuen, Kam Chuen Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes. (English) Zbl 1286.60043 Acta Math. Appl. Sin., Engl. Ser. 29, No. 4, 705-716 (2013). MSC: 60G51 93E20 91B30 PDFBibTeX XMLCite \textit{Y. Shen} et al., Acta Math. Appl. Sin., Engl. Ser. 29, No. 4, 705--716 (2013; Zbl 1286.60043) Full Text: DOI arXiv
Ott, Curdin Optimal stopping problems for the maximum process with upper and lower caps. (English) Zbl 1290.60048 Ann. Appl. Probab. 23, No. 6, 2327-2356 (2013). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60G40 60G51 60J75 PDFBibTeX XMLCite \textit{C. Ott}, Ann. Appl. Probab. 23, No. 6, 2327--2356 (2013; Zbl 1290.60048) Full Text: DOI arXiv
Zhang, Zhimin; Yang, Hailiang; Yang, Hu On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process. (English) Zbl 1408.91109 Scand. Actuar. J. 2013, No. 3, 214-240 (2013). MSC: 91B30 91B70 60G51 60K05 60G70 PDFBibTeX XMLCite \textit{Z. Zhang} et al., Scand. Actuar. J. 2013, No. 3, 214--240 (2013; Zbl 1408.91109) Full Text: DOI
Coqueret, Guillaume Lookback option prices under a spectrally negative tempered-stable model. (English) Zbl 1269.91085 Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350012, 15 p. (2013). MSC: 91G20 91G60 60G51 PDFBibTeX XMLCite \textit{G. Coqueret}, Int. J. Theor. Appl. Finance 16, No. 3, Article ID 1350012, 15 p. (2013; Zbl 1269.91085) Full Text: DOI
Frostig, Esther A Markov additive risk process with a dividend barrier. (English) Zbl 1301.60063 Adv. Appl. Probab. 45, No. 2, 451-489 (2013). MSC: 60G51 60J27 60J75 60G46 62P05 PDFBibTeX XMLCite \textit{E. Frostig}, Adv. Appl. Probab. 45, No. 2, 451--489 (2013; Zbl 1301.60063) Full Text: DOI Euclid
Kyprianou, Andreas E.; Ott, Curdin Spectrally negative Lévy processes perturbed by functionals of their running supremum. (English) Zbl 1260.60094 J. Appl. Probab. 49, No. 4, 1005-1014 (2012). MSC: 60G51 60K05 60K15 91B30 PDFBibTeX XMLCite \textit{A. E. Kyprianou} and \textit{C. Ott}, J. Appl. Probab. 49, No. 4, 1005--1014 (2012; Zbl 1260.60094) Full Text: DOI arXiv Euclid
Kella, Offer The class of distributions associated with the generalized Pollaczek-Khinchine formula. (English) Zbl 1260.60092 J. Appl. Probab. 49, No. 3, 883-887 (2012). Reviewer: János Sztrik (Debrecen) MSC: 60G51 60K25 PDFBibTeX XMLCite \textit{O. Kella}, J. Appl. Probab. 49, No. 3, 883--887 (2012; Zbl 1260.60092) Full Text: DOI arXiv Euclid
Kuznetsov, A.; Peng, X. On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps. (English) Zbl 1246.60072 Stochastic Processes Appl. 122, No. 7, 2610-2638 (2012). MSC: 60G51 PDFBibTeX XMLCite \textit{A. Kuznetsov} and \textit{X. Peng}, Stochastic Processes Appl. 122, No. 7, 2610--2638 (2012; Zbl 1246.60072) Full Text: DOI arXiv
Wang, Wenyuan; Hu, Yijun Optimal loss-carry-forward taxation for the Lévy risk model. (English) Zbl 1238.91086 Insur. Math. Econ. 50, No. 1, 121-130 (2012). Reviewer: Tak Kuen Siu (Sydney) MSC: 91B30 93E20 PDFBibTeX XMLCite \textit{W. Wang} and \textit{Y. Hu}, Insur. Math. Econ. 50, No. 1, 121--130 (2012; Zbl 1238.91086) Full Text: DOI
Kyprianou, A. E.; Patie, P. A Ciesielski-Taylor type identity for positive self-similar Markov processes. (English. French summary) Zbl 1231.60031 Ann. Inst. Henri Poincaré, Probab. Stat. 47, No. 3, 917-928 (2011). Reviewer: Zakhar Kabluchko (Ulm) MSC: 60G18 60G51 60G52 PDFBibTeX XMLCite \textit{A. E. Kyprianou} and \textit{P. Patie}, Ann. Inst. Henri Poincaré, Probab. Stat. 47, No. 3, 917--928 (2011; Zbl 1231.60031) Full Text: DOI arXiv EuDML
