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Renaud, Jean-François

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Author ID: renaud.jean-francois Recent zbMATH articles by "Renaud, Jean-François"
Published as: Renaud, Jean-François
External Links: MGP
Documents Indexed: 18 Publications since 2007, including 1 Book

Publications by Year

Citations contained in zbMATH Open

16 Publications have been cited 336 times in 175 Documents Cited by Year
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
Occupation times of spectrally negative Lévy processes with applications. Zbl 1227.60061
Landriault, David; Renaud, Jean-François; Zhou, Xiaowen
52
2011
An insurance risk model with Parisian implementation delays. Zbl 1319.60098
Landriault, David; Renaud, Jean-François; Zhou, Xiaowen
43
2014
A Lévy insurance risk process with tax. Zbl 1144.60032
Albrecher, Hansjörg; Renaud, Jean-François; Zhou, Xiaowen
37
2008
De Finetti’s optimal dividends problem with an affine penalty function at ruin. Zbl 1231.91212
Loeffen, Ronnie L.; Renaud, Jean-François
32
2010
Distribution of the present value of dividend payments in a Lévy risk model. Zbl 1132.60041
Renaud, Jean-François; Zhou, Xiaowen
30
2007
Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes. Zbl 1344.60046
Baurdoux, Erik J.; Pardo, Juan Carlos; Pérez, José Luis; Renaud, Jean-François
21
2016
On the time spent in the red by a refracted Lévy risk process. Zbl 1321.60099
Renaud, Jean-François
14
2014
The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure. Zbl 1231.91230
Renaud, Jean-François
13
2009
On the distribution of cumulative Parisian ruin. Zbl 1397.91285
Guérin, Hélène; Renaud, Jean-François
11
2017
Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view. Zbl 1337.60090
Guérin, Hélène; Renaud, Jean-François
9
2016
Parisian ruin for a refracted Lévy process. Zbl 1394.60046
Lkabous, Mohamed Amine; Czarna, Irmina; Renaud, Jean-François
8
2017
Pricing occupation-time options in a mixed-exponential jump-diffusion model. Zbl 1396.91713
Aoudia, Djilali Ait; Renaud, Jean-François
3
2016
A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes. Zbl 1337.91046
Czarna, Irmina; Renaud, Jean-François
3
2016
A martingale representation for the maximum of a Lévy process. Zbl 1331.60075
Rémillard, Bruno; Renaud, Jean-François
2
2011
Explicit martingale representations for Brownian functionals and applications to option hedging. Zbl 1138.60041
Renaud, Jean-François; Rémillard, Bruno
2
2007
On the distribution of cumulative Parisian ruin. Zbl 1397.91285
Guérin, Hélène; Renaud, Jean-François
11
2017
Parisian ruin for a refracted Lévy process. Zbl 1394.60046
Lkabous, Mohamed Amine; Czarna, Irmina; Renaud, Jean-François
8
2017
Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes. Zbl 1344.60046
Baurdoux, Erik J.; Pardo, Juan Carlos; Pérez, José Luis; Renaud, Jean-François
21
2016
Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view. Zbl 1337.60090
Guérin, Hélène; Renaud, Jean-François
9
2016
Pricing occupation-time options in a mixed-exponential jump-diffusion model. Zbl 1396.91713
Aoudia, Djilali Ait; Renaud, Jean-François
3
2016
A note on Parisian ruin with an ultimate bankruptcy level for Lévy insurance risk processes. Zbl 1337.91046
Czarna, Irmina; Renaud, Jean-François
3
2016
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
An insurance risk model with Parisian implementation delays. Zbl 1319.60098
Landriault, David; Renaud, Jean-François; Zhou, Xiaowen
43
2014
On the time spent in the red by a refracted Lévy risk process. Zbl 1321.60099
Renaud, Jean-François
14
2014
Occupation times of spectrally negative Lévy processes with applications. Zbl 1227.60061
Landriault, David; Renaud, Jean-François; Zhou, Xiaowen
52
2011
A martingale representation for the maximum of a Lévy process. Zbl 1331.60075
Rémillard, Bruno; Renaud, Jean-François
2
2011
De Finetti’s optimal dividends problem with an affine penalty function at ruin. Zbl 1231.91212
Loeffen, Ronnie L.; Renaud, Jean-François
32
2010
The distribution of tax payments in a Lévy insurance risk model with a surplus-dependent taxation structure. Zbl 1231.91230
Renaud, Jean-François
13
2009
A Lévy insurance risk process with tax. Zbl 1144.60032
Albrecher, Hansjörg; Renaud, Jean-François; Zhou, Xiaowen
37
2008
Distribution of the present value of dividend payments in a Lévy risk model. Zbl 1132.60041
Renaud, Jean-François; Zhou, Xiaowen
30
2007
Explicit martingale representations for Brownian functionals and applications to option hedging. Zbl 1138.60041
Renaud, Jean-François; Rémillard, Bruno
2
2007
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Cited by 185 Authors

