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Loeffen, Ronnie L.

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Author ID: loeffen.ronnie-l Recent zbMATH articles by "Loeffen, Ronnie L."
Published as: Loeffen, R.; Loeffen, R. L.; Loeffen, Ronnie; Loeffen, Ronnie L.
External Links: MGP
Documents Indexed: 14 Publications since 2008

Publications by Year

Citations contained in zbMATH Open

13 Publications have been cited 363 times in 222 Documents Cited by Year
On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes. Zbl 1152.60344
Loeffen, R. L.
84
2008
Occupation times of intervals until first passage times for spectrally negative Lévy processes. Zbl 1287.60062
Loeffen, Ronnie L.; Renaud, Jean-François; Zhou, Xiaowen
56
2014
Parisian ruin probability for spectrally negative Lévy processes. Zbl 1267.60054
Loeffen, Ronnie; Czarna, Irmina; Palmowski, Zbigniew
50
2013
Refracted Lévy processes. Zbl 1201.60042
Kyprianou, A. E.; Loeffen, R. L.
48
2010
De Finetti’s optimal dividends problem with an affine penalty function at ruin. Zbl 1231.91212
Loeffen, Ronnie L.; Renaud, Jean-François
32
2010
An optimal dividends problem with transaction costs for spectrally negative Lévy processes. Zbl 1231.91211
Loeffen, R. L.
27
2009
An optimal dividends problem with a terminal value for spectrally negative Lévy processes with a completely monotone jump density. Zbl 1166.60051
Loeffen, R. L.
24
2009
Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. Zbl 1253.93001
Kyprianou, Andreas E.; Loeffen, Ronnie; Pérez, José-Luis
20
2012
Semi-closed form cubature and applications to financial diffusion models. Zbl 1281.91180
Bayer, Christian; Friz, Peter; Loeffen, Ronnie
9
2013
Discounted penalty function at Parisian ruin for Lévy insurance risk process. Zbl 1417.91278
Loeffen, Ronnie; Palmowski, Zbigniew; Surya, Budhi A.
6
2018
Smoothness of continuous state branching with immigration semigroups. Zbl 06817592
Chazal, M.; Loeffen, R.; Patie, P.
4
2018
Option pricing in a one-dimensional affine term structure model via spectral representations. Zbl 1411.91616
Chazal, M.; Loeffen, R.; Patie, P.
2
2018
Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution. Zbl 07088024
Loeffen, R.; Patie, P.; Savov, M.
1
2019
Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution. Zbl 07088024
Loeffen, R.; Patie, P.; Savov, M.
1
2019
Discounted penalty function at Parisian ruin for Lévy insurance risk process. Zbl 1417.91278
Loeffen, Ronnie; Palmowski, Zbigniew; Surya, Budhi A.
6
2018
Smoothness of continuous state branching with immigration semigroups. Zbl 06817592
Chazal, M.; Loeffen, R.; Patie, P.
4
2018
Option pricing in a one-dimensional affine term structure model via spectral representations. Zbl 1411.91616
Chazal, M.; Loeffen, R.; Patie, P.
2
2018
Occupation times of intervals until first passage times for spectrally negative Lévy processes. Zbl 1287.60062
Loeffen, Ronnie L.; Renaud, Jean-François; Zhou, Xiaowen
56
2014
Parisian ruin probability for spectrally negative Lévy processes. Zbl 1267.60054
Loeffen, Ronnie; Czarna, Irmina; Palmowski, Zbigniew
50
2013
Semi-closed form cubature and applications to financial diffusion models. Zbl 1281.91180
Bayer, Christian; Friz, Peter; Loeffen, Ronnie
9
2013
Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. Zbl 1253.93001
Kyprianou, Andreas E.; Loeffen, Ronnie; Pérez, José-Luis
20
2012
Refracted Lévy processes. Zbl 1201.60042
Kyprianou, A. E.; Loeffen, R. L.
48
2010
De Finetti’s optimal dividends problem with an affine penalty function at ruin. Zbl 1231.91212
Loeffen, Ronnie L.; Renaud, Jean-François
32
2010
An optimal dividends problem with transaction costs for spectrally negative Lévy processes. Zbl 1231.91211
Loeffen, R. L.
27
2009
An optimal dividends problem with a terminal value for spectrally negative Lévy processes with a completely monotone jump density. Zbl 1166.60051
Loeffen, R. L.
24
2009
On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes. Zbl 1152.60344
Loeffen, R. L.
84
2008
all top 5