Foss, Sergey G.; Puhalskii, Anatolii A. On the limit law of a random walk conditioned to reach a high level. (English) Zbl 1225.60076 Stochastic Processes Appl. 121, No. 2, 288-313 (2011). MSC: 60G50 60F05 PDFBibTeX XMLCite \textit{S. G. Foss} and \textit{A. A. Puhalskii}, Stochastic Processes Appl. 121, No. 2, 288--313 (2011; Zbl 1225.60076) Full Text: DOI arXiv
Yin, Chuancun; Wang, Chunwei Optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes: an alternative approach. (English) Zbl 1176.60034 J. Comput. Appl. Math. 233, No. 2, 482-491 (2009). MSC: 60G51 93E20 PDFBibTeX XMLCite \textit{C. Yin} and \textit{C. Wang}, J. Comput. Appl. Math. 233, No. 2, 482--491 (2009; Zbl 1176.60034) Full Text: DOI
Baurdoux, E. J. Last exit before an exponential time for spectrally negative Lévy processes. (English) Zbl 1170.60020 J. Appl. Probab. 46, No. 2, 542-558 (2009). MSC: 60G51 91B30 PDFBibTeX XMLCite \textit{E. J. Baurdoux}, J. Appl. Probab. 46, No. 2, 542--558 (2009; Zbl 1170.60020) Full Text: DOI
Peskir, Goran The law of the hitting times to points by a stable Lévy process with no negative jumps. (English) Zbl 1193.60066 Electron. Commun. Probab. 13, 653-659 (2008). MSC: 60G52 60G51 60J75 PDFBibTeX XMLCite \textit{G. Peskir}, Electron. Commun. Probab. 13, 653--659 (2008; Zbl 1193.60066) Full Text: DOI EuDML EMIS
Bernyk, Violetta; Dalang, Robert C.; Peskir, Goran The law of the supremum of a stable Lévy process with no negative jumps. (English) Zbl 1185.60051 Ann. Probab. 36, No. 5, 1777-1789 (2008). MSC: 60G52 45D05 60J75 26A33 PDFBibTeX XMLCite \textit{V. Bernyk} et al., Ann. Probab. 36, No. 5, 1777--1789 (2008; Zbl 1185.60051) Full Text: DOI arXiv
Zhou, Xiaowen Exit problems for spectrally negative Lévy processes reflected at either the supremum or the infimum. (English) Zbl 1132.60042 J. Appl. Probab. 44, No. 4, 1012-1030 (2007). MSC: 60G51 60B15 PDFBibTeX XMLCite \textit{X. Zhou}, J. Appl. Probab. 44, No. 4, 1012--1030 (2007; Zbl 1132.60042) Full Text: DOI Euclid
Huzak, Miljenko; Perman, Mihael; Šikić, Hrvoje; Vondraček, Zoran Ruin probabilities for competing claim processes. (English) Zbl 1065.60100 J. Appl. Probab. 41, No. 3, 679-690 (2004). MSC: 60J25 PDFBibTeX XMLCite \textit{M. Huzak} et al., J. Appl. Probab. 41, No. 3, 679--690 (2004; Zbl 1065.60100) Full Text: DOI Link
Huzak, Miljenko; Perman, Mihael; Šikić, Hrvoje; Vondraček, Zoran Ruin probabilities and decompositions for general perturbed risk processes. (English) Zbl 1061.60075 Ann. Appl. Probab. 14, No. 3, 1378-1397 (2004). Reviewer: Bero Roos (Hamburg) MSC: 60J25 60G51 60J75 60K30 91B30 PDFBibTeX XMLCite \textit{M. Huzak} et al., Ann. Appl. Probab. 14, No. 3, 1378--1397 (2004; Zbl 1061.60075) Full Text: DOI arXiv
Yang, Hailiang; Zhang, Lianzeng Spectrally negative Lévy processes with applications in risk theory. (English) Zbl 0978.60104 Adv. Appl. Probab. 33, No. 1, 281-291 (2001). Reviewer: Anatoly Swishchuk (Kyïv) MSC: 60K30 62P05 PDFBibTeX XMLCite \textit{H. Yang} and \textit{L. Zhang}, Adv. Appl. Probab. 33, No. 1, 281--291 (2001; Zbl 0978.60104) Full Text: DOI