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