Cited by 234 Authors

24 Yamazaki, Kazutoshi
19 Zhou, Xiaowen
18 Palmowski, Zbigniew
18 Pérez Garmendia, Jose Luis
13 Czarna, Irmina
12 Landriault, David
12 Renaud, Jean-François
12 Yin, Chuancun
10 Li, Bin
9 Albrecher, Hansjörg
8 Loeffen, Ronnie L.
7 Kyprianou, Andreas E.
6 Avram, Florin
6 Cheung, Eric C. K.
6 Dong, Hua
6 Li, Yingqiu
6 Noba, Kei
6 Wu, Lan
5 Frostig, Esther
5 Jiang, Zhou
5 Wang, Wenyuan
5 Yuen, Kam Chuen
4 Dębicki, Krzysztof
4 Egami, Masahiko
4 Li, Bo
4 Lkabous, Mohamed Amine
4 Surya, Budhi Arta
4 Wong, Jeff T. Y.
4 Yang, Xiangqun
4 Young, Virginia R.
4 Zhang, Hongzhong
3 Azcue, Pablo
3 Bekker, René
3 Boxma, Onno Johan
3 Chen, Ping
3 Friesen, Martin
3 Ivanovs, Jevgeņijs
3 Jin, Peng
3 Li, Shu
3 Li, Yanhong
3 Liang, Xiaoqing
3 Moreno-Franco, Harold A.
3 Muler, Nora E.
3 Tan, Jiyang
3 Wen, Yuzhen
3 Yang, Chen
3 Yang, Hailiang
3 Yano, Kouji
3 Yao, Dingjun
3 Zhang, Zhimin
3 Zhao, Chunming
3 Zhao, Xianghua
2 Avanzi, Benjamin
2 Bai, Lihua
2 Bäuerle, Nicole
2 Baurdoux, Erik Jan
2 Bayer, Christian
2 Bayraktar, Erhan
2 Chazal, Marie
2 Chen, Ye
2 Dai, Hongshuai
2 Guérin, Hélène
2 Hashorva, Enkelejd
2 Hernández-Hernández, Daniel
2 Ji, Lanpeng
2 Junca, Mauricio
2 Keren-Pinhasik, Adva
2 Leung, Tim
2 Li, Shuanming
2 Li, Zhong
2 Li, Zhongfei
2 Li, Ziqiang
2 Liang, Zhibin
2 Liu, Peng
2 Mandjes, Michel Robertus Hendrikus
2 Marciniak, Ewa
2 Mijatović, Aleksandar
2 Pardo, Juan Carlos
2 Patie, Pierre
2 Peng, Xiaofan
2 Perry, David
2 Rüdiger, Barbara
2 Sendova, Kristina P.
2 Shi, Tianxiang
2 Song, Renming
2 Starreveld, Nicos J.
2 Thonhauser, Stefan
2 Vidmar, Matija
2 Wang, Rongming
2 Willmot, Gordon E.
2 Wong, Bernard
2 Woo, Jae-Kyung
2 Wu, Xueyuan
2 Xu, Di
2 Xu, Ran
2 Yamada, Toshihiro
2 Zhang, Chunsheng
2 Zhao, Yongxia
2 Zhou, Ming
2 Zhu, Na
...and 134 more Authors
all top 5

Cited in 61 Serials

38 Insurance Mathematics & Economics
17 Journal of Applied Probability
15 Stochastic Processes and their Applications
13 Scandinavian Actuarial Journal
12 Statistics & Probability Letters
10 Advances in Applied Probability
6 Journal of Computational and Applied Mathematics
6 Journal of Optimization Theory and Applications
6 Journal of Theoretical Probability
6 The Annals of Applied Probability
5 Applied Mathematics and Optimization
5 Quantitative Finance
4 SIAM Journal on Control and Optimization
4 Journal of Industrial and Management Optimization
4 Frontiers of Mathematics in China
3 Stochastic Models
3 ASTIN Bulletin
3 SIAM Journal on Financial Mathematics
3 European Actuarial Journal
2 Journal of Mathematical Analysis and Applications
2 Operations Research Letters
2 Acta Mathematicae Applicatae Sinica. English Series
2 Mathematical and Computer Modelling
2 Queueing Systems
2 European Journal of Operational Research
2 Potential Analysis
2 Bernoulli
2 Finance and Stochastics
2 Mathematical Methods of Operations Research
2 International Journal of Theoretical and Applied Finance
2 Acta Mathematica Sinica. English Series
2 Methodology and Computing in Applied Probability
2 Science China. Mathematics
1 Communications on Pure and Applied Mathematics
1 Indian Journal of Pure & Applied Mathematics
1 Applied Mathematics and Computation
1 Mathematics of Operations Research
1 Operations Research
1 Quarterly of Applied Mathematics
1 SIAM Journal on Numerical Analysis
1 Probability and Mathematical Statistics
1 Acta Applicandae Mathematicae
1 Probability Theory and Related Fields
1 Journal of Economic Dynamics & Control
1 Communications in Statistics. Theory and Methods
1 Applied Mathematics. Series B (English Edition)
1 Theory of Probability and Mathematical Statistics
1 Electronic Communications in Probability
1 Mathematical Finance
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Extremes
1 Lobachevskii Journal of Mathematics
1 Journal of Systems Science and Complexity
1 Journal of Applied Mathematics and Computing
1 Advances in Difference Equations
1 Stochastics
1 ALEA. Latin American Journal of Probability and Mathematical Statistics
1 Statistics & Risk Modeling
1 Stochastic Systems
1 Journal of Function Spaces
1 Cogent Mathematics

Citations by Year