Edit Profile (opens in new tab) Loeffen, Ronnie L. Co-Author Distance Author ID: loeffen.ronnie-l Published as: Loeffen, Ronnie; Loeffen, R. L.; Loeffen, R.; Loeffen, Ronnie L. more...less External Links: MGP Documents Indexed: 18 Publications since 2008, including 3 Additional arXiv Preprints Co-Authors: 15 Co-Authors with 14 Joint Publications 434 Co-Co-Authors all top 5 Co-Authors 4 single-authored 6 Patie, Pierre 2 Chazal, Marie 2 Kyprianou, Andreas E. 2 Palmowski, Zbigniew 2 Renaud, Jean-François 1 Al Ghanim, Dalal 1 Bayer, Christian 1 Czarna, Irmina 1 Friz, Peter 1 Pérez Garmendia, Jose Luis 1 Savov, Mladen Svetoslavov 1 Surya, Budhi Arta 1 Wang, Jian 1 Watson, Alexander R. 1 Zhou, Xiaowen all top 5 Serials 4 Insurance Mathematics & Economics 2 Journal of Applied Probability 1 Journal of Mathematical Analysis and Applications 1 Journal of Statistical Physics 1 Transactions of the American Mathematical Society 1 The Annals of Applied Probability 1 Stochastic Processes and their Applications 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Bernoulli 1 Quantitative Finance 1 SIAM Journal on Financial Mathematics all top 5 Fields 14 Probability theory and stochastic processes (60-XX) 9 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Systems theory; control (93-XX) 2 Numerical analysis (65-XX) 1 Special functions (33-XX) 1 Partial differential equations (35-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 14 Publications have been cited 522 times in 309 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. 117 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 74 2014 Parisian ruin probability for spectrally negative Lévy processes. Zbl 1267.60054 Loeffen, Ronnie; Czarna, Irmina; Palmowski, Zbigniew 73 2013 Refracted Lévy processes. Zbl 1201.60042 Kyprianou, A. E.; Loeffen, R. L. 57 2010 De Finetti’s optimal dividends problem with an affine penalty function at ruin. Zbl 1231.91212 Loeffen, Ronnie L.; Renaud, Jean-François 51 2010 An optimal dividends problem with transaction costs for spectrally negative Lévy processes. Zbl 1231.91211 Loeffen, R. L. 38 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. 33 2009 Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. Zbl 1253.93001 Kyprianou, Andreas E.; Loeffen, Ronnie; Pérez, José-Luis 28 2012 Discounted penalty function at Parisian ruin for Lévy insurance risk process. Zbl 1417.91278 Loeffen, Ronnie; Palmowski, Zbigniew; Surya, Budhi A. 19 2018 Semi-closed form cubature and applications to financial diffusion models. Zbl 1281.91180 Bayer, Christian; Friz, Peter; Loeffen, Ronnie 14 2013 Smoothness of continuous state branching with immigration semigroups. Zbl 1493.47053 Chazal, M.; Loeffen, R.; Patie, P. 7 2018 Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution. Zbl 1488.60090 Loeffen, R.; Patie, P.; Savov, M. 6 2019 Option pricing in a one-dimensional affine term structure model via spectral representations. Zbl 1411.91616 Chazal, M.; Loeffen, R.; Patie, P. 4 2018 First passage times over stochastic boundaries for subdiffusive processes. Zbl 1490.60286 Constantinescu, C.; Loeffen, R.; Patie, P. 1 2022 First passage times over stochastic boundaries for subdiffusive processes. Zbl 1490.60286 Constantinescu, C.; Loeffen, R.; Patie, P. 1 2022 Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution. Zbl 1488.60090 Loeffen, R.; Patie, P.; Savov, M. 6 2019 Discounted penalty function at Parisian ruin for Lévy insurance risk process. Zbl 1417.91278 Loeffen, Ronnie; Palmowski, Zbigniew; Surya, Budhi