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
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
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
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
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
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
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
Chazal, Marie; Kyprianou, Andreas E.; Patie, Pierre A transformation for spectrally negative Lévy processes and applications. (English) Zbl 1496.60046 Chaumont, Loïc (ed.) et al., A lifetime of excursions through random walks and Lévy processes. A volume in honour of Ron Doney’s 80th birthday. Cham: Birkhäuser. Prog. Probab. 78, 157-180 (2021). MSC: 60G51 60E10 PDFBibTeX XMLCite \textit{M. Chazal} et al., Prog. Probab. 78, 157--180 (2021; Zbl 1496.60046) Full Text: DOI
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
Kuznetsov, Alexey; Kyprianou, Andreas E.; Rivero, Victor The theory of scale functions for spectrally negative Lévy processes. (English) Zbl 1261.60047 Cohen, Serge (ed.) et al., Lévy matters II. Recent progress in theory and applications: fractional Lévy fields, and scale functions. Berlin: Springer (ISBN 978-3-642-31406-3/pbk; 978-3-642-31407-0/ebook). Lecture Notes in Mathematics 2061. Lévy Matters, 97-186 (2012). Reviewer: Mathias Trabs (Berlin) MSC: 60G51 60G40 60J45 91B70 PDFBibTeX XMLCite \textit{A. Kuznetsov} et al., Lect. Notes Math. 2061, 97--186 (2012; Zbl 1261.60047) Full Text: DOI arXiv
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