20 Zhou, Xiaowen
17 Palmowski, Zbigniew
13 Czarna, Irmina
12 Renaud, Jean-François
11 Pérez Garmendia, Jose Luis
10 Albrecher, Hansjörg
10 Landriault, David
10 Wang, Wenyuan
9 Yamazaki, Kazutoshi
8 Avram, Florin
8 Kyprianou, Andreas E.
8 Li, Bin
8 Loeffen, Ronnie L.
7 Yin, Chuancun
6 Cheung, Eric C. K.
6 Dong, Hua
6 Hu, Yijun
6 Li, Yingqiu
5 Ming, Ruixing
5 Wu, Lan
5 Young, Virginia R.
4 Frostig, Esther
4 Ivanovs, Jevgeņijs
4 Jiang, Zhou
4 Li, Bo
4 Lkabous, Mohamed Amine
4 Wong, Jeff T. Y.
4 Yuen, Kam Chuen
3 Dębicki, Krzysztof
3 Liang, Xiaoqing
3 Surya, Budhi Arta
3 Yang, Hailiang
3 Yang, Xiangqun
3 Zhang, Hongzhong
3 Zhang, Zhimin
3 Zhao, Xianghua
2 Azcue, Pablo
2 Bekker, René
2 Chen, Ye
2 Dai, Hongshuai
2 Feng, Runhuan
2 Griffin, Philip S.
2 Guérin, Hélène
2 Ji, Lanpeng
2 Keren-Pinhasik, Adva
2 Li, Shu
2 Li, Yanhong
2 Li, Zhong
2 Li, Ziqiang
2 Liang, Zhibin
2 Liu, Peng
2 Mandjes, Michel Robertus Hendrikus
2 Marciniak, Ewa
2 Moreno-Franco, Harold A.
2 Muler, Nora E.
2 Noba, Kei
2 Pardo, Juan Carlos
2 Peng, Xingchun
2 Shi, Tianxiang
2 Song, Renming
2 Starreveld, Nicos J.
2 Tan, Jiyang
2 Tang, Qihe
2 Willmot, Gordon E.
2 Woo, Jae-Kyung
2 Wu, Xueyuan
2 Xiao, Liqun
2 Xu, Di
2 Xu, Ran
2 Yang, Chen
2 Yano, Kouji
2 Zhang, Chunsheng
2 Zhao, Chunming
2 Zhu, Na
1 Akahori, Jirô
1 Al Ghanim, Dalal
1 Amaba, Takafumi
1 Aoudia, Djilali Ait
1 Aurzada, Frank
1 Avanzi, Benjamin
1 Bäuerle, Nicole
1 Baurdoux, Erik Jan
1 Bensoussan, Alain
1 Biffis, Enrico
1 Bladt, Mogens
1 Bo, Lijun
1 Boxma, Onno Johan
1 Buck, Micha
1 Bulinskaya, Ekaterina Vladimirovna
1 Cai, Chunhao
1 Cani, Arian
1 Cavalli, Benedetta
1 Chan, Terence
1 Chen, Ping
1 Cheng, Yangjin
1 Chesney, Marc
1 Constantinescu, Corina D.
1 Cui, Zhenyu
1 Degelmann, Moritz
1 Deng, Yingchun
...and 85 more Authors
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Cited in 51 Serials

34 Insurance Mathematics & Economics
18 Journal of Applied Probability
13 Statistics & Probability Letters
12 Scandinavian Actuarial Journal
8 Advances in Applied Probability
8 Stochastic Processes and their Applications
6 Journal of Theoretical Probability
5 Journal of Optimization Theory and Applications
5 Methodology and Computing in Applied Probability
4 Journal of Computational and Applied Mathematics
4 Applied Mathematics. Series B (English Edition)
4 Frontiers of Mathematics in China
3 The Annals of Applied Probability
3 Journal of Industrial and Management Optimization
3 European Actuarial Journal
2 Applied Mathematics and Optimization
2 SIAM Journal on Control and Optimization
2 Acta Mathematicae Applicatae Sinica. English Series
2 Bernoulli
2 Finance and Stochastics
2 Stochastic Models
2 ASTIN Bulletin
1 Indian Journal of Pure & Applied Mathematics
1 Journal of Mathematical Analysis and Applications
1 Chaos, Solitons and Fractals
1 Applied Mathematics and Computation
1 Operations Research Letters
1 Probability and Mathematical Statistics
1 Acta Applicandae Mathematicae
1 Probability Theory and Related Fields
1 Mathematical and Computer Modelling
1 Queueing Systems
1 Applied Mathematical Modelling
1 European Journal of Operational Research
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Potential Analysis
1 Theory of Probability and Mathematical Statistics
1 Journal of Mathematical Sciences (New York)
1 Electronic Communications in Probability
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Mathematical Methods of Operations Research
1 Extremes
1 Acta Mathematica Sinica. English Series
1 Quantitative Finance
1 Journal of Applied Mathematics and Computing
1 Advances in Difference Equations
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 Science China. Mathematics
1 Statistics & Risk Modeling
1 Stochastic Systems
1 Cogent Mathematics

Citations by Year