A. 19 2018 Smoothness of continuous state branching with immigration semigroups. Zbl 1493.47053 Chazal, M.; Loeffen, R.; Patie, P. 7 2018 Option pricing in a one-dimensional affine term structure model via spectral representations. Zbl 1411.91616 Chazal, M.; Loeffen, R.; Patie, P. 4 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 74 2014 Parisian ruin probability for spectrally negative Lévy processes. Zbl 1267.60054 Loeffen, Ronnie; Czarna, Irmina; Palmowski, Zbigniew 73 2013 Semi-closed form cubature and applications to financial diffusion models. Zbl 1281.91180 Bayer, Christian; Friz, Peter; Loeffen, Ronnie 14 2013 Optimal control with absolutely continuous strategies for spectrally negative Lévy processes. Zbl 1253.93001 Kyprianou, Andreas E.; Loeffen, Ronnie; Pérez, José-Luis 28 2012 Refracted Lévy processes. Zbl 1201.60042 Kyprianou, A. E.; Loeffen, R. L. 57 2010 De Finetti’s optimal dividends problem with an affine penalty function at ruin. Zbl 1231.91212 Loeffen, Ronnie L.; Renaud, Jean-François 51 2010 An optimal dividends problem with transaction costs for spectrally negative Lévy processes. Zbl 1231.91211 Loeffen, R. L. 38 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. 33 2009 On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes. Zbl 1152.60344 Loeffen, R. L. 117 2008 all cited Publications top 5 cited Publications all top 5 Cited by 302 Authors 29 Yamazaki, Kazutoshi 25 Zhou, Xiaowen 22 Palmowski, Zbigniew 21 Pérez Garmendia, Jose Luis 17 Wang, Wenyuan 15 Landriault, David 14 Czarna, Irmina 14 Renaud, Jean-François 13 Yin, Chuancun 12 Li, Bin 11 Albrecher, Hansjörg 10 Loeffen, Ronnie L. 9 Li, Yingqiu 9 Lkabous, Mohamed Amine 8 Noba, Kei 7 Dong, Hua 7 Kyprianou, Andreas E. 7 Patie, Pierre 6 Avanzi, Benjamin 6 Avram, Florin 6 Chen, Ping 6 Frostig, Esther 6 Yamada, Toshihiro 6 Yuen, Kam Chuen 6 Zhang, Zhimin 5 Azcue, Pablo 5 Friesen, Martin 5 Jin, Peng 5 Li, Bo 5 Li, Shu 5 Muler, Nora E. 5 Surya, Budhi Arta 5 Wu, Xueyuan 5 Xu, Ran 5 Young, Virginia R. 4 Dębicki, Krzysztof 4 Egami, Masahiko 4 Ivanovs, Jevgeņijs 4 Li, Shuanming 4 Moreno-Franco, Harold A. 4 Rüdiger, Barbara 4 Wong, Bernard 4 Wong, Jeff T. Y. 4 Yang, Xiangqun 4 Zhang, Hongzhong 4 Zhao, Xianghua 3 Bekker, René 3 Boxma, Onno Johan 3 Chen, Ye 3 Jiang, Zhengjun 3 Keren-Pinhasik, Adva 3 Lau, Hayden 3 Li, Yanhong 3 Liang, Xiaoqing 3 Tan, Jiyang 3 Wang, Zijia 3 Wen, Yuzhen 3 Yang, Chen 3 Yang, Hailiang 3 Yano, Kouji 3 Yao, Dingjun 3 Zhao, Chunming 3 Zhao, Yongxia 3 Zhou, Jieming 2 Bai, Lihua 2 Bäuerle, Nicole 2 Baurdoux, Erik Jan 2 Bayer, Christian 2 Bayraktar, Erhan 2 Bladt, Mogens 2 Chazal, Marie 2 Chen, Mi 2 Cheung, Eric C. K. 2 Dai, Hongshuai 2 Eisenberg, Julia 2 Guérin, Hélène 2 Hashorva, Enkelejd 2 Hernández-Hernández, Daniel 2 Hu, Yijun 2 Huang, Xuan 2 Ji, Lanpeng 2 Jin, Zhuo 2 Junca, Mauricio 2 Kaszubowski, Adam 2 Krystecki, Konrad 2 Leung, Tim 2 Li, Zhong 2 Li, Zhongfei 2 Li, Ziqiang 2 Liang, Zhibin 2 Liu, Peng 2 Liu, Yuxuan 2 Liu, Zhang 2 Mandjes, Michel Robertus Hendrikus 2 Marciniak, Ewa 2 Mijatović, Aleksandar 2 Pardo, Juan Carlos 2 Peng, Xiaofan 2 Perry, David 2 Savov, Mladen Svetoslavov ...and 202 more Authors all top 5 Cited in 82 Serials 47 Insurance Mathematics & Economics 24 Scandinavian Actuarial Journal 18 Stochastic Processes and their Applications 17 Journal of Applied Probability 15 Statistics & Probability Letters 13 Advances in Applied Probability 8 Applied Mathematics and Optimization 8 Quantitative Finance 8 Journal of Industrial and Management Optimization 7 Journal of Computational and Applied Mathematics 7 Journal of Optimization Theory and Applications 7 Journal of Theoretical Probability 6 The Annals of Applied Probability 5 SIAM Journal on Control and Optimization 5 SIAM Journal on Financial Mathematics 4 Finance and Stochastics 4 Methodology and Computing in Applied Probability 4 Stochastic Models 4 Stochastics 4 Frontiers of Mathematics in China 4 European Actuarial Journal 3 Applied Mathematics and Computation 3 European Journal of Operational Research 3 Mathematical Finance 3 ASTIN Bulletin 2 Journal of Mathematical Analysis and Applications 2 Operations Research Letters 2 Probability and Mathematical Statistics 2 Acta Mathematicae Applicatae Sinica. English Series 2 Mathematical and Computer Modelling 2 Queueing Systems 2 Communications in Statistics. Theory and Methods 2 Potential Analysis 2 Electronic Communications in Probability 2 Bernoulli 2 Mathematical Methods of Operations Research 2 International Journal of Theoretical and Applied Finance 2 Acta Mathematica Sinica. English Series 2 Probability in the Engineering and Informational Sciences 2 North American Actuarial Journal 2 Science China. Mathematics 1 Analysis Mathematica 1 Communications in Mathematical Physics 1 Communications on Pure and Applied Mathematics 1 Indian Journal of Pure & Applied Mathematics 1 Journal of Statistical Physics 1 Lithuanian Mathematical Journal 1 Periodica Mathematica Hungarica 1 Mathematische Nachrichten 1 Mathematics of Operations Research 1 Naval Research Logistics 1 Operations Research 1 Quarterly of Applied Mathematics 1 SIAM Journal on Numerical Analysis 1 Transactions of the American Mathematical Society 1 Acta Applicandae Mathematicae 1 Bulletin of the Iranian Mathematical Society 1 Probability Theory and Related Fields 1 Journal of Economic Dynamics & Control 1 Communications in Statistics. Simulation and Computation 1 Applied Mathematics. Series B (English Edition) 1 Theory of Probability and Mathematical Statistics 1 Advances in Computational Mathematics 1 Monte Carlo Methods and Applications 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 Fractional Calculus & Applied Analysis 1 Extremes 1 Lobachevskii Journal of Mathematics 1 Applied Stochastic Models in Business and Industry 1 Journal of Systems Science and Complexity 1 Acta Mathematica Scientia. Series B. (English Edition) 1 Journal of Applied Mathematics and Computing 1 Advances in Difference Equations 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Nonlinear Analysis. Hybrid Systems 1 Statistics & Risk Modeling 1 Stochastic Systems 1 Mathematica Applicanda 1 Journal of Function Spaces 1 Cogent Mathematics 1 Mathematical Foundations of Computing 1 Frontiers of Mathematics all top 5 Cited in 18 Fields 250 Probability theory and stochastic processes (60-XX) 229 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 72 Systems theory; control (93-XX) 22 Calculus of variations and optimal control; optimization (49-XX) 19 Statistics (62-XX) 16 Numerical analysis (65-XX) 13 Operations research, mathematical programming (90-XX) 7 Partial differential equations (35-XX) 4 Integral transforms, operational calculus (44-XX) 3 Special functions (33-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Integral equations (45-XX) 2 Real functions (26-XX) 2 Operator theory (47-XX) 2 Biology and other natural sciences (92-XX) 1 Nonassociative rings and algebras (17-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Computer science (68-XX) Citations by Year